Using Hoeffding inequality for risk / loss function I've got a question to the Hoeffding Inequality which states, that for data points $X_1, \dots, X_n \in X$, which are i.i.d. according to a probability measure $P$ on $X$, we find an upper bound for:
$$P\left(\left|{\sum_{I=1}^n}X_i - \int_XX_1dP(x)\right| \ge \varepsilon\right) \le \alpha.$$
In machine learning proofs, this is often used for bounding functions, hence we get for a function $f: X \rightarrow \mathbb{R}$ a bound:
$$P\left(\left|{\sum_{I=1}^n}f(X_i) - \int_Xf(X_1)dP(x)\right| \ge \varepsilon\right) \le \alpha.$$
I don't understand, why we are able to obtain this bound with the same probability measure $P$. Why don't we need to look at a different / transformed probability measure $P_f$?
 A: I think this question is more on the definition side. Often times people don't distinguish $\mathbb{P}$ the probability measure in the underlying probability space, and $P$ the distribution or the probability measure induced by a random variable. Also people tend to use $P$ directly, without making any explicit reference to the original probability space. This can cause confusion.
The first inequality may be restated more precisely as follows. Let $X_i: \Omega \to \mathcal{X}$ be a real-valued Borel measurable map from the probability space $(\Omega, \mathcal{F}, \mathbb{P})$, for each $i=1,...,n$. Let $X_i$'s have a common distribution $P$. Then the first inequality should be
$$
\mathbb{P}\Big\{ \omega \in \Omega : \Big| \sum_{i=1}^n X_i(\omega) - \int_{\mathcal{X}} x P(dx) \Big| > \varepsilon  \Big\} \leq \alpha,
$$
which can be written as
$$
\mathbb{P}\Big\{ \Big| \sum_{i=1}^n X_i - \int_{\mathcal{X}} x P(dx) \Big| > \varepsilon \Big\} \leq \alpha.
$$
Notice $\mathbb{P}$ should be used instead of the distribution $P$.
In fact, the first inequality in your post doesn't really make sense when you read it rigorously: Since $P$ is a probability measure on $\mathcal{X}$, the argument of function $P$ should be a subset of $\mathcal{X}$.
The second inequality should be of the form
$$
\mathbb{P}\Big\{ \omega \in \Omega : \Big| \sum_{i=1}^n f(X_i(\omega)) - \int_{\mathcal{X}} f(x) P(dx) \Big| > \varepsilon  \Big\} \leq \alpha'.
$$
Notice you're essentially taking probability of some collection of outcomes in $\Omega$, which has nothing to do with the function $f$.
