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A tail inequality for quadratic forms of subgaussian random vectors


 
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1. Title Title of document A tail inequality for quadratic forms of subgaussian random vectors
 
2. Creator Author's name, affiliation, country Daniel Hsu; Microsoft Research New England; United States
 
2. Creator Author's name, affiliation, country Sham M. Kakade; Microsoft Research New England; United States
 
2. Creator Author's name, affiliation, country Tong Zhang; Rutgers University; United States
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Tail inequality; quadratic form; subgaussian random vectors; subgaussian chaos
 
3. Subject Subject classification 60F10
 
4. Description Abstract

This article proves 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-11-02
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2079
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-2079
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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