Measure Concentration for Compound Poisson Distributions

Abstract

We give a simple development of the concentration properties of compound Poisson measures on the nonnegative integers. A new modification of the Herbst argument is applied to an appropriate modified logarithmic-Sobolev inequality to derive new concentration bounds. When the measure of interest does not have finite exponential moments, these bounds exhibit optimal polynomial decay. Simple new proofs are also given for earlier results of Houdr{é} (2002) and Wu (2000).