Journal
STATISTICS & PROBABILITY LETTERS
Volume 127, Issue -, Pages 111-119Publisher
ELSEVIER
DOI: 10.1016/j.spl.2017.03.020
Keywords
Bernstein's inequality; Random matrix; Effective rank; Concentration inequality; Large deviations
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We present some extensions of Bernstein's concentration inequality for random matrices. This inequality has become a useful and powerful tool for many problems in statistics, signal processing and theoretical computer science. The main feature of our bounds is that, unlike the majority of previous related results, they do not depend on the dimension d of the ambient space. Instead, the dimension factor is replaced by the effective rank associated with the underlying distribution that is bounded from above by d. In particular, this makes an extension to the infinite-dimensional setting possible. Our inequalities refine earlier results in this direction obtained by Hsu et al. (2012). (C) 2017 Elsevier B.V. All rights reserved.
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