Concentration inequalities under sub-Gaussian and sub-exponential conditions

Andreas Maurer · Massimiliano Pontil

Keywords: [ Theory ]

[ Abstract ]
[ OpenReview
Fri 10 Dec 8:30 a.m. PST — 10 a.m. 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.

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