Moment free deviation inequalities for linear combinations of independent random variables with power-type tails
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 of the form , or , for . 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'