Sharp constants relating the sub-Gaussian norm and the sub-Gaussian parameter

Abstract

We determine the optimal constants in the classical inequalities relating the sub-Gaussian norm \(\|X\|_{\psi_2}\) and the sub-Gaussian parameter \(\sigma_X\) for centered real-valued random variables. We show that \(\sqrt{3/8} \cdot \|X\|_{\psi_2} \le \sigma_X \le \sqrt{\log 2} \cdot \|X\|_{\psi_2}\), and that both bounds are sharp, attained by the standard Gaussian and Rademacher distributions, respectively.