Sharp Concentration Inequalities: Phase Transition and Mixing of Orlicz Tails with Variance

2026-03-26

AI Summary

This work addresses the limited precision of existing concentration inequalities for sub-Weibull random variables—encompassing sub-Gaussian and sub-exponential distributions—when the Ψ_α Orlicz norm significantly exceeds the standard deviation. To overcome this, we introduce a novel framework that jointly incorporates variance and the Ψ_α Orlicz norm, for the first time decoupling their roles in tail behavior analysis. By employing a min-max mechanism to flexibly capture tail decay, our approach reveals a phase transition at α = 2. The resulting inequalities strictly sharpen classical sub-Gaussian bounds when α = 2 and sub-exponential bounds when α = 1. Built on tools from Orlicz space theory, tail bound estimation, and phase transition analysis, the method extends naturally to martingales, random vectors, random matrices, and covariance estimation, yielding sharper non-asymptotic guarantees across various statistical and machine learning applications.

Abstract

In this work, we investigate how to develop sharp concentration inequalities for sub-Weibull random variables, including sub-Gaussian and sub-exponential distributions. Although the random variables may not be sub-Guassian, the tail probability around the origin behaves as if they were sub-Gaussian, and the tail probability decays align with the Orlicz $Ψ_α$-tail elsewhere. Specifically, for independent and identically distributed (i.i.d.) $\{X_i\}_{i=1}^n$ with finite Orlicz norm $\|X\|_{Ψ_α}$, our theory unveils that there is an interesting phase transition at $α= 2$ in that $\PPł(ł|\sum_{i=1}^n X_i \r| \geq t\r)$ with $t > 0$ is upper bounded by $2\expł(-C\maxł\{\frac{t^2}{n\|X\|_{Ψ_α}^2},\frac{t^α}{ n^{α-1} \|X\|_{Ψ_α}^α}\r\}\r)$ for $α\geq 2$, and by $2\expł(-C\minł\{\frac{t^2}{n\|X\|_{Ψ_α}^2},\frac{t^α}{ n^{α-1} \|X\|_{Ψ_α}^α}\r\}\r)$ for $1\leq α\leq 2$ with some positive constant $C$. In many scenarios, it is often necessary to distinguish the standard deviation from the Orlicz norm when the latter can exceed the former greatly. To accommodate this, we build a new theoretical analysis framework, and our sharp, flexible concentration inequalities involve the variance and a mixing of Orlicz $Ψ_α$-tails through the min and max functions. Our theory yields new, improved concentration inequalities even for the cases of sub-Gaussian and sub-exponential distributions with $α= 2$ and $1$, respectively. We further demonstrate our theory on martingales, random vectors, random matrices, and covariance matrix estimation. These sharp concentration inequalities can empower more precise non-asymptotic analyses across different statistical and machine learning applications.

Problem

• concentration inequalities
• sub-Weibull
• Orlicz tails
• phase transition
• variance

Innovation

• sharp concentration inequalities
• sub-Weibull
• phase transition
• Orlicz norm
• variance-Orlicz mixing