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Hanson-Wright inequality and sub-Gaussian concentration. (English) Zbl 1329.60056
Summary: In this expository note, we give a modern proof of the Hanson-Wright inequality for quadratic forms in sub-Gaussian random variables. We deduce a useful concentration inequality for sub-Gaussian random vectors. Two examples are given to illustrate these results: a concentration of distances between random vectors and subspaces, and a bound on the norms of products of random and deterministic matrices.

MSC:
60F10 Large deviations
60B20 Random matrices (probabilistic aspects)
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