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Classical results concerning concentration of Gaussian random variables due to Cirelson, Ibragimov and Sudakov say that if $V_1,\cdots,V_n$ are jointly Gaussian with variance bounded by $1$, then (constant can be improved but not much of my concern) \begin{equation} \mathbb{P}(|M-\mathbb{E}[M]|>t)\leq 2\exp(-t^2/2) \end{equation} where $M=\max_{1\leq i\leq n}V_i$. Similar dimension-free concentration results hold for suprema of Gaussian process indexed by general $T$. This follows by the general log-Sobolev inequality for Gaussian measures. For general processes, the approach I'm aware of involves some kind of maximal inequality(c.f. van de Vaart and Wellner(1996)), where in the concentration bound an entropy number measuring the size of $T$ is necessary.

My question is that, is the dimension free concentration phenomenon unique to Gaussian processes, or even when $|T|<\infty$, do we have analogous result to the above display when $V_i$'s are non-Gaussian? In particular, I'm curious if there is any analogous result of this type with (possibly) $$\mathbb{P}(|M-\mathbb{E}[M]|>t)\leq C t^{-\alpha} \wedge 1$$ for some $\alpha>0$ that may be determined by moment conditions of $V_i$'s?

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    $\begingroup$ You are missing a condition on the variance of the $V_i$s. In general, if your $V_i$ satisfy jointly a log-sobolev inequality then the same result will hold. This is the case if for example the joint law of the $V_i$s is of the form $e^{-W(V_1,\ldots,V_n)} d\gamma$ where $\gamma$ is the standard Gaussian and $W$ is convex. What is special about Gaussian is actually the part of the theory that deals with the computation of $EM$. $\endgroup$ Commented Jun 22, 2015 at 4:40
  • $\begingroup$ @oferzeitouni Thanks very much for the correction! It seems to me that log-Sobolev may be well-suited for exponential bound...Is there any positive results that concerning dimension free tail bounds that involve other types of tail scaling, say, polynomially decreasing tail as editted in the question statement? $\endgroup$
    – Roy Han
    Commented Jun 22, 2015 at 19:13

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