L₁-norm of combinations of products of independent random variables

DOI10.1007/S11856-014-1076-1MaRDI QIDQ476504zbMATH OpenOpenAlexFDO

Authors Rafał Latała

Publication date 2 December 2014

Published in Israel Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.4406

zbMATH Keywords

\(L_1\)-normindependent random variables

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Inequalities; stochastic orderings (60E15)

Abstract: We show that $L_1$-norm of linear combinations (with scalar or vector coefficients) of products of i.i.d. nonnegative mean one random variables is comparable to $l_1$-norm of coefficients.

Review text

Let \(X\), \(X_i\), \(1\leq i \leq n\) be independent and identically distributed (i.i.d.) non-negative random variables such that \(\operatorname{E}(X)=1\) and \(\operatorname{P}(X=1)<1\). Define \(R_0=1\) and \(R_i=\Pi_{j=1}^iX_j\), \(1\leq j \leq n\). Let \(a_i\), \(1\leq i \leq n\) be real numbers. It is obvious that \(\operatorname{E}(|\sum_{i=0}^na_iR_i|)\leq \sum_{i=0}^n|a_i|\). The author proves the converse of this observation. Suppose that \(X\), \(X_i\), \(1\leq i \leq n\) are i.i.d. non-negative non-degenerate random variables such that \(\operatorname{E}(X)=1\). Then there exists a constant \(c\) that depends only on the distribution of \(X\) such that for any \(v_0\), \(v_1\),\dots, \(v_n\) in a normed space \((F,\|\cdot\|)\), \(\operatorname{E}(\|\sum_{i=0}^nv_iR_i\|)\geq c\sum_{i=0}^n\|v_i\|\). This result has also been extended to independent non-negative random variables \(X_i\), \(1\leq i \leq n\) with mean one satisfying the conditions \(\operatorname{E}(\sqrt{X_i})\leq \lambda <1\), \(\operatorname{E}(|X_i-1|)>\mu >0\), \(1 \leq i \leq n\) for some \(\lambda <1\) and \(\mu >0\). Some additional related inequalities are proved.

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Cites work

• Endomorphismes des idéaux fermés de L^1,(G), classes de Hardy et séries de Fourier lacunaires
• scientific article; zbMATH DE number 3747748 (Why is no real title available?)
• On the strong type multiplier norms of rational functions in several variables
• Random difference equations and renewal theory for products of random matrices

Cited in

(12)

• Orlicz norms of sequences of random variables
• Bounds on moments of weighted sums of finite Riesz products
• Two-sided bounds for \(L_p\)-norms of combinations of products of independent random variables
• Rio-type inequality for the expectation of products of random variables
• The norm of products of free random variables
• On the continuity of Fourier multipliers on the homogeneous Sobolev spaces \(\dot{W}_1^1(R^d)\)
• scientific article; zbMATH DE number 4007332 (Why is no real title available?)
• Weak $L^{1}$ norms of random sums
• On the maximum of random variables on product spaces
• Around Nemirovski’s inequality
• Large deviations for the largest eigenvalue of Rademacher matrices
• An inequality for \(L_ p\)-norms with respect to the multivariate normal distribution

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