Inequalities for sums of random variables in noncommutative probability spaces

von Neumann algebra noncommutative Bennett inequality noncommutative Hoeffding inequality noncommutative probability space noncommutative Rosenthal inequality

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Probability theory on linear topological spaces (60B11) Random matrices (probabilistic aspects) (60B20) Norms (inequalities, more than one norm, etc.) of linear operators (47A30) Noncommutative probability and statistics (46L53)

Abstract: In this paper, we establish an extension of a noncommutative Bennett inequality with a parameter

1 l e q r l e q 2

and use it together with some noncommutative techniques to establish a Rosenthal inequality. We also present a noncommutative Hoeffding inequality as follows: Let

(m a t h f r a k M, a u)

be a noncommutative probability space,

m a t h f r a k N

be a von Neumann subalgebra of

m a t h f r a k M

with the corresponding conditional expectation

m a t h c a l E_{m a t h f r a k N}

and let subalgebras

m a t h f r a k N s u b s e t e q m a t h f r a k A_{j} s u b s e t e q m a t h f r a k M,, (j = 1, c d o t s, n)

be successively independent over

m a t h f r a k N

. Let

x_{j} i n m a t h f r a k A_{j}

be self-adjoint such that

a_{j} l e q x_{j} l e q b_{j}

for some real numbers

a_{j} < b_{j}

and

m a t h c a l E_{m a t h f r a k N} (x_{j}) = m u

for some

m u g e q 0

and all

1 l e q j l e q n

. Then for any

t > o

it holds that �egin{eqnarray*} { m Prob}left(left|sum_{j=1}^n x_j-nmu ight|geq t ight)leq 2 expleft{frac{-2t^2}{sum_{j=1}^n(b_j-a_j)^2} ight}. end{eqnarray*}

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