Inequalities for sums of random variables in noncommutative probability spaces

Source abstract

In this paper, we establish an extension of a noncommutative Bennett inequality with a parameter $1\leq r\leq 2$ and use it together with some noncommutative techniques to establish a Rosenthal inequality. We also present a noncommutative Hoeffding inequality as follows: Let $(\mathfrak {M}, \tau )$ be a noncommutative probability space, $\mathfrak {N}$ be a von Neumann subalgebra of $\mathfrak {M}$ with the corresponding conditional expectation $\mathcal {E}_{\mathfrak {N}}$ and let subalgebras $\mathfrak {N}\subseteq \mathfrak {A}_j\subseteq \mathfrak {M}\,\,(j=1, \cdots , n)$ be successively independent over $\mathfrak {N}$. Let $x_j\in \mathfrak {A}_j$ be self-adjoint such that $a_j\leq x_j\leq b_j$ for some real numbers $a_j\lt b_j$ and $\mathcal {E}_{\mathfrak {N}}(x_j)=\mu$ for some $\mu \geq 0$ and all $1\leq j\leq n$. Then for any $t>o$ it holds that $${\rm Prob}\bigg (\bigg |\sum _{j=1}^n x_j-n\mu \bigg |\geq t\bigg )\leq 2 \exp \bigg \{\frac {-2t^2}{\sum _{j=1}^n(b_j-a_j)^2}\bigg \}.$$