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Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 3, Pages 615–621
DOI: https://doi.org/10.4213/tvp492
(Mi tvp492)
 

This article is cited in 7 scientific papers (total in 7 papers)

Short Communications

A maximal inequality for real numbers with application to exchangeable random variables

S. Levental

Michigan State University, Department of Statistics and Probability
Full-text PDF (366 kB) Citations (7)
Abstract: Let $x=(x_1,\ldots, x_n)$ be a sequence of real numbers with ${\sum_{i=1}^n} x_i=0$, and let $\Theta=\{\theta=(\theta_1,\ldots,\theta_n):\theta_i=\pm 1\}$. We will prove that for every $\theta\in\Theta$ and $t\ge 0$ the following holds:
$$ \frac{1}{2}\mathbf{P}\{|x_\pi|\ge 38t\}\le \mathbf{P}\{|\theta\cdot x_\pi|\ge t\}\le \mathbf{P}\biggl\{|x_\pi|\ge \frac{t}{2}\biggr\}, $$
where $\mathbf{P}$ stands for the uniform probability on a group $\{\pi\}$ of all permutations of $\{1,\ldots, n\}$, $x_\pi=(x_{\pi(1)},\ldots, x_{\pi(n)})$, $\theta\cdot x_\pi=(\theta_1x_{\pi(1)},\ldots, \theta_nx_{\pi(n)})$, and $|y|=\max_{1\le k\le n}\{|\sum_{i=1}^k y_i|\}$ for every $y=(y_1,\ldots, y_n)\in\mathbf{R}^n$.
Our proof is elementary and self-contained. As a corollary of our result we will prove, in the case of real numbers, the following recent result of Pruss [Proc. Amer. Math. Soc., 126 (1998), pp. 1811–1819]:
Let $X=(X_1,\ldots, X_{2n})$ be an exchangeable sequence of $2n$ real valued random variables; then for every $t >0$ we have
$$ {\mathbf P}\Bigg\{\max_{1\le j\le 2n}\Bigg|\sum_{i=1}^j X_i\Bigg| > t\Bigg\}\le 16\,{\mathbf P}\Bigg\{\Bigg|\sum_{i=1}^n X_i\Bigg| > \frac{t}{3420}\Bigg\}. $$
Keywords: maximal inequality, permutations, exchangeable random variables.
Received: 25.08.1999
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 3, Pages 525–532
DOI: https://doi.org/10.1137/S0040585X97978464
Bibliographic databases:
Document Type: Article
Language: English
Citation: S. Levental, “A maximal inequality for real numbers with application to exchangeable random variables”, Teor. Veroyatnost. i Primenen., 45:3 (2000), 615–621; Theory Probab. Appl., 45:3 (2001), 525–532
Citation in format AMSBIB
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\paper A maximal inequality for real numbers with application to exchangeable random variables
\jour Teor. Veroyatnost. i Primenen.
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\issue 3
\pages 615--621
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\transl
\jour Theory Probab. Appl.
\yr 2001
\vol 45
\issue 3
\pages 525--532
\crossref{https://doi.org/10.1137/S0040585X97978464}
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  • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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