Concentration of quadratic forms under a Bernstein moment assumption
Statistics Theory
2019-01-28 v1 Statistics Theory
Abstract
A concentration result for quadratic form of independent subgaussian random variables is derived. If the moments of the random variables satisfy a "Bernstein condition", then the variance term of the Hanson-Wright inequality can be improved. The Bernstein condition is satisfied, for instance, by all log-concave subgaussian distributions.
Keywords
Cite
@article{arxiv.1901.08736,
title = {Concentration of quadratic forms under a Bernstein moment assumption},
author = {Pierre C Bellec},
journal= {arXiv preprint arXiv:1901.08736},
year = {2019}
}
Comments
This short note presents a result that initially appeared in arXiv:1410.0346v1 (see Assumption 3.3). The result was later removed from arXiv:1410.0346 and the published version https://projecteuclid.org/euclid.aos/1519268423 due to space constraints