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2013 Hanson-Wright inequality and sub-gaussian concentration
Mark Rudelson, Roman Vershynin
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Electron. Commun. Probab. 18: 1-9 (2013). DOI: 10.1214/ECP.v18-2865

Abstract

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.

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

Information

Accepted: 23 October 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60056
MathSciNet: MR3125258
Digital Object Identifier: 10.1214/ECP.v18-2865

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