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A Refined Non-asymptotic Tail Bound of Sub-Gaussian Matrix (1906.10432v1)
Published 25 Jun 2019 in math.PR
Abstract: In this paper, we obtain a refined non-asymptotic tail bound for the largest singular value (the soft edge) of sub-Gaussian matrix. As an application, we use the obtained theorem to compute the tail bound of the Gaussian Toeplitz matrix.