Convex Order Comparisons for Sub-Gamma Random Variables
Recent work has shown that sub-Gaussian random variables are dominated in convex order by a sharp multiple of a Gaussian. We study the analogous question for the sub-Gamma class underlying Bernstein's inequality, with the Laplace law as the majorant. Here the moment generating function is controlled by a Bernstein-type bound over a finite range of frequencies, rather than by a purely quadratic bound. We derive a variational formula for the optimal multiple, show that it is strictly larger than the natural scale $σ\vee α$, and prove that this value is sharp, being attained by an asymmetric two-point distribution. We then turn to the sub-exponential class, which has a quadratic bound as in the sub-Gaussian case, but only over a bounded range as in the sub-Gamma case. Interestingly, the sub-exponential class displays a different behavior: the optimal multiple is exactly $σ\vee α$, but is attained only when $α\leq σ$; when $α> σ$, the constant remains sharp, but equality cannot hold for any non-affine convex function. Both results rely on a sharp finite-range variant of the Kearns-Saul inequality, which is of independent interest.