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for questions involving inequalities, upper and lower bounds.

2 votes
0 answers
124 views

Intuitive (?) inequality extremal inequality

Consider $N$ pairs of random variables $(X_i, Y_i)$. $X_i$ are iid, with $EX_i=0$ and $EX_i^2=1$. The same conditions hold for $Y_i$. Moreover all $X_i$ are independent of all $Y_j$. It seems very rea …
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3 votes
1 answer
1k views

concentration inequality for averages of dependent random variables

Let $X \in R^n$ be a random vector such that $$P(|X_i| > \epsilon) > e^{-\epsilon^2}$$ What is a tight bound on $$P(\sum_{i=1}^n |X_i| > \epsilon)$$ and on $$P(\max_{1\le i\le n} |X_i| > \epsil …
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  • 461