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 language | English (US) |
|---|---|
| Journal | Electronic Communications in Probability |
| Volume | 17 |
| DOIs | |
| State | Published - 2012 |
| Externally published | Yes |
Keywords
- Quadratic form
- Subgaussian chaos
- Subgaussian random vectors
- Tail inequality
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty