Proves sharp operator-norm concentration and expectation bounds for sample cross-covariances of sub-Gaussian and Gaussian vectors, governed by effective ranks of the marginal covariances.
and Sanz-Alonso, D
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Concentration Inequalities for Sample Cross-Covariances
Proves sharp operator-norm concentration and expectation bounds for sample cross-covariances of sub-Gaussian and Gaussian vectors, governed by effective ranks of the marginal covariances.