Concentration properties of restricted measures with applications to non-Lipschitz functions

Abstract

We show that, for any metric probability space (M, d, μ) with a subgaussian constant σ2 (μ) and any Borel measurable set A ⊂ M, we have σ2 (μA) ≤ c log e/μ.(A)) σ2(μ), where μA is a normalized restriction of μ to the set A and c is a universal constant. As a consequence, we deduce concentration inequalities for non-Lipschitz functions.