Suppose $X,Y,Z$ are all real-valued random variables. Suppose I know the joint marginal distributions of $(X,Y)$, $(Y,Z)$ and $(X,Z)$. I want to find bounds on $E(XYZ)$.

In the case of bounding $E(XY)$ given marginals for $X$ and $Y$, the result is given by the Hardy-Littlewood inequalities, using symmetric decreasing/increasing rearrangements (see, for example, the version given here).

Translating the Hardy-Littlewood idea to this more general setting seems difficult.

I wonder if there is something possible if we assume that $Y$ and $Z$, say, have finite support. In this case, the Hardy-Littlewood result can give bounds on $$E(XY|Z=z)~,$$ by applying the increasing decreasing rearrangements to the conditional distributions of $X$ and $Y$. But these bounds are not sharp, since the rearrangements need not respect the joint distribution of $(X,Y)$. Some kind of "constrained rearrangement" could work here - but I am not sure what that would look like...

EDIT: We can assume that the bivariate marginals are consistent with some (unknown) joint distribution. As pointed out in the comments, this has some non-trivial implications. A source that characterizes this is: https://perso.math.u-pem.fr/kloeckner.benoit/papiers/JointLaws.pdf

Another source that discusses some implications is Section 3.4.3 in "Multivariate Models and Dependence Concepts" by Harry Joe. Plus, some bounds for the joint distribution are given at the start of Section 3.4.1, in Theorem 3.11: enter image description here where $F_{ij}$ are the bivariate marginals. These bounds are not generally CDFs, however, and so, are not sharp. Nevertheless, maybe these bounds can still yield sharp bounds on $E(XYZ)$.

  • $\begingroup$ This is probably too simple an answer, but there is always the Hölder inequality for more than two factors, which simply gives $E[XYZ] \leq E[|X|^{p_1}]^{\frac{1}{p_1}} E[|Y|^{p_2}]^{\frac{1}{p_3}} E[|Z|^{p_3}]^{\frac{1}{p_3}}$. This equality can also instead be applied differently such that $$E[XYZ] \leq E[|XYZ|] = E[\sqrt{|XY|} \, \sqrt{|YZ} \, \sqrt{|XZ|}] \leq E[|XY|^{\frac{p_1}{2}}]^{\frac{1}{p_1}} E[|YZ|^{\frac{p_2}{2}}]^{\frac{1}{p_2}} E[|XZ|^{\frac{p_3}{2}}]^{\frac{1}{p_3}} \ ,$$ where $1 = \frac{1}{p_1}+\frac{1}{p_2}+\frac{1}{p_3}$. $\endgroup$
    – Tardis
    Nov 14, 2021 at 22:28
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    $\begingroup$ Observe that maximizing $\mathbb{E}(XY)$ is equivalent to minimizing $\mathbb{E}((X-Y)^2)$, which is the classical quadratic optimal transport problem. A possible relevant direction is the multi-marginal optimal transport problem, but it might have mostly been considered when single marginals are given, not joint law of pairs. $\endgroup$ Nov 16, 2021 at 22:10
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    $\begingroup$ Another observation: there exist three joint laws of pairs of random variable that cannot be realized by three random variables, even though the single marginals match: there are non-trivial restrictions on the joint laws of $(X,Y), (Y,Z), (Z,X)$. The only reference I have for a general characterization of compatible triples of pairwise joint laws is in German: [Kel64] Hans G. Kellerer. Verteilungsfunktionen mit gegebenen Marginalverteilungen. Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 3:247–270 (1964), 1964. $\endgroup$ Nov 16, 2021 at 22:15
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    $\begingroup$ Let me had a last comment. This is an infinite-dimensional linear programming problem. If all goes well, its duality could provide the following answer: $$\max \mathbb{E}(XYZ) = \min\big(\mathbb{E}(f(X,Y))+\mathbb{E}(g(Y,Z))+\mathbb{E}(h(Z,X))\big)$$ where the minimum is over triples $(f,g,h)$ such that for all $x,y,z$, $$xyz\le f(x,y)+g(y,z)+h(z,x)$$ The $\le$ inequality is obvious, but there are similar situations (e.g. optimal transportation) where you do get that the sup and inf are realized and coincide. One keyword is "Farkas lemma". $\endgroup$ Nov 17, 2021 at 12:25
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    $\begingroup$ It seems the following paper should be of interest, even thought it mainly considers a special case: Gladkov, Nikita A. (RS-HSE); Kolesnikov, Alexander V. (RS-HSE); Zimin, Alexander P. (RS-HSE) On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals. (English summary) Calc. Var. Partial Differential Equations 58 (2019), no. 5, Paper No. 173, 33 pp. $\endgroup$ Nov 23, 2021 at 11:12

1 Answer 1


Update: The bounds below are not sharp after all, and I now think that the only sharp bounds can be combinatorial. For example, in the notation below, let $p_{ac}=p_{ad}=p_{bc}=p_{bd}=1/4$, and:

  • let $X_a$ have probability $1/4$ for each of $\pm1, \pm2$
  • let $X_b$ have probability $1/4$ for each of $\pm3, \pm4$
  • let $X_c$ have probability $1/4$ for each of $\pm1, \pm3$
  • let $X_d$ have probability $1/4$ for each of $\pm2, \pm4$

Then in the bounds below, all of the $W$'s are zero, and all of the terms with integrals are positive. So the argument below gives a positive bound for $E[XYZ]$. But in fact $X_{ac}=\pm1$, $X_{ad}=\pm2$, $X_{bc}=\pm3$, $X_{bd}=\pm4$, so $E[XYZ]=0$.

The same argument also works if $X_a,X_b,X_c,X_d$ are continuous approximations to the above discrete distributions. In any case the bounds below are not sharp.

For simplicity, I'll analyze the case with $X$ arbitrary, $Y$ binary, $Z$ binary. (I'll also be happy to analyze one example of this sort, if someone can provide a good one.)

The inputs to the problem are four values, four probabilities and four quantile functions:

  • The two possible values $a\ge b$ for $Y$, and the two possible values $c\ge d$ for $Z$.
  • The probability $p_{ac}=P[Y=a,Z=c]$ and similarly $p_{ad}$, $p_{bc}$, $p_{bd}$.
  • The quantile functions $Q_a,Q_b,Q_c,Q_d$ for $X|Y=a$, $X|Y=b$, $X|Z=c$, $X|Z=d$.

The outputs of the problem will be four further quantile functions:

  • The quantile functions $Q_{ac},Q_{ad},Q_{bc},Q_{bd}$ for $X$ under joint hypotheses on $Y$ and $Z$.

We assume the inputs are consistent. We abbreviate $p_a=p_{ac}+p_{ad}$ and $W_a=p_aE[X|Y=a]=p_a\int_0^1 Q_a(q)dq$, etc., where the latter is a weighted expectation.

We want to maximize $E[XYZ]$, and we can represent that as $$E[XYZ]=ac F_{ac}+ad F_{ad}+bcF_{bc}+bdF_{bd}$$ where the four variables $F_{ac}, F_{ad}, F_{bc}, F_{bd}$ represent \begin{align} F_{ac}=p_{ac}\,&E[X|Y=a,Z=c]\\ F_{ad}=p_{ad}\,&E[X|Y=a,Z=d]\\ F_{bc}=p_{bc}\,&E[X|Y=b,Z=c]\\ F_{bd}=p_{bd}\,&E[X|Y=b,Z=d]\\ \end{align}

These variables jointly satisfy four equalities \begin{align} F_{ac} + F_{ad} =W_a\\ F_{bc} + F_{bd} =W_b\\ F_{ac} + F_{bc} =W_c\\ F_{ad} + F_{bd} =W_d\\ \end{align} (though only three equalities are independent) and each variable satisfies four inequalities, such as: \begin{align} p_a\int_{0}^{p_{ac}/p_a} Q_a(q)\,dq \ \le F_{ac}\ \le p_a\int_{0}^{p_{ac}/p_a} Q_a(1-q)\,dq \\ p_c\int_{0}^{p_{ac}/p_c} Q_c(q)\,dq \ \le F_{ac}\ \le p_c\int_{0}^{p_{ac}/p_c} Q_c(1-q)\,dq \\ \end{align}

Using the equalities, we can rewrite $E[XYZ]$ $%=a c F_{ac} + a d F_{ad} + b c F_{bc} + b d F_{bd}$ as: \begin{align} E[XYZ] %&=a c F_{ac} + ad(W_a-F_{ac})+bc(W_c-F_{ac}) + \frac{bd}{2}(W_b+W_d-W_a-W_c+2F_{ac})\\ &=adW_a+bcW_c+\frac{bd}{2}(W_b+W_d-W_a-W_c) +(a-b)(c-d)F_{ac} \\ %E[XYZ] &= ac(W_a-F_{ad})+ad F_{ad}+\frac{bc}{2}(W_b+W_c-W_a-W_d+2F_{ad}) + b d(W_d-F_{ad})\\ &= acW_a+bdW_d+\frac{bc}{2}(W_b+W_c-W_a-W_d)+(a-b)(d-c)F_{ad}\\ %E[XYZ] &= a c(W_c-F_{bc}) + \frac{ad}{2}(W_a+W_d-W_b-W-c+2 F_{bc}) + b c F_{bc} + b d(W_b-F_{bc})$\\ &=acW_c + bdW_b + \frac{ad}{2}(W_a+W_d-W_b-W_c) +(b-a)(c-d)F_{bc}\\ %E[XYZ]&=\frac{a c}{2}(W_a+W_c-W_b-W_d+2F_{bd}) + a d(W_d-F_{bd}) + b c(W_b-F_{bd}) + b d F_{bd}\\ &=ad W_d + bc W_b +\frac{a c}{2}(W_a+W_c-W_b-W_d) + (b-a)(d-c)F_{bd}\\ \end{align} So the maximum possibility for $E[XYZ]$ is the minimum of is bounded above by: \begin{align} \Big\{adW_a+bcW_c+\frac{bd}{2}(W_b+W_d-W_a-W_c) + (a-b)(c-d)& p_a\int_{0}^{p_{ac}/p_a} Q_a(1-q)\,dq,\\ adW_a+bcW_c+\frac{bd}{2}(W_b+W_d-W_a-W_c) + (a-b)(c-d)& p_c\int_{0}^{p_{ac}/p_c} Q_c(1-q)\,dq,\\ acW_a+bdW_d+\frac{bc}{2}(W_b+W_c-W_a-W_d)+(a-b)(d-c)& p_a\int_{0}^{p_{ad}/p_a} Q_a(q)\,dq,\\ acW_a+bdW_d+\frac{bc}{2}(W_b+W_c-W_a-W_d)+(a-b)(d-c)& p_d\int_{0}^{p_{ad}/p_a} Q_d(q)\,dq,\\ acW_c + bdW_b + \frac{ad}{2}(W_a+W_d-W_b-W_c) +(b-a)(c-d)& p_b\int_{0}^{p_{bc}/p_b} Q_b(q)\,dq,\\ acW_c + bdW_b + \frac{ad}{2}(W_a+W_d-W_b-W_c) +(b-a)(c-d)& p_c\int_{0}^{p_{bc}/p_c} Q_c(q)\,dq,\\ ad W_d + bc W_b +\frac{a c}{2}(W_a+W_c-W_b-W_d) + (b-a)(d-c)& p_b\int_{0}^{p_{bd}/p_b} Q_b(1-q)\,dq,\\ ad W_d + bc W_b +\frac{a c}{2}(W_a+W_c-W_b-W_d) + (b-a)(d-c)& p_d\int_{0}^{p_{bd}/p_d} Q_d(1-q)\,dq\Big\}\\ \end{align}

  • $\begingroup$ This is excellent! I do have a small qualm with the sharpness bit, though: "By determining which value yielded $m$, we can calculate one of the $F$'s." This is not clear to me. If it can be shown that the bounds on the $F$s are sharp, then I agree. Perhaps I am missing something, but it's not immediately obvious to me that $$\max\left\{p_a\int_{0}^{p_{ac}/p_a} Q_a(q)\,dq, p_c\int_{0}^{p_{ac}/p_c} Q_c(q)\,dq\right\} \ \le F_{ac}\ \le \min \left\{ p_a\int_{0}^{p_{ac}/p_a} Q_a(1-q)\,dq, p_c\int_{0}^{p_{ac}/p_c} Q_c(1-q)\,dq\right\}~,$$ for instance, defines a sharp bound. $\endgroup$ Nov 17, 2021 at 3:50
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    $\begingroup$ Thank you for your efforts. This was very useful, even if it didn't get us to the sharp bounds - I have awarded the bounty. $\endgroup$ Nov 24, 2021 at 16:50

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