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

Holger Sambale

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arXiv · 2002.10761

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

Holger Sambale

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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.

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Holger Sambale. 2020-02-25. Some notes on concentration for $\alpha$-subexponential random variables. https://arxiv.org/abs/2002.10761

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