Hanson-Wright inequality and sub-gaussian concentration
- Author(s): Rudelson, Mark
- Vershynin, Roman
- et al.
Published Web Locationhttps://doi.org/10.1214/ECP.v18-2865
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.