Some notes on concentration for $\alpha$-subexponential random variables

Holger Sambale

Some notes on concentration for $\alpha$-subexponential random variables

Probability 2022-12-09 v2

Authors: Holger Sambale

Abstract

We prove extensions of classical concentration inequalities for random variables which have $\alpha$ -subexponential tail decay for any $\alpha \in (0,2]$ . This includes Hanson--Wright type and convex concentration inequalities. We also provide some applications of these results. This includes uniform Hanson--Wright inequalities and concentration results for simple random tensors in the spirit of previous work by Klochkov--Zhivotovskiy and Vershynin.

Keywords

inequalities

Cite

@article{arxiv.2002.10761,
  title  = {Some notes on concentration for $\alpha$-subexponential random variables},
  author = {Holger Sambale},
  journal= {arXiv preprint arXiv:2002.10761},
  year   = {2022}
}

Comments

Final version as to be published in HDP IX (The Ethereal Volume)

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