Skip to main content
added 263 characters in body
Source Link
Terry Tao
  • 114.2k
  • 33
  • 462
  • 539

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$. One can also obtain a comparable bound by applying the usual Paley-Zygmund inequality to $(X - \sqrt{\theta {\bf E} X^2})^2$ for some parameter $0 < \theta < 1$ that one can optimise in.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ $$ = \max( 3p^2 (1-p)^2, p(1-p)(1-3p+3p^2)) (\sum_i a_i^2)^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ $$ = \max( 3p^2 (1-p)^2, p(1-p)(1-3p+3p^2)) (\sum_i a_i^2)^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$. One can also obtain a comparable bound by applying the usual Paley-Zygmund inequality to $(X - \sqrt{\theta {\bf E} X^2})^2$ for some parameter $0 < \theta < 1$ that one can optimise in.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ $$ = \max( 3p^2 (1-p)^2, p(1-p)(1-3p+3p^2)) (\sum_i a_i^2)^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

added 180 characters in body
Source Link
Terry Tao
  • 114.2k
  • 33
  • 462
  • 539

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment at most $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ $$ = \max( 3p^2 (1-p)^2, p(1-p)(1-3p+3p^2)) (\sum_i a_i^2)^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment at most $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ $$ = \max( 3p^2 (1-p)^2, p(1-p)(1-3p+3p^2)) (\sum_i a_i^2)^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

added 180 characters in body
Source Link
Terry Tao
  • 114.2k
  • 33
  • 462
  • 539

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof By rescaling we may normalise ${\bf E} X^2 = {\bf E} X^4 = p$ for some $p>0$. Write $\delta = {\bf P}(X>0) / p$, so we have to show that $\delta \geq 1/4$.

By
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} = \delta^{1/2} p \quad (1)$$$$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4} = \delta^{3/4} p$$$$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq \delta^{3/4} p.$$$$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq \delta^{1/2} p $$$$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ p = {\bf E} X^2 \leq 2 \delta^{1/2} p$$$$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment at most $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/12$$p/4$ as $p \to 0$, or $(1-p)/12$$(1-p)/4$ as $p \to 1$. One should be able to improve the constant $12$$4$ with a bit more effort.

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof By rescaling we may normalise ${\bf E} X^2 = {\bf E} X^4 = p$ for some $p>0$. Write $\delta = {\bf P}(X>0) / p$, so we have to show that $\delta \geq 1/4$.

By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} = \delta^{1/2} p \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4} = \delta^{3/4} p$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq \delta^{3/4} p.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq \delta^{1/2} p $$ which on summing with (1) gives $$ p = {\bf E} X^2 \leq 2 \delta^{1/2} p$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment at most $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/12$ as $p \to 0$, or $(1-p)/12$ as $p \to 1$. One should be able to improve the constant $12$ with a bit more effort.

One can get a bound which is within a constant of the optimal bound using the following

Paley-Zygmund type inequality Let $X$ be a real random variable with mean zero and finite fourth moment, that is not identically zero. Then $$ {\bf P}(X > 0) \geq \frac{({\bf E} X^2)^2}{4 {\bf E} X^4}.$$

Proof
By Holder we have $$ {\bf E} X^2 1_{X>0} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} \quad (1)$$ and $$ {\bf E} X 1_{X>0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}$$ and hence by the mean zero hypothesis $$ {\bf E} |X| 1_{X<0} \leq ({\bf E} X^4)^{1/4} {\bf P}(X>0)^{3/4}.$$ Hence by Holder again $$ {\bf E} X^2 1_{X<0} \leq ({\bf E} |X| 1_{X<0})^{2/3} ({\bf E} |X|^4)^{1/3} \leq ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2} $$ which on summing with (1) gives $$ {\bf E} X^2 \leq 2 ({\bf E} X^4)^{1/2} {\bf P}(X>0)^{1/2}$$ hence the claim. $\Box$

(It should be possible to improve the constant $4$ a bit by using the fact that the fourth moment has to be shared between the positive and negative components of $X$, but I have not tried to optimise this. The extremal relationship between ${\bf P}(X>0)$, ${\bf E} X^2$, and ${\bf E} X^4$ is probably coming from the case $X = \xi - p$ of a normalised Bernoulli random variable $\xi$.)

In your situation, writing $X = \sum_i a_i (\xi_i - p)$ for the normalised sum of Bernoulli variables $\xi_i$, $X$ has mean zero, variance $p(1-p) \sum_i a_i^2$, and fourth moment at most $$ 6 \sum_{i<j} a_i^2 a_j^2 (p(1-p))^2 + \sum_i a_i^4 (p (1-p)^4 + (1-p) p^4)$$ $$ \leq \max( 3(p(1-p))^2, p (1-p)^4 + (1-p) p^4) \sum_{i,j} a_i^2 a_j^2$$ and hence $$ {\bf P}(X>0) \geq \frac{1}{4 \max( 3, (1-3p+3p^2)/p(1-p) )}$$ which is asymptotic to $p/4$ as $p \to 0$, or $(1-p)/4$ as $p \to 1$. One should be able to improve the constant $4$ with a bit more effort.

Source Link
Terry Tao
  • 114.2k
  • 33
  • 462
  • 539
Loading