English

Moment free deviation inequalities for linear combinations of independent random variables with power-type tails

Probability 2022-08-17 v4 Functional Analysis

Abstract

We present order of magnitude estimates for the quantiles of non-negative linear combinations of non-negative random variables, as well as deviation inequalities for general linear combinations of independent random variables, under the assumption that all random variables satisfy the same power-type tail bound on P{Xi>t}\mathbb{P}\{\left\vert X_i\right\vert>t\} of the form tqt^{-q}, tq/2t^{-q/2} or tq/2(lnt)q/2t^{-q/2}(\ln t)^{q/2}, for q>2q>2. The third type is applicable in the nonlinear setting. In the situations we consider, these results improve on classical estimates of Nagaev.

Keywords

Cite

@article{arxiv.2207.01867,
  title  = {Moment free deviation inequalities for linear combinations of independent random variables with power-type tails},
  author = {Daniel J. Fresen},
  journal= {arXiv preprint arXiv:2207.01867},
  year   = {2022}
}

Comments

29 pages. A significant amount of the material here was originally part of arXiv:2203.12523 and/or arXiv:1812.10938 and now stands as a paper on its own. This paper used to have the title 'Variations and extensions of the Gaussian concentration inequality, Part IIa: Linear case'