Zou Bin, Tang Yuanyan, Li Luoqing, Xu Jie. New Bernstein's Inequalities for Dependent Observations and Applications to Learning Theory[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(6): 570-584.
Citation: Zou Bin, Tang Yuanyan, Li Luoqing, Xu Jie. New Bernstein's Inequalities for Dependent Observations and Applications to Learning Theory[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(6): 570-584.

New Bernstein's Inequalities for Dependent Observations and Applications to Learning Theory

  • The classical concentration inequalities deal with the deviations of functions of independent and identically distributed (i.i.d.) random variables from their expectation and these inequalities have numerous important applications in statistics and machine learning theory. In this paper we go far beyond this classical framework by establish two new Bernstein type concentration inequalities for -mixing sequence and uniformly ergodic Markov chains. As the applications of the Bernstein's inequalities, we also obtain the bounds on the rate of uniform deviations of empirical risk minimization (ERM) algorithms based on -mixing observations.
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