I know that if $X$ be a random matrix distributed as $N(0,I_n)$, then $\frac{1}{n}X^TX$ is concentrated around the identity matrix. Does any body know the probability of $P(||\frac{1}{n}X^TX-I||<\delta)$?
2026-03-26 09:40:05.1774518005
Concentration of Gaussian random matrices
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