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2011

A tail inequality for quadratic forms of subgaussian random vectors

Hsu, Daniel, Kakade, Sham M., Zhang, Tong

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We prove 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.

A tail inequality for quadratic forms of subgaussian random vectors · Around

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A bound on tail probabilities for quadratic forms in independent random variables
D. L. Hanson and F. T. Wright · 1971
Earlier work this paper cites.

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