Variations and extensions of the Gaussian concentration inequality, Part II

03/23/2022

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by   Daniel J. Fresen, et al.

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Pisier's version of the Gaussian concentration inequality is transformed and used to prove deviation inequalities for locally Lipschitz functions with respect to heavy tailed product measures on Euclidean space. The approach is, in our opinion, more direct than much of the modern theory of concentration of measure (i.e. Poincaré and log-Sobolev inequalities, estimating moments etc.).