Best Khintchine type inequalities for sums of independent, rotationally invariant random vectors (Q5936412)

Let \((\Omega,P)\) be a probability space. Let \(X:(\Omega, P)\rightarrow {\mathbb{R}}^n\) be a rotation invariant random vector, i.e. \[ P(X\in A)= P(X\in R^{-1} (A)) \] for all Borel sets \(A\subseteq \mathbb{R}^n\) and all orthogonal transformations \(R\in O(n)\). If \(X\) takes its values in the Euclidean sphere \(S^{n-1}\subseteq \mathbb{R}^n\), \(X\) is uniformly distributed on \(S^{n-1}\). If \(\xi, \eta :(\Omega, P)\rightarrow \mathbb{R}\) are real random variables in \(L_1(\Omega, P)\), we say that \(\xi\) dominates \(\eta\), denoted by \(\eta \prec\xi\), if \[ \mathbb{E}\eta=\mathbb{E}\xi \quad \text{and} \quad\int_s^\infty P(\eta >t) dt \leq\int_s^\infty P(\xi >t) dt \] for all \(s\in \mathbb{R}^n\). The basic result in the paper is: Proposition 1. Let \((X_i)\), \((Y_i)\) be two sequences of independent, rotationally invariant random vectors in \(\mathbb{R}^n\) such that \(\|X_i\|^2\prec\|Y_i\|^2\) for \(i=1,\dots,k\). Then \[ \mathbb{E}\Biggl\|\sum_{i=1}^{k}X_i \Biggr\|^p\leq\text{ (resp. \(\geq\)) }\mathbb{E}\Biggl\|\sum_{i=1}^{k}Y_i\Biggr\|^p \] for \(p\geq 3\) or \(p, n\geq 2\) (resp. for \(1\leq p\leq 2\) and \(n\geq 3\)). If one of the sequences is normal, the \(p\)th moment is easily calculated. In such case the authors obtain: Theorem 2. Let \((X_i)\) be an i.i.d sequence of rotationally invariant random vectors in \(\mathbb{R}^n\). Let \(Z\) be a rotationally invariant normal random vector in \(\mathbb{R}^n\) such that \(\|X_1\|^2\prec\|Z\|^2\). Then \[ \Biggl(\mathbb{E}\Biggl\|\sum_{i=1}^{k}\alpha_i X_i\Biggr\|^p\Biggr)^{1/p}\leq \text{ (resp. \(\geq\)) } (\mathbb{E}\|Z\|^p)^{1/p} \Biggl(\sum_{i=1}^{k}|\alpha_i|^2\Biggr)^{1/2} \] for \(p\geq 3\) or \(p, n\geq 2\) (resp. for \(1\leq p\leq 2\) and \(n\geq 3\)). The constant \(\left(\mathbb{E}\|Z\|^p\right)^{1/p}\) is the best possible. In the case when \(X_i\)'s are uniformly distributed on the unit sphere in \(\mathbb{R}^{n}\), the best constant is \[ (\mathbb{E}\|Z\|^p)^{1/p}=\sqrt{\frac 2n} \Biggl(\Gamma\biggl(\frac{p+n}{2}\biggr)\left /\Gamma\biggl(\frac n2\biggl)\Biggr)^{1/p}.\right. \] With this constant, the Khinchin type inequality in this case also holds for \( 1\leq p\leq 2\), \(n=2\).