Consider X,..., X, id N(, o Id), where Id is the d x d identity matrix. Let Xn be the sample average. Using the sub-exponential tail bound, show that with probabiltiy at least 1-8, od| |X - H2 = 0 ( log(2/6) + || - n n n dlog (2/8) [Hint: First show that n||Xn ||/0 is a chi-square random variable.] -