OpenStax-CNX module: m37185

Sub-Gaussian random variables

Mark A. Davenport
This work is produced by OpenStax-CNX and licensed under the

Creative Commons Attribution License 3.0

Abstract
In this module we introduce the sub-Gaussian and strictly sub-Gaussian distributions. We provide
some simple examples and illustrate some of the key properties of sub-Gaussian random variables.

A number of distributions, notably Gaussian and Bernoulli, are known to satisfy certain concentration
of measure1 inequalities. We will analyze this phenomenon from a more general perspective by considering
the class of sub-Gaussian distributions [1].

Denition 1:

A random variable X is called

sub-Gaussian

if there exists a constant c > 0 such that

E (exp (Xt)) exp c2 t2 /2


holds for all t R. We use the notation X Sub c2 to denote that X satises (1).

(1)

The function E (exp (Xt)) is the moment-generating function of X , while the upper bound in (1) is
the moment-generating function of a Gaussian random variable. Thus, a sub-Gaussian distribution is one
whose moment-generating function is bounded by that of a Gaussian. There are a tremendous number of
sub-Gaussian distributions, but there are two particularly important examples:

Example 1

If X
N 0, 2 , i.e., X is a zero-mean Gaussian random variable with variance 2 , then X

Sub 2 . Indeed, as mentioned
above, the moment-generating function of a Gaussian is given by


E (exp (Xt)) = exp 2 t2 /2 , and thus (1) is trivially satised.

Example 2

If X is a zero-mean, bounded random variable, i.e.,
one for which there exists a constant B such
that |X| B with probability 1, then X Sub B 2 .
A common way to characterize sub-Gaussian random variables is through analyzing their moments. We
consider only the mean and variance in the following elementary lemma, proven in [1].
Lemma 1: (Buldygin-Kozachenko
[1])


If X Sub c2 then,
E (X) = 0

(2)

E X 2 c2 .

(3)

and

Version

1.6: Apr 10, 2011 12:32 am -0500

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1 "Concentration of measure for sub-Gaussian random variables" <http://cnx.org/content/m32583/latest/>

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OpenStax-CNX module: m37185

Lemma 1, (Buldygin-Kozachenko [1]), p. 1 shows that if X Sub c2 then E X 2 c2 . In some

settings it will be useful to consider a more restrictive class of random variables for which this inequality
becomes an equality.

Denition 2:

A random variable X is called strictly sub-Gaussian if X Sub 2 where 2 = E X 2 , i.e., the

inequality

(4)

E (exp (Xt)) exp 2 t2 /2

holds for all t R. To
denote that X is strictly sub-Gaussian with variance , we will use the
notation X SSub 2 .
2

Example 3

If X N 0, 2 , then X SSub 2 .

Example 4

If X U (1, 1), i.e., X is uniformly distributed on the interval [1, 1], then X SSub (1/3).

Example 5

Now consider the random variable with distribution such that

1s
, P (X = 0) = s, s [0, 1) .
2
For any s [0, 2/3], X SSub (1 s). For s (2/3, 1), X is not strictly sub-Gaussian.
P (X = 1) = P (X = 1) =

(5)

We now provide an equivalent characterization for sub-Gaussian and strictly sub-Gaussian random variables,
proven in [1], that illustrates their concentration of measure behavior.
Theorem 1: (Buldygin-Kozachenko

[1])
A random variable X Sub c2 if and only if there exists a t0 0 and a constant a 0 such
that


t2
P (|X| t) 2exp 2
2a


for all t t0 . Moreover, if X SSub 2 , then (6) holds for all t > 0 with a = .

(6)

Finally, sub-Gaussian distributions also satisfy one of the fundamental properties of a Gaussian distribution: the sum of two sub-Gaussian random variables is itself a sub-Gaussian random variable. This result is
established in more generality in the following lemma.

Lemma 2:

Suppose that X = [X1 ,
X2 , ..., XN ], where each Xi is independent and identically
distributed


2
2
(i.i.d.) with X
i Sub c2 . Then for any RN , < X, > Sub
c
k

k
.
Similarly,
if each
2


Xi SSub 2 , then for any RN , < X, > SSub 2 k k22 .

Proof:

Since the Xi are i.i.d., the joint distribution factors and simplies as:


 P
N
E exp t i=1 i Xi

=E

N
Q


exp (ti Xi )

i=1

N
Q

E (exp (ti Xi ))


2

exp c2 (i t) /2
i=1
P


N
2
2 2
= exp
i=1 i c t /2 .
i=1
N
Q

http://cnx.org/content/m37185/1.6/

(7)

OpenStax-CNX module: m37185

If the Xi are
strictly sub-Gaussian, then the result follows by setting c2 = 2 and observing that
E < X, >2 = 2 k k22 .

References
[1] V. Buldygin and Y. Kozachenko. Metric Characterization
American Mathematical Society, Providence, RI, 2000.

http://cnx.org/content/m37185/1.6/

of Random Variables and Random Processes.