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.
"Hanson-Wright inequality and sub-gaussian concentration." Electron. Commun. Probab. 18 1 - 9, 2013. https://doi.org/10.1214/ECP.v18-2865