Vershynin

We study the class of sub-Gaussian random variables: those random variables whose tails are dominated by a Gaussian. Such random variables satisfy Hoeffding-type bounds and possess several interesting properties. We also define the sub-Gaussian norm and study its properties.

A result on the convergence of sample mean and notes on some standard concentration inequalities such as the Markov, Chernoff, Hoeffding, and Chernoff’s bounds