Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 22 (2017), paper no. 54, 14 pp.
On the sub-Gaussianity of the Beta and Dirichlet distributions
We obtain the optimal proxy variance for the sub-Gaussianity of Beta distribution, thus proving upper bounds recently conjectured by Elder (2016). We provide different proof techniques for the symmetrical (around its mean) case and the non-symmetrical case. The technique in the latter case relies on studying the ordinary differential equation satisfied by the Beta moment-generating function known as the confluent hypergeometric function. As a consequence, we derive the optimal proxy variance for the Dirichlet distribution, which is apparently a novel result. We also provide a new proof of the optimal proxy variance for the Bernoulli distribution, and discuss in this context the proxy variance relation to log-Sobolev inequalities and transport inequalities.
Electron. Commun. Probab., Volume 22 (2017), paper no. 54, 14 pp.
Received: 19 June 2017
Accepted: 4 October 2017
First available in Project Euclid: 13 October 2017
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Primary: 97K50: Probability theory
Marchal, Olivier; Arbel, Julyan. On the sub-Gaussianity of the Beta and Dirichlet distributions. Electron. Commun. Probab. 22 (2017), paper no. 54, 14 pp. doi:10.1214/17-ECP92. https://projecteuclid.org/euclid.ecp/1507860211