Concentration of measures via size-biased couplings (Q718869): Difference between revisions

Let \(Y\) be a nonnegative random variable with mean \(\mu\) and finite positive variance \(\sigma^2,\) and let \(Y^s,\) defined on the same probability space as \(Y,\) have the \(Y\) size-biased distribution, characterized by the equality \[ E(Yf(Y))=\mu Ef(Y^s) \] for all functions \(f\) for which these expectations exist. Under a variety of conditions on \(Y\) and the coupling of \(Y\) and \(Y^s\) the one sided concentration of measure ineaqualities of the type \[ P\left (\frac{Y-\mu}{\sigma}\geq t\right )\leq \exp \left ( \frac{t^2}{2(A+Bt)}\right ) \] for all \(t\geq 0\) and some explicit \(A\) and \(B\) are derived.