Sharp deviation bounds for quadratic forms

This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector Xi with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose any special structure of the vector Xi . The obtained bounds are exact (non-asymptotic), all constants are explicit and the leading terms in the bounds are sharp.

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Year of publication:	2013-07
Authors:	Spokoiny, Vladimir ; Zhilova, Mayya
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	quadratic forms \| deviation bounds

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number SFB649DP2013-035 23 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011277270