Approximating the covariance ellipsoid

Shahar Mendelson

We explore ways in which the covariance ellipsoid $\mathcal{B}=\{v\in {\mathbb{R}}^d:\mathbb{E}<X,v{>}^2\le 1\}$ of a centred random vector $X$ in ${\mathbb{R}}^d$ can be approximated…