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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 …
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 …