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Gaussian functions / distributions / processes...

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Expectation of supremum of sub gaussians

I am trying to prove Lemma 2.3 of ON THE SPECTRAL NORM OF GAUSSIAN RANDOM MATRICES, which states that Let $X_1,\cdots,X_n$ be not necessarily independent random variables with $\mathbb{P}[X_i > x] \leq …
Sudipta Roy's user avatar