High-Dimensional Probability

What Hacker News says

1. rtolsmaAug 2023
   The High Dimensional Probability textbook is one of my all time favorites. The elegant mix of probability, geometry, and linear algebra can generate some really non-intuitive insights. The intuitions developed are also pretty useful for reasoning about modeling in a lot of applications
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2. grungegunFeb 2022
   For reference, see the book High Dimensional Probability by Vershynin. It's free online. See Theorem 3.1.1. It proves that a sub-gaussian random vector is in some sense close in norm to sqrt(n) where n is the number of dimensions. Most of these results are true up to multiplying by some unknown constant.
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