Orlicz norms and concentration inequalities for β-heavy tailed random variables
Résumé
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 exhibit a Orlicz norm adapted to this setting of β-heavy tails, we prove a new Talagrand inequality for the sum and a new maximal inequality. As consequence, a bound on the deviation probability of the sum from its mean is obtained, as well as a bound on uniform deviation probability.
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