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PAC-Bayes Iterated Logarithm Bounds for Martingale Mixtures
Published 22 Jun 2015 in cs.LG, math.PR, and stat.ML | (1506.06573v1)
Abstract: We give tight concentration bounds for mixtures of martingales that are simultaneously uniform over (a) mixture distributions, in a PAC-Bayes sense; and (b) all finite times. These bounds are proved in terms of the martingale variance, extending classical Bernstein inequalities, and sharpening and simplifying prior work.
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