On McDiarmid's Inequality under Dependence via Approximate Tensorization of Entropy

We argue that dependent versions of McDiarmid's inequality are a useful but underutilized tool in mathematical statistics, learning theory and theoretical computer science. To make this point, we first highlight that approximate tensorization of entropy (ATE) implies McDiarmid's via the Entropy Method. Second, we derive McDiarmid's inequality for non-isotropic Gaussian random vectors $X \sim \mathcal N(μ, Σ)$ through ATE with a constant of the order of the condition number of $Σ$. We both independently obtain this ATE through a simple application of stochastic localization and also discuss how a more general ATE for the Gibbs sampler due to Ascolani et al., 2026 generalizes McDiarmid's-like concentration to strongly log-concave and log-smooth probability measures. We then apply the resulting concentration inequalities to resolve a question on the concentration of $\operatorname{sign}(X)$ posed by Simone Bombari, investigate Erdős-Rényi graphs under dependence and prove a Dvoretzky-Kiefer-Wolfowitz-type inequality for observations from a joint measure fulfilling ATE and continuous marginal CDFs. For the class of strongly log-concave and log-smooth measures, this result improves upon a prior Dvoretzky-Kiefer-Wolfowitz-type inequality for non-i.i.d. observations due to Bobkov and Götze, 2010, by establishing the expected $1/\sqrt{n}$-rate of convergence under weak dependence instead of $n^{-1/3}$.

Matrix Factorization for Practical Continual Mean Estimation Under User-Level Differential Privacy

We study continual mean estimation, where data vectors arrive sequentially and the goal is to maintain accurate estimates of the running mean. We address this problem under user-level differential privacy, which protects each user's entire dataset even when they contribute multiple data points. Previous work on this problem has focused on pure differential privacy. While important, this approach limits applicability, as it leads to overly noisy estimates. In contrast, we analyze the problem under approximate differential privacy, adopting recent advances in the Matrix Factorization mechanism. We introduce a novel mean estimation specific factorization, which is both efficient and accurate, achieving asymptotically lower mean-squared error bounds in continual mean estimation under user-level differential privacy.