Sharp deviation bounds for quadratic forms
Probability
2013-02-08 v1
Abstract
This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose any special structure of the vector . The obtained bounds are exact (non-asymptotic), all constants are explicit and the leading terms in the bounds are sharp.
Cite
@article{arxiv.1302.1699,
title = {Sharp deviation bounds for quadratic forms},
author = {Vladimir Spokoiny},
journal= {arXiv preprint arXiv:1302.1699},
year = {2013}
}