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Library for concentration bounds

Project description

Concentration bounds library

  • concentration_bounds: marginal (non-uniform) bounds for bounded (Hoeffding, Bernstein, Bentkus...) and unbounded (sub-Gaussian Chernoff...) distributions.
  • concentration_variance_bounds: marginal (non-uniform) bounds on the standard deviation process for bounded distributions.
  • empirical_concentration_bounds: marginal bounds with data-dependent estimators rather than fixed parameters (e.g the variance in Bernstein bound is estimated from the data instead of being prior knowledge).
  • uniform_concentration_bounds: sample size-uniform bounds (union, time-peeling, method of mixtures...).

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