Hoeffding’s Inequality

Hoeffding’s inequality is a tool for describing how the variance of a statistic affects its reliability.

It is named after Karl Hoeffding, who developed it in the early 20th century. Hoeffding’s inequality states that the variance of a statistic, Var(x), always decreases as x increases.

This means that if we want to know how reliable a statistic is, we can simply look at its variance.

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