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arXiv · 1302.1699

Sharp deviation bounds for quadratic forms

Vladimir Spokoiny
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Abstract

This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector \(\xiv\) with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose any special structure of the vector \(\xiv\). The obtained bounds are exact (non-asymptotic), all constants are explicit and the leading terms in the bounds are sharp.

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Vladimir Spokoiny. 2013-02-07. Sharp deviation bounds for quadratic forms. https://arxiv.org/abs/1302.1699

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