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Sharp two-sided Gaussian tail bound (P(∣G∣>t)≤e−t2/2)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Gaussian tail bound
2026-10-06  0 By others on same topic  0 Discussions Create my own version
For G with the standard normal distribution and t≥0, P(∣G∣>t)=2(1−Φ(t))≤e−t2/2. The difference has derivative e−t2/2(2/π​−t), starts at zero, and tends to zero, proving its nonnegativity.

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  • Gaussian score event for the Lasso
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  • Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 205 / 3 / Solution

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