A Constructive Proof of a Concentration Bound for Real-Valued Random Variables
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Almost 10 years ago, Impagliazzo and Kabanets (2010) gave a new combinatorial proof of Chernoff's bound for sums of bounded independent random variables. Unlike previous methods, their proof is constructive. This means that it provides an efficient randomized algorithm for the following task: given a set of Boolean random variables whose sum is not concentrated around its expectation, find a subset of statistically dependent variables. However, the algorithm of Impagliazzo and Kabanets (2010) is given only for the Boolean case. On the other hand, the general proof technique works also for real-valued random variables, even though for this case, Impagliazzo and Kabanets (2010) obtain a concentration bound that is slightly suboptimal. Here, we address both these issues: we show how to extend the Impagliazzo-Kabanets algorithm to real-valued random variables, and we improve the corresponding concentration bound by a constant factor.
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