Gaussian score event for the Lasso ($\Omega =\{\Vert X^T\epsilon {\Vert }_{\infty }/n\le c\lambda \}$)

Let $0<c<1$, $A>0$, $\sigma >0$ and $p\ge 2$. For design matrix columns of norm $\sqrt{n}$ and $\epsilon \sim N_n(0,{\sigma }^{2}I)$, the event $\Vert X^T\epsilon {\Vert }_{\infty }/n\le c\lambda$ has probability at least $1-p^{1-A^2{c}^2/2}$ when $\lambda =A\sigma \sqrt{\log (p)/n}$. Apply the sharp two-sided Gaussian tail bound to each standardized score and then the union bound; independence of the scores is not required.