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An extension of McDiarmid's inequality
Published 17 Nov 2015 in cs.LG, math.PR, math.ST, and stat.TH | (1511.05240v4)
Abstract: We generalize McDiarmid's inequality for functions with bounded differences on a high probability set, using an extension argument. Those functions concentrate around their conditional expectations. We further extend the results to concentration in general metric spaces.
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