2013 | OriginalPaper | Buchkapitel
On Some Gaussian Concentration Inequality for Non-Lipschitz Functions
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A concentration inequality for functions of a pair of Gaussian random vectors is established. Instead of the usual Lipschitz condition some boundedness of second-order derivatives is assumed. This result can be viewed as an extension of a well-known tail estimate for Gaussian random bi-linear forms to the non-linear case.