Concentration Inequalities and Moment Bounds for Sample Covariance Operators by Vladimir Koltchinskii and Karim Lounici 2026-11-05
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Inspected v3, 1 July 2014. Definition 1, trace-rank discussion and Corollary 2, equation 2.8. Gaussian dimension (E||X||)^2/||Sigma|| is comparable to trace(Sigma)/||Sigma|| in Euclidean space.
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