G-2017-68
Densities of sums and small ball probability
BibTeX reference
We propose a lemma that clarifies the proof of Theorem 4.1 on densities of sums in Rudelson and Vershynin. More precisely, by denoting by \(f_{S+Y}\)
the density of an absolutely continuous real-valued random variable \(S\)
augmented by an independent real-valued Gaussian random variable \(Y\)
with mean zero and an arbitrarily small variance, we prove that if \(f_{S+Y}\)
is bounded almost everywhere by a strictly positive constant \(C\)
, then almost everywhere, the density \(f_S\)
is also bounded by the same constant \(C\)
. Then, using these results, we show how small ball probability estimates such as
\(\begin{equation*}
ℙ{(|\sum_{k=1}^na_k\xi_k}|\leq\varepsilon)\leq C\varepsilon\quad\text{for all}\ \ \varepsilon>0,
\end{equation*}\)
with \(a_k\)
's real numbers still hold when \(a_k\)
's are arbitrary random variables.
Published August 2017 , 12 pages
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G1768.pdf (300 KB)