A tail inequality for quadratic forms of subgaussian random vectors
Probability
2011-10-14 v1 Machine Learning
Abstract
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.
Cite
@article{arxiv.1110.2842,
title = {A tail inequality for quadratic forms of subgaussian random vectors},
author = {Daniel Hsu and Sham M. Kakade and Tong Zhang},
journal= {arXiv preprint arXiv:1110.2842},
year = {2011}
}