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Entrywise concentration of a Gaussian Gram matrix

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability inequality Concentration inequality Chernoff bound
2026-10-05  0 By others on same topic  0 Discussions Create my own version
For a d×p matrix of independent standard normal entries and 0<t<1, diagonal entries of ATA/d−I have two-sided tails bounded by 2e−dt2/8, while off-diagonal entries have tails bounded by 2e−dt2/4. A union bound over p diagonal entries and p(p−1)/2 distinct off-diagonal entries controls their common entrywise maximum norm.

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  1. Chernoff bound
  2. Concentration inequality
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 Incoming links (3)

  • Gaussian identity design for debiased Lasso
  • Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 205 / 6 / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 205 / 3 / Solution

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