Hanson-Wright inequality and sub-gaussian concentration

被引：274
|
作者：
Rudelson, Mark [1 ]
Vershynin, Roman [1 ]
机构：
[1] Univ Michigan, Ann Arbor, MI 48109 USA
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2013年 / 18卷
基金：
美国国家科学基金会;
关键词：
subgaussian random variables; concentration inequalities; random matrices; TAIL PROBABILITIES;
D O I：
10.1214/ECP.v18-2865
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：1 / 9
页数：9
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