On the links between Stein transforms and concentration inequalities for dependent random variables

In this paper, we explore some links between transforms derived by Stein’s method and concentration inequalities. In particular, we show that the stochastic domination of the zero bias transform of a random variable is equivalent to sub-Gaussian concentration. For this purpose a new stochastic order is considered. In a second time, we study the case of functions of slightly dependent light-tailed random variables. We are able to recover the famous McDiarmid type of concentration inequality for functions with the bounded difference property. Additionally, we obtain new concentration bounds when we authorize a light dependence between the random variables. Finally, we give a analogous result for another type of Stein’s transform, the so-called size bias transform.