Title: Tight Non-asymptotic Inference via Sub-Gaussian Intrinsic Moment Norm. Abstract: In non-asymptotic statistical inferences, variance-type parameters of sub-Gaussian distributions play a crucial role. However, direct estimation of these parameters based on the empirical moment generating function (MGF) is infeasible. To this end, we recommend using a sub-Gaussian intrinsic moment norm [Buldygin and Kozachenko (2000), Theorem 1.3] through maximizing a series of normalized moments. Importantly, the recommended norm can not only recover the exponential moment bounds for the corresponding MGFs, but also lead to tighter Hoeffiding's sub-Gaussian concentration inequalities. In practice, intrinsic moment norm can be robustly and consistently estimated via a simple plug-in approach. Our theoretical results are applied to non-asymptotic analysis, including the multi-armed bandit.