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stat.ML2025
Vector-valued self-normalized concentration inequalities beyond sub-Gaussianity
Diego Martinez-Taboada, Tomas Gonzalez, Aaditya Ramdas
The study of self-normalized processes plays a crucial role in a wide range of applications, from sequential decision-making to econometrics. While the behavior of self-normalized…
math.ST2025
Sharp Empirical Bernstein Bounds for the Variance of Bounded Random Variables
Diego Martinez-Taboada, Aaditya Ramdas
We develop novel empirical Bernstein inequalities for the variance of bounded random variables. Our inequalities hold under constant conditional variance and mean, without further…