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Let $X_i$ ($i=1, \dots$) be an orthonormal basis for $L^2(\Omega, \mathbb P)$. In particular, it holds that $$\mathbb E[X_iX_j] = \delta_{ij}.$$ Now take $Z\in L^2(\Omega, \mathbb P)$ and define $\ti …

Let X be an $\mathbb R^d$-valued random variable with distribution $N_d(0,\Sigma)$. I'm looking for a function $f$ such that $$P(|X_1|\leq M, |X_2|\leq M,\dots, |X_d|\leq M)\geq f(M),$$ and such that …

Let $X^1,\dots,X^n$ be a sample of (not necessarily iid) random variables and denote $$F^n(x)=\frac{1}{n}\sum_{i=1}^n \mathbf 1_{X^i\leq x}$$ the empirical distribution function. Suppose that we know …

Based on Carlo's contribution, after short manipulations I got to the answer $$f(M)=\left(1-\exp\left(-\frac{M^2}{d^2 \|C\|^2}\right)\right)^d,$$ for the full rank case, where $\|C\|=\max |C_{ij}|$ an …

Let $\alpha\in\mathbb R^d$, with $\alpha\neq 0$. Take a sequence of iid random variables $X^{1},\dots,X^{n}$ with values in $\mathbb R^d$ and denote $R$ the cdf of $\alpha X^1$ (where the product is a …