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This paper is concerned with the determination of tight lower and upper bounds on the expectation of a convex function of a random variable. The classic bounds are those of Jensen and ...
Luc Devroye, Gábor Lugosi, Local Tail Bounds for Functions of Independent Random Variables, The Annals of Probability, Vol. 36, No. 1 (Jan., 2008), pp. 143-159 ...