The optimal order for the p-th moment of sums of independent random variables with respect to symmetric norms and related combinatorial estimates

DOI10.1007/S11117-005-0008-ZMaRDI QIDQ2499042zbMATH OpenOpenAlexFDO

Publication date 14 August 2006

Published in Positivity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0209278

combinatorial probability independent random variables symmetric norms

Probabilistic methods in Banach space theory (46B09) Noncommutative function spaces (46L52) Operator ideals (47L20) Combinatorial probability (60C05) Sums of independent random variables; random walks (60G50)

Abstract: We calculate the p-the moment of the sum of n independent random variables with respect to symmetric norm in R^n. The order of growth for upper bound p/ln p obtained in ths estimate is optimal. The result extends to generalized Lorentz spaces l_{f,w} under mild assumptions on f. Indeed, the key combinatorial estimate is obtained for the weak l_1 (l_{1,infinity})-norm. Similar results have been obtained independently by Gordon, Litvak, Schuett and Werner for Orlicz norms and by Montgomery-Smith using different techniques and avoiding the combinatorial estimate.

Review text

Based on the author's summary: ``For \(n\) independent random variables \(f_{1}, \dots, f_{n}\) and a symmetric norm \(| | \;| | _{X}\) on \(\mathbb R^{n}\), we show that for \(1\leq p < \infty\) \[ \begin{aligned}\frac{1}{2+4\sqrt{2}}\Biggl( (n \int_0^{\frac{1}{n}} &h^* (s)^p ds)^{\frac{1}{p}} + \left\| \sum_{i=1}^{n}(n \int_{\frac{i-1}{n}}^{\frac{i}{n}}h^*(s)ds)e_i\right\| _X\Biggr)\\ &\leq \Biggl(\int \left\| \sum_{i=1}^n f_ie_i\right\| _X^p d\mu\Biggr)^{\frac{1}{p}}\\ &\leq \frac{c_0p}{1+\ln p}\Biggl( (n \int_0^{\frac{1}{n}} h^* (s)^p ds)^{\frac{1}{p}} + \left\| \sum_{i=1}^{n}(n \int_{\frac{i-1}{n}}^{\frac{i}{n}}h^*(s)ds)e_i\right\| _X\Biggr).\end{aligned} \] Here \[ h(t,\omega) = \sum_{i=1}^n 1_{[\frac{i-1}{n},\frac{i}{n})}(t)f_i(\omega) \] is the disjoint sum of the \(f_{i}'s\) and \(h^*\) is the non-increasing rearrangement. Similar results (where \(L_{p}\) is replaced by a more general rearrangement invariant function space) were obtained first by \textit{Y. Gordon, A. Litvak, C. Schütt} and \textit{E. Werner} [Ann. Probab. 30, 1833--1853 (2002; Zbl 1016.60008)] for Orlicz spaces \(X\) and independently by \textit{S. Montgomery-Smith} [Isr. J. Math. 131, 51--60 (2002; Zbl 1010.60041)] for general \(X\) but without an explicit analysis of the order of growth for the constant in the upper estimate. The order \(\frac{p}{1+\ln p}\) is optimal and obtained from combinatorial estimates for doubly stochastic matrices. The result extends to Lorentz-norms \(l_{f, q}\) on \(\mathbb R^{n}\) under mild assumptions on \(f\). We give applications to the theory of noncommutative \(L_{p}\) spaces. In Theorem 1.1 cited in this paper the non-decreasing rearrangement of the matrix actually consists of \(n^{2}\) elements \(\alpha_{1}^{*}, \dots, \alpha_{n^{2}}^{*}\) but only the first \(n\) of them play a role in this version of the Kwapień-Schütt estimate.

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