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Convex Order Comparisons for Sub-Gamma Random Variables

Khribch, El Mahdi et al.
arXiv (OAI Expanded) · Papers
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probability
Recent work has shown that sub-Gaussian random variables are dominated in convex order by a sharp multiple of a Gaussian. We study the analogous question for the sub-Gamma class underlying Bernstein's inequality, with the Laplace law as the majorant. Here the moment generating function is controlled
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