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 ${\xi }_{\ast }^2={\sup }_{\lambda \in \mathbb{R}}L(\lambda )$ where $L(λ) = \frac{2}{λ^2} \log…