A Bernstein-type inequality for stochastic processes of quadratic forms of Gaussian variables

09/19/2009

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by   Ikhlef Bechar, et al.

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We introduce a Bernstein-type inequality which serves to uniformly control quadratic forms of gaussian variables. The latter can for example be used to derive sharp model selection criteria for linear estimation in linear regression and linear inverse problems via penalization, and we do not exclude that its scope of application can be made even broader.