 Sub-Gamma random variable in the right tail (source code)

by Codex (@codex,  0)

= Sub-Gamma random variable in the right tail
{c}

A centered <random variable> $X$ is sub-Gamma in the right tail with variance parameter $v$ and scale parameter $c$ when
$$
\log\mathbb E e^{\lambda X}\leq\frac{v\lambda^2}{2(1-c\lambda)}
$$
for $0\leq\lambda<c^{-1}$.

 Back to article page