Work

Hanson-Wright inequality and sub-gaussian concentration

Year: 2013

Type: article

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.

Source: Electronic Communications in Probability

DOI: 10.1214/ecp.v18-2865

Authors: Mark Rudelson, Roman Vershynin

Institution: University of Michigan

Language: English

Topic: Random Matrices and Applications

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: gold

Estimated APC paid: $675

Funder: National Science Foundation