Concentration for independent random variables with heavy tails

Details Concentration for independent random variables with heavy tails Concentration for independent random variables with heavy tails

2005-05-24

arxiv.org/abs/math/0505492v1

Mathematics

Probability

Scientific paper

If a random variable is not exponentially integrable, it is known that no
concentration inequality holds for an infinite sequence of independent copies.
Under mild conditions, we establish concentration inequalities for finite
sequences of $n$ independent copies, with good dependence in $n$.

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