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Optimized Tail Bounds for Random Matrix Series
Xianjie Gao1, Mingliang Zhang2, Jinming Luo3
1Department of Basic Sciences, Shanxi Agricultural University, Jinzhong 030801, China.
Abstract:
Random matrix series are a significant component of random matrix theory, offering rich theoretical content and broad application prospects. In this paper, we propose modified versions of tail bounds for random matrix series, including matrix Gaussian (or Rademacher) and sub-Gaussian and infinitely divisible (i.d.) series. Unlike present studies, our results depend on the intrinsic dimension instead of ambient dimension. In some cases, the intrinsic dimension is much smaller than ambient dimension, which makes the modified versions suitable for high-dimensional or infinite-dimensional setting possible. In addition, we obtain the expectation bounds for random matrix series based on the intrinsic dimension.
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