Hanson-Wright inequality and sub-gaussian concentration
Probability
2013-10-02 v3
Abstract
In this expository note, we give a modern proof of Hanson-Wright inequality for quadratic forms in sub-gaussian random variables. We deduce a useful concentration inequality for sub-gaussian random vectors. Two examples are given to illustrate these results: a concentration of distances between random vectors and subspaces, and a bound on the norms of products of random and deterministic matrices.
Cite
@article{arxiv.1306.2872,
title = {Hanson-Wright inequality and sub-gaussian concentration},
author = {Mark Rudelson and Roman Vershynin},
journal= {arXiv preprint arXiv:1306.2872},
year = {2013}
}
Comments
10 pages