Concentration of quadratic forms under a Bernstein moment assumption
By Pierre C. Bellec. 2019
21 citations recorded by the source corpus.
A concentration result for quadratic form of independent subgaussian random variables is derived. If the moments of the random variables satisfy a "Bernstein condition", then the variance term of the Hanson-Wright inequality can be improved. The Bernstein condition is satisfied, for instance, by all log-concave subgaussian distributions.
Subfields: Algebra and Number Theory, Finance, Mathematical Physics, Probabilistic & Bayesian Methods
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In Probabilistic & Bayesian Methods
Citations in the corpus
- An Investigation into Neural Net Optimization via Hessian Eigenvalue Density (2019, background): “The following lemma is one result on the concentration of quadratic forms: Lemma A.1 (Concentration of Quadratic Forms, [3]) .”