A tight Gaussian bound for weighted sums of Rademacher random variables

DOI10.3150/14-BEJ603MaRDI QIDQ2348742zbMATH OpenFDO

Authors Vidmantas Kastytis Bentkus, D. Dzindzalieta

Publication date 15 June 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.3451, https://projecteuclid.org/euclid.bj/1429624976

zbMATH Keywords

Gaussian boundRademacher random variablesweighted sums

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Abstract: Let $varepsilo{n}_1,ldots,varepsilo{n}_n$ be independent identically distributed Rademacher random variables, that is $mathbbPvarepsilo{n}_i=pm1=1/2$. Let $S_n=a_{1}varepsilo{n}_1+cdots+a_{n}varepsilo{n}_n$, where $mathbfa=(a_1,ldots,a_n)inmathbb{R}^n$ is a vector such that $a_1^2+cdots+a_n^{2}leq1$. We find the smallest possible constant $c$ in the inequality [mathbb{P}{S_ngeq x}leq cmathbb{P}{etageq x}qquad for all xin mathbb{R},] where $etasimN(0,1)$ is a standard normal random variable. This optimal value is equal to [c_*=�igl(4mathbb{P}{etageqsqrt{2}}�igr)^ {-1}approx3.178.]

Recommendations

• Sharp concentration inequalities for deviations from the mean for sums of independent Rademacher random variables
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Cites work

• An asymptotically Gaussian bound on the Rademacher tails
• Extremal probabilistic problems and Hotelling's T^ 2 test under a symmetry condition
• On Gaussian and Bernoulli covariance representations
• On measure concentration for separately Lipschitz functions in product spaces
• Smallest singular value of a random rectangular matrix
• Student's t-Test Under Symmetry Conditions
• Toward the best constant factor for the Rademacher-Gaussian tail comparison

Cited in

(15)

• Tomaszewski's problem on randomly signed sums, revisited
• Tail bounds for empirically standardized sums
• Proof of Tomaszewski's conjecture on randomly signed sums
• A note on random signs
• Sharp concentration inequalities for deviations from the mean for sums of independent Rademacher random variables
• Lower bounds for the absolute value of random polynomials on a neighborhood of the unit circle
• An asymptotically Gaussian bound on the Rademacher tails
• A multidimensional analogue of the Rademacher-Gaussian tail comparison
• Rademacher-Gaussian tail comparison for complex coefficients and related problems
• Probability mass of Rademacher sums beyond one standard deviation
• Half-spaces with influential variable
• Improved bound for Tomaszewski's problem
• Biased halfspaces, noise sensitivity, and local Chernoff inequalities
• A sharp Gaussian tail bound for sums of uniforms
• High-dimensional simultaneous inference of quantiles

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