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Let $X_1, X_2,\cdots$ be an infinite sequence of sub-gaussian random variables which are not necessarily independent. Show that \begin{align*} \mathbb {E}\text{max}_{i}\frac {|X_i|}{\sqrt{1+\log i}}\leq CK, \end{align*} where $K=\text{max}_{i}\|X_i\|_{\psi_{2}}$. Deduce that for every $N\geq 2$ we have \begin{align*} \mathbb {E}\text{max}_{i\leq N}|X_i|\leq CK \sqrt{\log N}. \end{align*} This question is the Exercise 2.5.10 in https://www.math.uci.edu/~rvershyn/papers/HDP-book/HDP-book.pdf, and has been asked twice, you can find them here:Expected maximum of sub-Gaussian and Upper bound of expected maximum of weighted sub-gaussian r.v.s. But I don't think the answer is satisfactory since it did not give $CK$ explicitly.

  • Since this is a homework problem, people will be unwilling to post a fully worked solution. However, from the pages you linked, you can see that the constant can be obtained either by evaluating the given integral (which may be hard) or by bounding the integrand and evaluating an easier integral. – pre-kidney Jul 02 '19 at 01:22

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