Concentration of norms of random vectors with independent p-sub-exponential coordinates

MaRDI QIDQ6325325zbMATH OpenFDO

Authors Krzysztof Zajkowski

Publication date 15 September 2019

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Abstract: We present examples of $p$-sub-exponential random variables for any positive $p$. We prove two types of concentration of standard $p$-norms ($2$-norm is the Euclidean norm) of random vectors with independent $p$-sub-exponential coordinates around the Lebesgue $L^p$-norms of these $p$-norms of random vectors. In the first case $pge1$, our estimates depend on the dimension $n$ of random vectors. But in the second one for $pge2$, with an additional assumption, we get an estimate that does not depend on $n$. In other words, we generalize some know concentration results in the Euclidean case to cases of the $p$-norms of random vectors with independent $p$-sub-exponential coordinates.

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