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In the article "Concentration of the information in data with Log-concave distributions" of Bobkov and Madiman, it is written that if $X$ is a positive random variable following a log concave distribution of order $p$, then one has $V(X) \leq \frac{E(X)^2}{p}$. A reference is given, but I don't understand how the result follows from the reference. Also, it seems quite hard to prove, and the problem where those variables came from is said to be "easy" (it's the one dimension optimal matching problem), so I start to feel like I have misunderstood something.

Have you seen this inequality? Is it possible to give a relatively short proof?

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    $\begingroup$ Welcome to MathOverflow (MO). In your MO posts, you should be as specific as possible. E.g., provide, not only the title and authors of a paper, but also the relevant specific formula/statement/page/section numbers (as well as links, if available). Also, describe your difficulty specifically, not just in general terms. This will increase your chances of getting good help without undue delay, and it will make the life of readers of your posts a bit easier. $\endgroup$ Commented May 18, 2022 at 21:07
  • $\begingroup$ Do you have a response to the answer below? $\endgroup$ Commented May 19, 2022 at 18:03

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$\newcommand{\tla}{\tilde\lambda}\newcommand{\Ga}{\Gamma}$By Definition 4.1 in the paper by Bobkov and Madiman (BM), a positive random variable (r.v.) $\xi$ has a log-concave distribution of order $p\ge1$ if the pdf $f$ of $\xi$ is such that \begin{equation*} f(x) = x^{p-1}g(x) \tag{1}\label{1} \end{equation*} for $x > 0$, where the function $g$ is log-concave on $(0,\infty)$.

Corollary 3.2 in BM states that, if a positive r.v. $\eta$ has a log-concave pdf, then \begin{equation*} \tla_p:=\frac{E\eta^p}{\Ga(p+1)} \end{equation*} is log concave in $p\ge0$. It follows then that $\tla_{p+1}\tla_{p-1}\le\tla_p^2$ for $p\ge1$, that is, \begin{equation*} E\eta^{p+1}\,E\eta^{p-1}\le\frac{p+1}p\,(E\eta^p)^2. \tag{2}\label{2} \end{equation*}

Suppose now that a positive r.v. $\xi$ indeed has a log-concave distribution of order $p\ge1$, so that \eqref{1} holds for some log-concave function $g$ and all $x > 0$. Let \begin{equation*} h:=g/c, \end{equation*} where $c:=\int_0^\infty g$, so that $h$ is a log concave pdf on $(0,\infty)$. Let then $\eta$ be a r.v. with pdf $g$, so that \eqref{2} holds and \begin{equation*} E\xi^k=\int_0^\infty x^k f(x)\,dx=\int_0^\infty x^{k+p-1}g(x)\,dx=c\,E\eta^{k+p-1} \tag{3}\label{3} \end{equation*} for all $k\in\{0,1,\dots\}$.

Using \eqref{3} with $k=0,1,2$, we rewrite \eqref{2} as \begin{equation*} E\xi^2\le\frac{p+1}p\,(E\xi)^2, \end{equation*} which can be further rewritten as $$Var\,\xi\le\frac1p\,(E\xi)^2,$$ as desired.

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  • $\begingroup$ Thank you for your answer. What saddens me is that the corollary 3.2 is left unproven and seems hard to prove. I wonder why the inequality on those log concave variables isn't more known since it shows up when working with beta variables wich are quite commons. $\endgroup$ Commented May 25, 2022 at 7:58
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    $\begingroup$ @EnguerrandMoulinier : Corollary 3.2 is proved by Bobkov and Madiman, on p. 1534, just before Corollary 3.2 is stated. There is a small, easily correctable mistake in that proof, though: the log-linear (in $p$) factor $n^{p+1}$ should be replaced by the log-linear factor $n^p$. So, can we now finalize this matter in accordance with the MathOverflow guidelines at mathoverflow.net/help/accepted-answer and mathoverflow.net/help/someone-answers ? $\endgroup$ Commented May 25, 2022 at 13:01

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