Orlicz norms and concentration inequalities for β-heavy tailed random variables
Orlicz norms and concentration inequalities for β-heavy tailed random variables
We establish a new concentration-of-measure inequality for the sum of independent random variables with β- heavy tail. This includes exponential of Gaussian distributions (a.k.a. log-normal distributions), or exponential of Weibull distributions, among others. These distributions have finite polynomial moments at any order but may not have finite α-exponential moments. We …