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Journal articles
On the sub-Gaussianity of the Beta and Dirichlet distributions
Abstract : We obtain the optimal proxy variance for the sub-Gaussianity of Beta distributions, thus proving, and improving, a recent conjecture made 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 also derive the optimal proxy variance for Dirichlet distributions.
https://hal.archives-ouvertes.fr/hal-01521300
Contributor : Olivier Marchal <>
Submitted on : Friday, January 26, 2018 - 11:54:56 AM
Last modification on : Thursday, March 26, 2020 - 8:49:33 PM
Contributor : Olivier Marchal <>
Submitted on : Friday, January 26, 2018 - 11:54:56 AM
Last modification on : Thursday, March 26, 2020 - 8:49:33 PM
Annex
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convergence-1.pdf Figure, Image
