Abstract.
We give a proof of Devroye and exponential inequalities based on a coupling. We mostly deal with the case of continuous random variables with dynamical systems in mind (and their rather special mixing properties) although the approach is more general.
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Collet, P. Variance and exponential estimates via coupling. Bull Braz Math Soc, New Series 37, 461–475 (2006). https://doi.org/10.1007/s00574-006-0022-1
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DOI: https://doi.org/10.1007/s00574-006-0022-1