Theorem 1.1 (Khinchinโ€™s inequality). Assuming that:

  • {๐œ€n}n=1N be IID random variables with โ„™(๐œ€n=1)=โ„™(๐œ€n=โˆ’1)=12

  • 1<p<โˆž

  • x1,โ€ฆ,xNโˆˆโ„‚

Then
(  ||Nโˆ‘      ||p) 1p    (โˆ‘N     ) 12
  ๐”ผ||   ๐œ€nxn||    โˆผp     |xn|2   = โˆฅxnโˆฅ2.
   |n=1    |        n=1