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2026-01-07 02:07 UTC · math.PR · math.PR, math.ST

Universal concentration for sums under arbitrary dependence

Cosme Louart, Sicheng Tan

We present a universal concentration bound for sums of random variables under arbitrary dependence, and we prove that it is asymptotically optimal for broad families of marginals admitting a uniform integrable tail-quantile envelope. The bound follows directly from the subadditivity of expected shortfall, a property well known in the risk-measure literature. Our sharpness result relies on an explicit construction of asymptotically extremal couplings. We furthermore provide practical sufficient conditions -- based on convex transformation order comparisons with exponential and power-law envelopes -- under which the bound admits simple, explicit tail profiles.
arXiv abstractPDF

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