A tail inequality for quadratic forms of subgaussian random vectors

Daniel Hsu, Sham M. Kakade, Tong Zhang

Research output: Contribution to journalArticlepeer-review

Abstract

This article proves an exponential probability tail inequality for positive semidefinite quadratic forms in a subgaussian random vector. The bound is analogous to one that holds when the vector has independent Gaussian entries.

Original languageEnglish (US)
JournalElectronic Communications in Probability
Volume17
DOIs
StatePublished - 2012
Externally publishedYes

Keywords

  • Quadratic form
  • Subgaussian chaos
  • Subgaussian random vectors
  • Tail inequality

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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