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Oct
10
comment Tail bounds for square of sub-exponential random variable
Again, I never claimed that they are sub-exponential. Please take a look at the question again. Also for the interested(thanks to Prof. Vershynin's pointers): such a class of random variables are in the class $\psi_1$. One could handle them through something along the lines of Theorem 6.21 in probability in Banach spaces book.
Oct
7
comment Tail bounds for square of sub-exponential random variable
Maybe I was not clear. I agree with your statement. When $X'$ is sub-Gaussian, $X'^2$ is sub-exponential. But in my question $X$ is sub-exponential and I want tail bounds for $X^2$ in this case.
Oct
6
asked Tail bounds for square of sub-exponential random variable