Optimal re-centering bounds, with applications to Rosenthal-type concentration of measure inequalities
Abstract
For any nonnegative Borel-measurable function f such that f(x)=0 if and only if x=0, the best constant cf in the inequality E f(X-E X) ≤ cf E f(X) for all random variables X with a finite mean is obtained. Properties of the constant cf in the case when f=|.|p are studied. Applications to concentration of measure in the form of Rosenthal-type bounds on the moments of separately Lipschitz functions on product spaces are given.
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