Concentration for independent random variables with heavy tails
classification
🧮 math.PR
keywords
concentrationindependentcopiesrandomconditionsdependenceestablishexponentially
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If a random variable is not exponentially integrable, it is known that no concentration inequality holds for an infinite sequence of independent copies. Under mild conditions, we establish concentration inequalities for finite sequences of $n$ independent copies, with good dependence in $n$.
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