Improved concentration bounds for sums of independent sub-exponential random variables

TL;DR

This paper improves Bernstein-type bounds on the tail probabilities for sums of independent zero-mean sub-exponential variables, achieving tighter bounds with optimality features.

Contribution

It introduces improved concentration bounds for sums of sub-exponential variables with enhanced optimality properties.

Findings

Tighter tail probability bounds established

Bounds demonstrate near-optimality

Applicable to sums of independent sub-exponential variables

Abstract

Known Bernstein-type upper bounds on the tail probabilities for sums of independent zero-mean sub-exponential random variables are improved in several ways at once. The new upper bounds have a certain optimality property.