Estimation of the sub-Gaussian parameter

Jason Liu, Min Xu, Jinchuan Xing

The sub-Gaussian parameter (also called the variance proxy) of a mean-zero random variable $X$ is defined as $\hat{I}{¾}_{\ast }^2={\sup }_{\hat{I}»\in \mathbb{R}}L(\hat{I}»)$ where $L(λ) = \frac{2}{λ^2}…