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

Iosif Pinelis

Statistics & Probability Letters, 2022, vol. 191, issue C

Abstract: 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.

Keywords: Concentration bounds; Bernstein-type bounds; Sub-exponential random variables; Sums of independent random variables (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109666

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