A tail inequality for quadratic forms of subgaussian random vectors

Details A tail inequality for quadratic forms of subgaussian random vectors A tail inequality for quadratic forms of subgaussian random vectors

2011-10-13

arxiv.org/abs/1110.2842v1

Mathematics

Probability

Scientific paper

We prove 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.

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