Some notes on concentration for $\alpha$-subexponential random variables

Abstract

We prove extensions of classical concentration inequalities for random variables which have $\alpha$-subexponential tail decay for any $\alpha \in (0,2]$. This includes Hanson--Wright type and convex concentration inequalities. We also provide some applications of these results. This includes uniform Hanson--Wright inequalities and concentration results for simple random tensors in the spirit of previous work by Klochkov--Zhivotovskiy and Vershynin.

arXiv commentFinal version as to be published in HDP IX (The Ethereal Volume)