A note on moment inequality for quadratic forms

DOI10.1016/J.SPL.2014.05.004MaRDI QIDQ2251689zbMATH OpenOpenAlexFDO

Authors Xiaohui Chen

Publication date 15 July 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.1406

zbMATH Keywords

high-dimensional covariance matrixquadratic formsRosenthal's inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: Moment inequality for quadratic forms of random vectors is of particular interest in covariance matrix testing and estimation problems. In this paper, we prove a Rosenthal-type inequality, which exhibits new features and certain improvement beyond the unstructured Rosenthal inequality of quadratic forms when dimension of the vectors increases without bound. Applications to test the block diagonal structures and detect the sparsity in the high-dimensional covariance matrix are presented.

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Cited in

(7)

• Moments of ratios of quadratic forms
• Variance inequalities for quadratic forms with applications
• The average measure of quadratic forms with given determinant and signature
• On a Theorem of Karhunen and Related Moment Problems and Quadrature Formulae
• scientific article; zbMATH DE number 500227 (Why is no real title available?)
• A generalization of Khinchin's inequalities to the case of quadratic forms
• Probability and moment inequalities for quadratic forms in independent random variables with fat tails

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