Bernstein-type bounds for beta distribution
Volume 10, Issue 2 (2023), pp. 211–228
Pub. online: 13 February 2023
Type: Research Article
Open Access
Received
5 June 2022
5 June 2022
Revised
5 February 2023
5 February 2023
Accepted
6 February 2023
6 February 2023
Published
13 February 2023
13 February 2023
Abstract
This work obtains sharp closed-form exponential concentration inequalities of Bernstein type for the ubiquitous beta distribution, improving upon sub-Gaussian and sub-gamma bounds previously studied in this context.
The proof leverages a novel handy recursion of order 2 for central moments of the beta distribution, obtained from the hypergeometric representations of moments; this recursion is useful for obtaining explicit expressions for central moments and various tail approximations.
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