All Questions
24 questions
13
votes
2
answers
1k
views
A comprehensive list of random walk inequalities?
I am interested in finding a comprehensive list of all noticeable random walk inequalities.
ie. $S_n = \sum_{k\leq n} X_i$ for i.i.d symmetric $X_i$
I can only seem to find books/papers that list ...
- 231
13
votes
3
answers
1k
views
A property of unimodal sequences
It is well-known that $(-1)^j \sum_{i=0}^j (-1)^i\binom{n}{i} \geq 0$. This inequality can be used to prove Bonferroni's inequalities for example. Recently I noticed that a similar inequality applies ...
- 619
6
votes
2
answers
2k
views
Is there a name for this theorem?
I wonder if there is a name or reference for the following fact. It is not the proof I am looking for.
Let $s_1, s_2, ...,s_n$ be non-negative real numbers ordered in a non-increasing way. Let $b_1,...
- 371
5
votes
1
answer
2k
views
Lower bound for the $p$-th absolute moment of a sum of random variables
Suppose that $X_1,\ldots,X_n$ are independent random variables with $\operatorname E X_k=0$ and $\operatorname E |X_k|^p<\infty$ with $1<p<2$ for each $1\le k\le n$. I am interested in the ...
- 423
5
votes
1
answer
512
views
Concentration inequality for Hilbert space valued random variables
I have read in a paper about the following result:
Let $V$ be a separable Hilbert space and $(\Omega,A_{\Omega},P)$ a probability space. Suppose that $Y_1,Y_2,...$ is a sequence of independent $V$-...
- 115
5
votes
1
answer
274
views
Precise probability that $m$ random vectors in $n$ dimensional space are nearly-orthogonal
Consider $m$ vectors $v_1,\dots,v_m$ in $\mathbb R^n$, drawn uniformly and independetly from unit sphere. It is pretty straightforward from Chebyshev inequality that
$$
\mathrm P (\forall i\ne j \ |...
- 331
5
votes
0
answers
857
views
Anti-concentration inequality for Gaussian random vector
I am trying to obtain an explicit expression for $C$ in terms of $b$ in the following inequality.
Suppose that $Y$ is a centred Gaussian random vector in $\mathbb R^p$ such that $\operatorname EY_j^...
- 423
4
votes
1
answer
863
views
Hoeffding's inequality for Hilbert space valued random elements
Suppose that $\mathbb H$ is a separable Hilbert space and $X_1,\ldots,X_n$ are independent zero mean $\mathbb H$-valued random elements such that $\|X_i\|\le s$ for each $1\le i\le n$, where $\|\cdot\|...
- 423
4
votes
1
answer
474
views
Concentration inequalities in $\ell_{\infty}$ for sums of iid random ("nice") functions?
I'm looking for "tail-bound-like" inequalities that look like this (I state a specific setting but more general settings are interesting):
Let $D$ be a distribution on a set of "nice" functions $g$:...
- 4,529
4
votes
0
answers
141
views
Is there an example that both Berry-Essen bound and DKW bound are attained?
The Berry-Essen bound stated that
$$\sup _{{x\in {\mathbb R}}}\left|\widehat{F_{n}(x)}-\Phi (x)\right|\leq C_{0}\cdot \psi _{0}$$
where $\psi _{0}(n)={\Big (}{\textstyle \sum \limits _{{i=1}}^{n}\...
- 8,071
3
votes
1
answer
229
views
Inequality for difference of consecutive atom probabilities for binomial distribution
Edit: This post was originally two questions, the first of which has been answered, but a reference would still be appreciated if existent. The second question has been removed and migrated to its ...
- 2,720
3
votes
1
answer
553
views
How did the story of Kim-Vu type inequalities continue?
I am interested in the concentration of polynomials of random variables. I have been reading Boucheron, Lugosi, and Massart's "Concentration inequalities" and they give some references. ...
- 233
3
votes
1
answer
364
views
Can anyone give a reference to the proof of this concentration inequality?
The following concentration inequality for the supremum of a Gaussian process indexed by a separable metric space appears here: http://math.iisc.ac.in/~manju/GP/6-Concentration%20and%20comparison%...
- 123
2
votes
1
answer
235
views
Kolmogoroff condition for truncated random variables
Question summary. Does the Kolmogoroff condition $\sum_{n=1}^\infty\frac{\mathbb V Y_n}{n^2} < \infty$ hold for truncated random variables $Y_n := X_n \cdot 1_{\{X_n \le n\}}$ (see below for a more ...
- 1,326
2
votes
1
answer
598
views
Cantelli's inequality: the original source
Does anyone know where and when Cantelli's inequality was originally published? Strangely enough, I have not been able to find this information online.
- 128k
2
votes
0
answers
80
views
Bridging between Rosethal Inequalities and log convex tails
Let $X_1,\ldots,X_n$ be independent with $\mathbf{E}[X_i] = 0$ and $\mathbf{E}[|X_i|^t] < \infty$ for some $t \ge 2$. Write $\|X\|_p = (E|X|^p)^{1/p}$.
Then we have the classical "Rosenthal-type ...
1
vote
1
answer
97
views
A strict inequality for the $L^1$-norm of a symmetrized zero-mean random variable
Suppose that $Y$ is an independent copy of a random variable (r.v.) $X$ with a zero-mean nondegenerate distribution. Is it then always true that $E|X-Y|>E|X|$?
To get the non-strict version of ...
- 128k
1
vote
1
answer
106
views
What is the maximum possible coefficient of variation for data taking values within a specified range?
I have a question that seems very basic, and yet I have not managed to find an answer after probably several hours of Google-searching.
Fix $0<a<b<\infty$, and let $\mathcal{P}_{[a,b]}$ be ...
- 708
1
vote
2
answers
50
views
Cyclic inequality for 2 dimensional simplex elements
Let $p=(p_{1},p_{2},p_{3})\in\Delta$, with $\Delta:=\lbrace p\in(0,1)^{3}\ |\ p_{1}+p_{2}+p_{3}=1 \rbrace$. I aim to prove (not knowing whether it is true though) that
\begin{equation}
p_{1}^{p_{3}-p_{...
- 289
1
vote
0
answers
43
views
Moments on the Stiefel manifold
Let $S_{n, k} = \{V \in \mathbb{R}^{n \times k} : V^T V = I_k\}$ denote the Stiefel manifold, $1 \leq k \leq n$.
Let $P \in \mathbb{R}^{n \times n}$ denote a symmetric real, positive definite matrix, ...
- 390
1
vote
0
answers
77
views
Divergence between random variables after transformation
Let $X$ and $Y$ be random variables with laws $\mu_X$, $\mu_Y$ and $d$ be some $f$-divergence (e.g. KL, total variation, Hellinger). Writing $d(X,Y)$ for the divergence between $\mu_X$ and $\mu_Y$, ...
- 19
1
vote
0
answers
286
views
General Hoeffding inequality with two uncorrelated random vectors
Let $X_1,\ldots, X_n$ be independent sub-Gaussian variables with sub-Gaussian norm $K$. Let $a_1,\ldots,a_n$ be a random vector such that $\mathbb{E}[a_j X_i]=0$ for all $i,j\in \{1,\ldots ,n\}$ and ...
- 31
1
vote
1
answer
229
views
Tail inequality for orthomartingales/martingale difference random fields
It is known that if $(S_i= \sum_{j \leqslant i }X_i, \mathcal F_i)$ is a martingale,
then for each
$
\beta>1$, $\delta\in (0,\beta-1)$ and $\lambda>0$, and each integer $N \geqslant 1$, the ...
- 3,958
0
votes
1
answer
188
views
Equality cases in a certain case of Jensen's inequality
Suppose that $Y$ is an independent copy of a random variable (r.v.) $X$ with a zero-mean nondegenerate distribution. Is there a non-tautological, preferably simple characterization of the cases when
$$...
- 128k