Optimal minimization of the covariance loss

Vishesh Jain, Ashwin Sah, Mehtaab Sawhney

Let $X$ be a random vector valued in ${\mathbb{R}}^m$ such that $\Vert X{\Vert }_2\le 1$ almost surely. For every $k\ge 3$, we show that there exists a sigma algebra $\mathcal{F}$ generat…