Concentration Inequalities
نویسنده
چکیده
If h(x) = |x| then we have P (|X| ≥ a) ≤ E|X| a. This is the classic Markov inequality. Note that without further assumptions, the bound is sharp. In particular, consider the deterministic random variable X = c. In the case when c ≥ a, P (|X| ≥ a) = 1 c≥a = E|X| a. We can get different bounds by investigating various choices of h.
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