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Bernstein moment condition

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Sub-Gaussian random variable Sub-exponential random variable
2026-09-28  0 By others on same topic  0 Discussions Create my own version
A centered random variable X with E[X2]=ν satisfies the Bernstein moment condition with parameter b when
∣E[Xk]∣≤2k!​νbk−2
(1)
for every integer k≥2. Summing its moment-generating series shows that it is sub-exponential with parameters (2ν,2b).

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  1. Sub-exponential random variable
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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 208 / 1 / d / Solution

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