Norms of sub-exponential random vectors

Krzysztof Zajkowski

Statistics & Probability Letters, 2019, vol. 152, issue C, 147-152

Abstract: We discuss various forms of the Luxemburg norm in spaces of random vectors with coordinates belonging to the classical Orlicz spaces of exponential type. We prove equivalent relations between some kinds of these forms. We also show when the so-called uniform norm is majorized by norms of coordinates up to some constants. We give an application of other norm to study of chaos in random vectors with sub-exponential coordinates.

Keywords: Orlicz spaces of exponential type; Luxemburg norm; Random chaoses; Young transform (convex conjugate); Hanson–Wright inequality (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.05.002

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