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Concentration inequalities under sub-Gaussian and sub-exponential conditions
Andreas Maurer · Massimiliano Pontil

Fri Dec 10 08:30 AM -- 10:00 AM (PST) @

We prove analogues of the popular bounded difference inequality (also called McDiarmid's inequality) for functions of independent random variables under sub-gaussian and sub-exponential conditions. Applied to vector-valued concentration and the method of Rademacher complexities these inequalities allow an easy extension of uniform convergence results for PCA and linear regression to the case potentially unbounded input- and output variables.

Author Information

Andreas Maurer
Massimiliano Pontil (IIT & UCL)

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