Best Khintchine type inequalities for sums of independent, rotationally invariant random vectors

Citation
H. Konig et S. Kwapien, Best Khintchine type inequalities for sums of independent, rotationally invariant random vectors, POSITIVITY, 5(2), 2001, pp. 115-152
Citations number
15
Categorie Soggetti
Mathematics
Journal title
POSITIVITY
ISSN journal
13851292 → ACNP
Volume
5
Issue
2
Year of publication
2001
Pages
115 - 152
Database
ISI
SICI code
1385-1292(200106)5:2<115:BKTIFS>2.0.ZU;2-O
Abstract
Let X-i:(Omega, P) --> R-n be an i.i.d. sequence of rotationally invariant random vectors in R-n. If parallel toX(1)parallel to (2) is dominated (in t he sense defined below) by parallel toZ parallel to (2) for a rotationally invariant normal random vector Z in R-n, then for each k is an element ofN and (alpha (i)) subset of or equal to R [GRAPHICS] for p greater than or equal to3 or p,n greater than or equal to2 (resp. for 1 less than or equal top less than or equal to2, n greater than or equal t o3). The constant (E parallel toZ parallel to (p))(1/p) is the best possibl e. The result applies, in particular, for variables uniformly distributed o n the sphere Sn-1 or the ball B-n. In the case of the sphere, the best cons tant is (E parallel toZ parallel to (p))(1/p) = root2/n (Gamma (p+n/2)\Gamma (n/2)) (1/p). With this constant, the Khintchine type inequality in this case also holds for 1 less than or equal top less than or equal to2,n=2.