Probability
Improved Inference For SPLASH
This post builds off my earlier post on concentration inequalities and empirical Bernstein bounds. Here, I’m going to try to apply those ideas to get a better bound on the...
Betting-Based Confidence Sequences
A colleague introduced me to some recent work from Waudby-Smith and Ramdas here at Carnegie Mellon. Since I’ve been working on applications of concentration bounds, it certainly seems important to...
Martingales
This post works through highlights of Aaditya Ramdas’ 2018 minicourse on martingales at Carnegie Mellon University1 with some supplemental information taken Durrett2 and some definitions from Wikipedia. Additional definitions are...
Measure Theory
My work has become much more technical that I am used to, so I thought it would be good to take some notes on basic measure and probability theory in...
Concentration Inequalities
In this post, I’m going to take myself through a review of standard concentration inequalities in probability theory with an ultimate goal of exploring empirical Bernstein bounds. Note: Not all...