Dominated concentration
The concentration properties of one random variable may be governed by the values of another random variable which is concentrated and more easily analyzed. We present a general concentration inequality to handle such cases and apply it to the eigenvalues of the Gram matrix for a sample of independent vectors distributed in the unit ball of a Hilbert space. For large samples the deviation of the eigenvalues from their mean is shown to scale with the largest eigenvalue.
Year of publication: |
2010
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Authors: | Maurer, Andreas |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 7-8, p. 683-689
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Publisher: |
Elsevier |
Saved in:
Online Resource
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