Hanson-Wright inequality and sub-gaussian concentration
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Hanson-Wright inequality and sub-gaussian concentration

  • Author(s): Rudelson, Mark
  • Vershynin, Roman
  • et al.
Abstract

In this expository note, we give a modern proof of 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.

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