In this lecture, we are discussing several basic results relating moment generating functions, exponential tail bounds, and moments of the sums of independent random variables. First, we introduce the moment generating function and prove a version of Hoeffding’s lemma for bounded random variables. Then, we discuss the Chernoff method and show how our bound on the moment generating function implies a concentration inequality for the sum of independent, bounded random variables. Finally, we show how similar tail inequalities imply the bound on the moments of this sum.
Chernoff bound, Hoeffding’s inequality and moments of the sum of independent random variables
12.01.2021 14:00 - 14:20
Organiser:
Fakultät für Mathematik
Location:
Online via Zoom