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Let $X_{t}=\sum_{i=1}^n(1+s\cdot w)\sin(t_i)$ where $t\in T=[-\pi/2,\pi/2]^n/\{\vec 0\}$, $w\sim\mathbb{N}(0,1)$, $s$ is a scalar denoting the strength of Gaussian noise. How to find the condition on $s$ such that $X_t$ is strictly positive with high probability? i.e. when $n\rightarrow\infty$,

$$P(\inf X_t>0)\rightarrow 1.$$

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2 Answers 2

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We have $X_t=Y\sum_{i=1}^n\sin(t_i)$, where $Y:=1+sw$, $t=(t-1,\dots,t_n)\in T^n:=[-\pi/2,\pi/2]^n/\{\vec 0\}$, $w\sim N(0,1)$, and $s$ is a real number.

So, $$\inf_{t\in T^n}X_t=\min_{t\in T^n}X_t=-n|Y|;$$ this minimum is attained at $t=(-\frac\pi2,\dots,-\frac\pi2)$ if $Y\ge0$ and at $t=(\frac\pi2,\dots,\frac\pi2)$ if $Y<0$.

If $s=0$, then $Y=1$. If $s\ne0$, then $Y$ is normal random variable. So, in any case, $P(Y\ne0)=1$.

So, for any real $s$, $$P(\inf_{t\in T^n}X_t>0)=0\not\to1.$$

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  • $\begingroup$ @chloe : You should not change your question so as to invalidate a valid answer. Please restore the original question and then perhaps post amended questions separately -- after very, very careful preparation, so that not to waste other people's time and to make them more willing to answer your questions in the future. $\endgroup$ Commented Jul 16, 2023 at 14:31
  • $\begingroup$ sorry. I modified it back, and here is the another question: mathoverflow.net/questions/450873/… $\endgroup$
    – tony
    Commented Jul 16, 2023 at 14:42
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You can rewrite your equation as

$$\langle \vec 1 + s\cdot \vec g, \vec t\rangle > 0$$

Where $\vec 1$ is the vector of all 1's, $\vec g\sim\mathcal{N}(0, I_n)$ is standard gaussian, and $\vec t := (\sin(t_1),\dots, \sin(t_n))$ is your vector. I will only use that $\vec t$ is in the positive orthant.

We can simplify this equation to

$$\langle \vec 1, \vec t\rangle + s\langle \vec t, \vec g\rangle > 0$$

As $\vec t$ is in the positive orthant, we have that $\langle \vec 1, \vec t\rangle = \lVert \vec t\rVert_1$. It is a standard computation that $s\langle \vec t, \vec g\rangle \sim \mathcal{N}(0,s^2\lVert \vec t\rVert_2^2)$.

Therefore (by symmetry), you reduce to showing the 1D gaussian tail-bound $1 > g'$ for $g'\sim\mathcal{N}(0, s^2\frac{\lVert \vec t\rVert_2^2}{\lVert \vec t\rVert_1^2})$. You should be able to do this with standard bounds, depending on what your standard of "high probability" is.

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  • $\begingroup$ thanks! sorry I forgot to mention that: I tried to prove $P(X_t>0)\rightarrow 1$ for every $t\in T$. This can be computed exactly by using the symmetric property of gaussian and gaussian tail bound. However this gives a unsatisfactory bound on $s$. Thus I am seeking for another idea. I added this into my post. $\endgroup$
    – tony
    Commented Jul 14, 2023 at 21:25

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