Non-Asymptotic Theory of Random Matrices
نویسنده
چکیده
1 Definition The topic in this lecture is Subgaussian random variables. We start with the definition, and discuss some properties they hold. Definition 1 (Subgaussian random variables). A random variable X is subgaussian if ∃c, C such that P(|x| > t) ≤ Ce −ct 2 ∀t ≥ 0. (1) As the name suggests, the notion of subgaussian random variables is a generalization of Gaussian random variables. Both the following well known random variables are subgaussian random variables (r.v's): Example 2. The following are examples of subgaussian random variables. Let us recall Lecture 3. Using Lemma 6, definition (1) can be expressed equivalently in two other ways;
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