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Bennett rate function (ϕ(u)=(1+u)log(1+u)−u)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability inequality Concentration inequality Bennett inequality
2026-10-05  0 By others on same topic  0 Discussions Create my own version
The Bennett rate function has Taylor expansion ϕ(u)=u2/2−u3/6+O(u4) near zero. It is the optimized exponent in the Chernoff bound based on the moment-generating function estimate for the Bennett inequality.

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  • Bennett rate function
  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 210 / 4 / Solution

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