Bounds on tail probabilities for quadratic forms in dependent sub-gaussian random variables
Probability
2020-08-14 v3
Abstract
We show bounds on tail probabilities for quadratic forms in sub-gaussian non-necessarily independent random variables. Our main tool will be estimates of the Luxemburg norms of such forms. This will allow us to formulate the above-mentioned bounds. As an example we give estimates of the excess loss in fixed design linear regression in dependent observations.
Cite
@article{arxiv.1809.08569,
title = {Bounds on tail probabilities for quadratic forms in dependent sub-gaussian random variables},
author = {Krzysztof Zajkowski},
journal= {arXiv preprint arXiv:1809.08569},
year = {2020}
}
Comments
11 pages