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Nate Eldredge
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In fact, every reasonable function can be made into an example by adding an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ with $E[f(Z)]=0$ we have $E[f(Z)^2] \le E[f'(Z)^2]$$\operatorname{Var}[f(Z)] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. Then there exists a constant There exist either one or two real numbers $c$ such that $\phi(x) := f(x) + c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Suppose without loss of generality thatSet $$\begin{align*}\psi(c) &:= E[\phi(Z)^2] - E[\phi'(Z)^2] \\ &= \operatorname{Var}[\phi(Z)] + (E[f(Z)] + c)^2 - E[\phi'(Z)^2] \\ &= \operatorname{Var}[f(Z)] + (E[f(Z)] + c)^2 - E[f'(Z)^2]\end{align*}.$$ Now $E[f(Z)] = 0$. Set$\psi(c)$ is a quadratic in $c^2 = E[f'(Z)^2] - E[f(Z)^2]$$c$ with $\psi(c) \to +\infty$ as $c \to \pm \infty$, whichand by the Poincaré inequality we have $\psi(-E[f(Z)]) \le 0$. So $\psi$ has either one or two real roots.

Indeed, the only way for the constant $c$ to be unique is nonnegativeif $f$ is a linear function, because that is the only case in which the Poincaré inequality saturates. Then $$E[\phi(Z)^2] = E[f(Z)^2] + c^2 = E[f'(Z)^2] = E[\phi'(Z)^2].$$ Again, this can be seen via Hermite polynomials.

In fact, every reasonable function can be made into an example by adding an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ with $E[f(Z)]=0$ we have $E[f(Z)^2] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. Then there exists a constant $c$ such that $\phi(x) := f(x) + c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Suppose without loss of generality that $E[f(Z)] = 0$. Set $c^2 = E[f'(Z)^2] - E[f(Z)^2]$, which by the Poincaré inequality is nonnegative. Then $$E[\phi(Z)^2] = E[f(Z)^2] + c^2 = E[f'(Z)^2] = E[\phi'(Z)^2].$$

In fact, every reasonable function can be made into an example by adding an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ we have $\operatorname{Var}[f(Z)] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. There exist either one or two real numbers $c$ such that $\phi(x) := f(x) + c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Set $$\begin{align*}\psi(c) &:= E[\phi(Z)^2] - E[\phi'(Z)^2] \\ &= \operatorname{Var}[\phi(Z)] + (E[f(Z)] + c)^2 - E[\phi'(Z)^2] \\ &= \operatorname{Var}[f(Z)] + (E[f(Z)] + c)^2 - E[f'(Z)^2]\end{align*}.$$ Now $\psi(c)$ is a quadratic in $c$ with $\psi(c) \to +\infty$ as $c \to \pm \infty$, and by the Poincaré inequality we have $\psi(-E[f(Z)]) \le 0$. So $\psi$ has either one or two real roots.

Indeed, the only way for the constant $c$ to be unique is if $f$ is a linear function, because that is the only case in which the Poincaré inequality saturates. Again, this can be seen via Hermite polynomials.

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Nate Eldredge
  • 29.7k
  • 4
  • 101
  • 150

In fact, every reasonable function can be made into an example by adding or subtracting an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ with $E[f(Z)]=0$ we have $E[f(Z)^2] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. Then there exists a unique constant $c$ such that $\phi(x) := f(x) \pm c$$\phi(x) := f(x) + c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Suppose without loss of generality that $E[f(Z)] = 0$. Set $c^2 = E[f'(Z)^2] - E[f(Z)^2]$, which by the Poincaré inequality is nonnegative. Then $$E[\phi(Z)^2] = E[f(Z)^2] + c^2 = E[f'(Z)^2] = E[\phi'(Z)^2].$$

In fact, every reasonable function can be made into an example by adding or subtracting an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ with $E[f(Z)]=0$ we have $E[f(Z)^2] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. Then there exists a unique constant $c$ such that $\phi(x) := f(x) \pm c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Suppose without loss of generality that $E[f(Z)] = 0$. Set $c^2 = E[f'(Z)^2] - E[f(Z)^2]$, which by the Poincaré inequality is nonnegative. Then $$E[\phi(Z)^2] = E[f(Z)^2] + c^2 = E[f'(Z)^2] = E[\phi'(Z)^2].$$

In fact, every reasonable function can be made into an example by adding an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ with $E[f(Z)]=0$ we have $E[f(Z)^2] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. Then there exists a constant $c$ such that $\phi(x) := f(x) + c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Suppose without loss of generality that $E[f(Z)] = 0$. Set $c^2 = E[f'(Z)^2] - E[f(Z)^2]$, which by the Poincaré inequality is nonnegative. Then $$E[\phi(Z)^2] = E[f(Z)^2] + c^2 = E[f'(Z)^2] = E[\phi'(Z)^2].$$

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Nate Eldredge
  • 29.7k
  • 4
  • 101
  • 150

In fact, every reasonable function can be made into an example by adding or subtracting an appropriate constant.

I'll write $Z$ for a standard Gaussian random variable. Recall the Gaussian Poincaré inequality:

Theorem. For every $f \in C^1(\mathbb{R})$ with $E[f(Z)]=0$ we have $E[f(Z)^2] \le E[f'(Z)^2]$.

Equivalently, this is the fact that the Ornstein-Uhlenbeck "number" operator has spectral gap equal to 1. Perhaps the simplest way to prove the Poincaré inequality is via Hermite polynomials; see Bogachev, Gaussian Measures, Theorem 1.6.4. The statement generalizes directly to absolutely continuous functions (in the appropriate Sobolev space over Gaussian measure)

Corollary. Let $f \in C^1(\mathbb{R})$ with $E[f(Z)^2], E[f'(Z)^2] < \infty$. Then there exists a unique constant $c$ such that $\phi(x) := f(x) \pm c$ satisfies $E[\phi(Z)^2] = E[\phi'(Z)^2]$.

Proof. Suppose without loss of generality that $E[f(Z)] = 0$. Set $c^2 = E[f'(Z)^2] - E[f(Z)^2]$, which by the Poincaré inequality is nonnegative. Then $$E[\phi(Z)^2] = E[f(Z)^2] + c^2 = E[f'(Z)^2] = E[\phi'(Z)^2].$$