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Some reading notes following the following books on high dimensional statistics:

• MJW: High-Dimensional Statistics: A Non-Asymptotic Viewpoint by Martin J. Wainwright
• RV: High-Dimensional Probability: An Introduction with Applications in Data Science by Roman Vershynin
• RH: High-Dimensional Statistics Lecture Notes by Philippe Rigollet and Jan-Christian Hütter
• RvH: Probability in High Dimension — APC 550 Lecture Notes by Ramon van Handel

Cross-referencing/labelling coherence between chapters is not guaranteed. (But I at least maintained within-chapter coherence.)