Conference Agenda
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High-dimensional statistics and learning Location: 0.004 Session Chair: Martin Wahl | |
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Concentration and moment inequalities for heavy-tailed random matrices universität wien, Austria Fuk-Nagaev and Rosenthal-type inequalities are proven for the sums of independent random matrices, focusing on the situation when the norms of the matrices possess finite moments of only low orders. The bounds depend on the intrinsic dimensional characteristics, such as the effective rank, as opposed to the dimension of the ambient space. The advantages of such results are illustrated in several applications, including new moment inequalities for sample covariance matrices and the corresponding eigenvectors of heavy-tailed random vectors. Authors: Moritz Jirak, Stanislav Minsker, Yiqiu Shen, Martin Wahl | |
