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Concentration for norms of infinitely divisible vectors with independent components

Christian Houdré·Philippe Marchal·Patricia Reynaud-Bouret
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Abstract

We obtain dimension-free concentration inequalities for $\ell^p$-norms, $p\geq2$, of infinitely divisible random vectors with independent coordinates and finite exponential moments. Besides such norms, the methods and results extend to some other classes of Lipschitz functions.

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Christian Houdré, Philippe Marchal, Patricia Reynaud-Bouret. 2008-11-14. Concentration for norms of infinitely divisible vectors with independent components. https://doi.org/10.3150/08-bej131

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