Sharper finite-sample OLS parameter error bounds for linear dynamical systems are obtained via a novel second-order martingale decomposition that achieves instance-optimal CLT rates up to constants in Frobenius norm.
Adamczak,A note on the Hanson-Wright inequality for random vectors with dependencies, Electronic Com- munications in Probability20(2015), 1–13
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CLT-Optimal Parameter Error Bounds for Linear System Identification
Sharper finite-sample OLS parameter error bounds for linear dynamical systems are obtained via a novel second-order martingale decomposition that achieves instance-optimal CLT rates up to constants in Frobenius norm.