Geodesic
Dependent Gaussian samples: estimation of the scatter uniform in dimension
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 8, Tome 320 (2004), pp. 166-173

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An exact in order dimension-free estimation of the scatter of samples chosen according to an arbitrary Gaussian distribution is proposed. This estimation is only based on the spectral radius of the covariance quadratic form of $\gamma$. 
@article{ZNSL_2004_320_a13,
     author = {V. N. Sudakov and A. V. Sudakov},
     title = {Dependent {Gaussian} samples: estimation of the scatter uniform in dimension},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {166--173},
     publisher = {mathdoc},
     volume = {320},
     year = {2004},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2004_320_a13/}
}
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V. N. Sudakov; A. V. Sudakov. Dependent Gaussian samples: estimation of the scatter uniform in dimension. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 8, Tome 320 (2004), pp. 166-173. http://geodesic.mathdoc.fr/item/ZNSL_2004_320_a13/