Suppose that $\epsilon_1,\epsilon_2,\ldots$ are IID random variables with the Bernoulli distribution $\mathbb{P}(\epsilon_n=\pm1)=1/2$, and $a_1,a_2,\ldots$ is a real sequence with $\sum_na_n^2=1$. Letting $S=\sum_n\epsilon_na_n$, the question is whether there exists a constant $c > 0$, independent of the choice of $a$, with $$ \mathbb{P}(\vert S\vert\ge1)\ge c.\qquad\qquad{\rm(1)} $$ That is, I am interested in finding a bound on the probability of the sum being within one standard deviation of its mean. If true, this represents a particularly sharp version of the $L^0$ Khintchine inequality. Considering the example with $a_1=1$ and all other $a_i$ set to zero, for which $\mathbb{P}(\vert S\vert > 1)=0$, it is necessary that the inequality inside the probability in (1) is not strict. Also, considering the example with $(a_1,a_2,a_3)=(1/\sqrt2,1/2,1/2)$, it can be seen that $c\le1/4$. I wonder if it is possible to construct further examples showing that $c$ must, in fact, be zero?

For any $0 < u < 1$, it is easy to find a bound $$ \mathbb{P}(\vert S\vert > u)\ge c_u $$ for $c_u > 0$ a constant independent of $a$. Considering the case with $a_1=a_2=1/\sqrt{2}$ and all other $a_i$ set to zero, it is clear that $c_u \le 1/2$. In fact, it can be shown that $c_u=(1-u^2)^2/3$ will suffice (see my answer to this other MO question), but $c_u$ decreases to zero as $u$ goes to $1$, so this does not help with (1). Combining the Paley-Zygmund inequality with the optimal constants in the $L^p$-versions of the Khintchine inequality for $p > 0$ (see ref. 1 or 2) it is possible to give improved values for $c_u$, but it still tends to zero as $u$ goes to 1.

My apologies if this is either obvious or some well-known fact that I have missed, but I could not find any reference for it. This question is something that I originally thought about while writing up some notes on stochastic integration (posted on my blog), as the $L^0$-version of the Khintchine inequality can be used to prove the existence of the stochastic integral. However, it is not necessary to have something as strong as (1) in that case. More recently, it came up again while answering this MO question.

[**Update**: Its been some time since this question was posted and answered. Many thanks to Anthony, Iosif and Ravi. There is ongoing research on this problem, and it seems likely that the optimal value of $c$ is 7/32 as conjectured by Oleszkiewicz in the paper linked in Ravi's answer. See Some explorations on two conjectures about Rademacher sequences by Hu, Lan and Sun, where the optimal value of 7/32 is shown for sequences of length at most 7, but it is still open in general. Also, the preprint Proof of Tomaszewski's Conjecture on Randomly Signed Sums by Keller and Klein also includes the claim that their methods improve the best known value for $c$ to 1/8.]

Refs:

- Haagerup,
*The best constants in the Khintchine inequality*, Studia Math., 70 (3) (1982), 231-283. - Nazarov & Podkorytov,
*Ball, Haagerup, and distribution functions*, Preprint (1997). Available from Fedja Nazarov's homepage.