Improved concentration bounds for sums of independent sub-exponential random variables

Known Bernstein-type upper bounds on the tail probabilities for sums of independent zero-mean sub-exponential random variables are improved in several ways at once. The new upper bounds have a certain optimality property.

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Bibliographic Details
Published in:Statistics & probability letters 2022-12, Vol.191, p.109666, Article 109666
Main Author: Pinelis, Iosif
Format: Article
Language:English
Subjects:
Bernstein-type bounds
Concentration bounds
Sub-exponential random variables
Sums of independent random variables
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Description
Summary:Known Bernstein-type upper bounds on the tail probabilities for sums of independent zero-mean sub-exponential random variables are improved in several ways at once. The new upper bounds have a certain optimality property.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2022.109666