Sharp deviation bounds for quadratic forms
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This paper presents sharp inequalities for deviation probability of a general quadratic form of a random vector ξ 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 ξ. The obtained bounds are exact (non-asymptotic), all constants are explicit and the leading terms in the bounds are sharp.
Keywordsquadratic forms deviation bounds
2000 Mathematics Subject Classificationprimary 60F10 secondary 62F10
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