A tail inequality for quadratic forms of subgaussian random vectors
classification
🧮 math.PR
cs.LG
keywords
formsinequalityquadraticrandomsubgaussiantailvectoranalogous
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We prove an exponential probability tail inequality for positive semidefinite quadratic forms in a subgaussian random vector. The bound is analogous to one that holds when the vector has independent Gaussian entries.
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