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Changed formatting of density calculation for clarity.
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Thomas Bloom
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We can take the set of all numbers in base $k$ that don't contain the digit $0$, for $k$ prime.

This is $k$-term-progression-free since every $k$-term progression in $\mathbb F_k$ is either constant or contains $0$, thus any $k$-term progression in $\mathbb Z$ takes all possible values in the last nonconstant digit.

The intersection with $[k^n]$ has density $(k-1)/k^n \approx e^{-n/k}$$(\frac{k-1}{k})^n \approx e^{-n/k}$, letting us take $n \approx k \log 2$, for a lower bound of $k^{ k (\log 2-o(1))}$, which is superexponential in $k$.

We can take the set of all numbers in base $k$ that don't contain the digit $0$, for $k$ prime.

This is $k$-term-progression-free since every $k$-term progression in $\mathbb F_k$ is either constant or contains $0$, thus any $k$-term progression in $\mathbb Z$ takes all possible values in the last nonconstant digit.

The intersection with $[k^n]$ has density $(k-1)/k^n \approx e^{-n/k}$, letting us take $n \approx k \log 2$, for a lower bound of $k^{ k (\log 2-o(1))}$, which is superexponential in $k$.

We can take the set of all numbers in base $k$ that don't contain the digit $0$, for $k$ prime.

This is $k$-term-progression-free since every $k$-term progression in $\mathbb F_k$ is either constant or contains $0$, thus any $k$-term progression in $\mathbb Z$ takes all possible values in the last nonconstant digit.

The intersection with $[k^n]$ has density $(\frac{k-1}{k})^n \approx e^{-n/k}$, letting us take $n \approx k \log 2$, for a lower bound of $k^{ k (\log 2-o(1))}$, which is superexponential in $k$.

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Will Sawin
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We can take the set of all numbers in base $k$ that don't contain the digit $0$, for $k$ prime.

This is $k$-term-progression-free since every $k$-term progression in $\mathbb F_k$ is either constant or contains $0$, thus any $k$-term progression in $\mathbb Z$ takes all possible values in the last nonconstant digit.

The intersection with $[k^n]$ has density $(k-1)/k^n \approx e^{-n/k}$, letting us take $n \approx k \log 2$, for a lower bound of $k^{ k (\log 2-o(1))}$, which is superexponential in $k$.