Sharp deviation bounds for quadratic forms
From MaRDI portal
Publication:359864
DOI10.3103/S1066530713020026zbMATH Open1273.60033arXiv1302.1699MaRDI QIDQ359864FDOQ359864
Publication date: 23 August 2013
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1302.1699
Recommendations
- A tail inequality for quadratic forms of subgaussian random vectors
- Khinchin and Marcinkiewicz-Zygmund-type inequalities for quadratic forms of independent random variables
- scientific article; zbMATH DE number 32965
- Sparse Hanson-Wright inequalities for subgaussian quadratic forms
- Probability inequalities for quadratic forms
Cites Work
- Asymptotic distribution of quadratic forms
- Generalized likelihood ratio statistics and Wilks phenomenon
- Title not available (Why is that?)
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
- A tail inequality for quadratic forms of subgaussian random vectors
- Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
- A Bernstein-type inequality for suprema of random processes with applications to model selection in non-Gaussian regression
- A high-dimensional Wilks phenomenon
- Title not available (Why is that?)
- Limit theorems for quadratic forms with applications to Whittle's estimate
- A new large deviation inequality for U-statistics of order 2
Cited In (9)
- Some bounds on the deviation probability for sums of nonnegative random variables using upper polynomials, moment and probability generating functions
- Model Selection of Generalized Estimating Equation With Divergent Model Size
- Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices
- Khinchin and Marcinkiewicz-Zygmund-type inequalities for quadratic forms of independent random variables
- Multiscale Change Point Detection
- Critical dimension in the semiparametric Bernstein-von Mises theorem
- Probability inequalities for quadratic forms
- Nonasymptotic one- and two-sample tests in high dimension with unknown covariance structure
- On accuracy of Gaussian approximation in Bayesian semiparametric problems
This page was built for publication: Sharp deviation bounds for quadratic forms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q359864)
