Year: 2024
Type: preprint
Abstract: This note provides a basic description of subgaussianity, by defining $(σ, ρ)$-subgaussian random variables $X$ ($σ>0, ρ>0$) as those satisfying $\mathbb{E}(\exp(λX))\leq ρ\exp(\frac{1}{2}σ^2λ^2)$ for any $λ\in\mathbb{R}$. The introduction of the parameter $ρ$ may be particularly useful for those seeking to refine bounds, or align results from different sources, in the analysis of stochastic processes and concentration inequalities.
Source: arXiv (Cornell University)
Author: Li, Yang
Institution: The University of Tokyo
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Award: G5368403867
OpenAlex ID: W4400600763