Moments from tail bounds via the layer-cake formula
ProofIntermediate⏱ 30 minProbabilitytail formulamomentssub-gaussian
Problem
Suppose satisfies for all . Using the tail formula , prove that
for an absolute constant and all . Compute and explicitly in terms of .
Write a complete argument. Every inequality you use should be one you could state precisely.
Hints
Hints — 0 of 2 revealed
Solution
Opening this before you have a real attempt on paper is the fastest way to feel like you understand something you cannot reproduce.
Related problems
All problems| Solved | Problem | Field | Type | Difficulty | Time |
|---|---|---|---|---|---|
| A variable with all moments finite that is not sub-Gaussian | High-Dim Probability | Proof | 30 min | ||
| Conditional expectation minimises mean squared error | Probability | Proof | 30 min | ||
| Law of total variance and its use | Probability | Proof | 30 min | ||
| The 1/n variance rate requires uncorrelated samples | Probability | Numerical | 30 min | ||
| Catalan numbers are the moments of the semicircle law | Random Matrices | Proof | 1 hour |