8 Invariance principles

Example. Let Xi uniform on {−1,1}, Yi∼N(0,1). Then 1n(X1+⋯+Xn)≈1n(Y1+⋯+Yn)∼N(0,1). Here, ≈ is meant to mean “has approximately the same distribution as”.

Here, we saw that replacing Xi by another variable Yi with roughly similar properties (e.g. same mean and variance) didn’t affect the distribution of the sum by much.

How can we define “approximately same distribution”? You may have seen before that we can define it as |ℙ[X≤t]−ℙ[Y≤t]|≤𝜀 holding for all t. This can be rephrased in terms of 𝔼𝟙X≤t. We will instead use a notion of similar distribution where we use continuous functions (in fact we will even require stronger conditions than this).

Theorem 8.1 (Generalisation / modification of the Berry–Esseen Theorem). Let X1,…,Xn and Y1,…,Yn be sequences of independent random variables. Suppose that 𝔼Xi=𝔼Yi and 𝔼Xi2=𝔼Yi2 for each i. Let ψ:ℝ→ℝ be such that ∥ψ‴∥∞≤C (bounded third derivative). Then

|𝔼ψ(X1+⋯+Xn−𝔼ψ(Y1+⋯+Yn)|≤16C(∑i=1n(∥Xi∥33+∥Yi∥33)).

Note. For Y∼N(0,1), we have ∥Y∥33=22π and ∥Y∥44=3 (will be an exercise on the example sheet).

Proof. By the triangle inequality, the quantity we wish to bound is at most

∑i=1n|𝔼ψ(Y1+⋯+Yi−1+Xi+⋯+Xn)−𝔼ψ(Y1+⋯+Yi−1+Yi+Xi+1+⋯+Xn)|Y|.

Write Ui for Y1+⋯+Yi−1+Xi+1+⋯+Xn. So the above is

∑i=1n|𝔼ψ(Ui+Xi)−𝔼ψ(Ui+Yi)|.

By Taylor’s Theorem,

ψ(Ui+Xi)=ψ(Ui)+Xiψ′(Ui)+Xi22ψ″(Ui)+Xi36ψ‴(Vi)ψ(Ui+Yi)=ψ(Ui)+Yiψ′(Ui)+Yi22ψ″(Ui)+Yi36ψ‴(Wi)

where Vi is between Ui and Ui+Xi, Wi is between Ui and Ui+Yi.

Taking expectations and subtracting, and using the fact that 𝔼Xi=𝔼Yi and 𝔼Xi2=𝔼Yi2 and also that Xi and Yi are independent of Ui, we get

𝔼(Xi36ψ‴(Vi)−Yi36ψ‴(Wi)),

which has size at most C6(𝔼|Xi|3+𝔼|Yi|3)=C6(∥Xi∥3+∥Yi∥33).

Summing gives the result. □

Corollary 8.2. Let X1,…,Xn be independent with 𝔼Xi=0 and 𝔼Xi2=σi2 with ∑⁡σi2=1. Let ψ be such that ∥ψ‴∥∞≤C. Then

|𝔼ψ(∑i=1nXi)−𝔼ψ(Y)|≤C6(∑i=1n∥Xi∥33+2∑i=1nσi32π)

where Y∼N(0,1).

Proof. Let Y1,…,Yn be normal with mean zero and 𝔼Yi2=σi2. Then ∑⁡i=1nYi∼N(0,1). By the previous theorem, we get a bound of

C6(∑i=1n∥Xi∥33+∑i=1nσi322π).□

Definition 8.3. Let f:ℝn→ℝ be a multilinear function f=∑⁡Af^(A)xA. Alternatively, think of f as a formal multilinear polynomial. Define

  • 𝔼f=f^(∅),

  • 𝔼f2=∑⁡Af^(A)2,

  • Var⁡f=∑⁡A≠∅f^(A)2,

  • ⟨f,g⟩=∑⁡Af^(A)g^(A),

  • Eif=∑⁡A⁄∋if^(A)xA,

  • Dif=∑⁡A∋if^(A)xA∖{i}.

Note that Eif and Dif do not depend on xi and also that f=Eif+xiDif, and ⟨Eif,xiDif⟩=0. Define

  • Inf⁡if=∑⁡A∋if^(A)2,

  • I(f)=∑⁡iInf⁡if=∑A|A|f^(A)2.

One could also define Tρf, Stab⁡ρf.

Now let X=(X1,…,Xn) be independent random variables with 𝔼Xi=0, 𝔼Xi2=1. Then define F(X) to be f evaluated at (X1,…,Xn), i.e. ∑⁡Af^(A)∏i∈AXi. Then it is easy to check that ⟨F,G⟩=⟨f,g⟩, ∥F∥22=∥f∥22. For example,

⟨F,G⟩=𝔼X(∑Af^(A)∏i∈AXi)(∑Bg^(B)∏i∈BXi)=∑A,Bf^(A)g^(B)∏i∈A△BXi∏i∈A∩BXi2=∑Af^(A)g^(A)

Also, defining EiF(X) to be 𝔼[f(X1,…,Xn)|X1,…,Xi−1,Xi+1,…,Xn] we have that EiF(X)=Eif(X).

Suppose that (X1,…,Xn) are independent and

𝔼Xi=0,𝔼Xi2=1,𝔼Xi3=0,𝔼Xi4≤9.(∗)

Then the proof of Bonami’s Lemma straightforwardly gives that if f has degree at most k, then 𝔼f(X1,…,Xn)4≤9k(𝔼f(X1,…,Xn)2)2.

Theorem 8.4 (Invariance principle). Let (X1,…,Xn) and (Y1,…,Yn) be sequences of random variables satisfying condition (∗). Let f be a multilinear polynomial of degree at most k and let ψ:ℝ→ℝ satisfy that ∥ψ′′′′∥∞≤C (bounded fourth derivative). Then

|𝔼ψ(f(X1,…,Xn))−𝔼ψ(f(Y1,…,Yn))|≤C12⋅9k∑i=1n(Inf⁡if)2.

Remark. It is possible to get a stronger result than this, but we prove this version because it can be proved with the version of Bonami’s Lemma mentioned above.

Example. Examples of f where the LHS of the above Theorem is large if we set Xi∼Unif⁡({−1,1}), Yi∼N(0,1):

  • f(Z)=Z1. Then the distribution of f(X) is then uniform on {−1,1}, so LHS is large. The RHS is large because Inf⁡1f is large.

  • f(Z)=Z1⋯Zn. Again, distribution of f(X) is uniform on {−1,1}. The RHS is large because k is large, and also because all Inf⁡ terms are large.

Proof. By the triangle inequality, the quantity we wish to bound is at most

∑i=1n|𝔼ψ(f(Y1,…,Yi−1,Xi,Xi+1,…,Xn))−𝔼ψ(f(Y1,…,Yi−1,Yi,Xi+1,…,Xn))|.

Write Ui=(Y1,…,Yi−1,Xi+1,…,Xn). Then we can rewrite each summand as

|𝔼ψ(Eif(Ui)+XiDif(Ui))−𝔼ψ(Eif(Ui)+YiDif(Ui))|.

Let ui=Eif(Ui), vi=Dif(Ui). So we can rewrite as

|𝔼ψ(ui+Xivi)−𝔼ψ(ui+Yivi)|.

But

ψ(ui+Xivi)=ψ(ui)+Xiviψ′(ui)+12Xi2vi2ψ″(ui)+16Xi3vi3ψ‴(ui)+124Xi4vi4ψ′′′′(wi)

and

ψ(ui+Yivi)=ψ(ui)+Yiviψ′(ui)+12Yi2vi2ψ″(ui)+16Yi3vi3ψ‴(ui)+124Yi4vi4ψ′′′′(zi).

Taking expectations and subtracting, noting condition (∗) and that Xi and Yi are independent of ui and vi, we see that everything cancels apart from the error terms, so we get

124|𝔼Xi4vi4ψ′′′′(wi)−𝔼Yi4vi4ψ′′′′(zi)|≤C24|𝔼Xi4vi4+𝔼Yi4vi4|.

But

𝔼Xi4vi4=𝔼(XiDif(Ui))4=𝔼(xiDif)(Y1,…,Yi−1XiXi+1,…,Xn)4.

But (Y1,…,Yn−1,Xi,Xi+1,…,Xn) satisfies (∗) and xiDif has degree at most k. So Bonami’s Lemma applies, and we get an upper bound of 9k(𝔼Xi2vi2)2=9k(𝔼(Dif)2)2=9k(Inf⁡if)2. Same for Yi, so summing over i gives the result. □

Gaussian Space

Let x∈ℝ. We say that y∼Nρ(x), y is ρ-correlated with x if y∼ρx+1−ρ2g, where g∼N(0,1). If x∼N(0,1) and y∼Nρ(x), thene there are independent Gaussians g1, g2 with x=g1, y=ρg1+1−ρ2g2, so y∼N(0,1) and 𝔼xy=ρ𝔼g12+1−ρ2𝔼g1g2=ρ.

A nice way to construct a pair (x,y) of ρ-correlated Gaussians is to take unit vectors u,v∈ℝ2, g∈N(0,1)2 and set x=⟨u,g⟩, y=⟨v,g⟩, choosing u,v so that ⟨u,v⟩=ρ. Writing g=(g1,g2), we have

𝔼xy=𝔼u1v1g12+𝔼u2v2g22=u1v1+u2v2=⟨u,v⟩=ρ.

Definition 8.5. Let f:ℝn→ℝ and let ρ∈[−1,1]. Then Uρf(x)=𝔼y∼Nρ(x)f(y).

Remark. If x∼N(0,1) and y∼Nρ(x), then y∼N(0,1) and x∼Nρ(y), from which it follows that Uρ is self-adjoint. If y∼Nρ(x) and z∼Nσ(y), then there are independent Gaussians g1, g2 with y∼ρx+1−ρ2g1, z∼σ(ρx+1−ρ2g1)+1−σ2g2. But σ2(1−ρ2)+1−σ2=1−ρ2σ2, so z∼Nρσ(x). From this, it follows easily that UρUσ=Uρσ, i.e. {Uρ:ρ∈[−1,1]} forms a semigroup, called the Orstein–Uhlenbeck semigroup.

We define, if f:ℝn→ℝ, Stab⁡ρf to be

⟨f,Uρf⟩=𝔼x∼ρyf(x)f(y).

Theorem 8.6 (Sheppard’s formula). Let A⊂ℝn be a half space, i.e. a set of the form {x:⟨x,n⟩≥0} for some non-zero u. Then Stab⁡ρ𝟙A=12− cos ⁡⁡−1ρ2π.

Proof. We are interested in

𝔼x∼ρy𝟙A(x)𝟙A(y)=ℙx∼ρy[⟨x,u⟩≥0 and ⟨y,u⟩≥0].

Without loss of generality u is a unit vector. Then ⟨x,u⟩ and ⟨y,u⟩ are ρ-correlated 1-dimensional Gaussians (by rotational invariance, we can think of u as just being u=e1).

So pick unit vectors u,v∈ℝ2, with ⟨v,w⟩=ρ, and consider ⟨v,g⟩, ⟨w,g⟩, g∼N(0,1)2. Then draw a picture:

PIC

From this we get

ℙ[⟨v,g⟩≥0 and ⟨w,g⟩≥0]=π−cos⁡−1ρ2π=12−cos⁡−1ρ2π.□

Definition 8.7 (Rotation sensitivity). Let A⊂ℝn. The rotation sensitivity RS⁡δ(A) is

ℙx∼cos⁡δy[𝟙A(x)≠𝟙A(Y)].

If A is balanced (i.e. has Gaussian measure 12), then ℙ[x∈A,y∈A]=ℙ[x∉A,y∉A], so

ℙx∼cos⁡δy[𝟙A(x)≠𝟙A(y)]=1−2ℙx∼cos⁡δy[𝟙A(x)=𝟙A(y)]=1−2Stab⁡ cos ⁡⁡δ𝟙A(x).

The statement Stab⁡ cos ⁡⁡δ𝟙A(x)≤12−δ2π is equivalent to RS⁡δ(A)≥δπ.

Lemma 8.8 (Subadditivity of RS). Let A be a balanced set in ℝn. Then for any δ1,…,δk≥0 we have

RS⁡δ1+⋯+δk(A)≤RS⁡δ1(A)+⋯+RS⁡δk(A).

Proof. For i=0,…,k, let 𝜃i=δ1+⋯+δi. Let g and g′ be independent n-dimensional Gaussians and let xi=cos⁡𝜃ig+ sin ⁡𝜃ig′ for each i. Then x0 and xk are cos⁡𝜃k-correlated, so

RS⁡δ1+⋯+δk(A)=ℙ[𝟙A(x0)≠𝟙A(xk)].

Also, xi−1 and xi are (cos⁡𝜃i−1 cos ⁡𝜃i+ sin ⁡𝜃i−1 sin ⁡𝜃i= cos ⁡(𝜃i−𝜃i−1)= cos ⁡δi)-correlated. So the RHS equals ∑⁡i=1kℙ[𝟙A(xi−1)≠𝟙A(xi)]. The result now follows from a union bound. □

Corollary 8.9 (Special case of Borell’s isoperimetric inequality). Let A be balanced and let k∈ℕ. Then RS⁡k(A)≥12k.

Proof. RS⁡π2(A)=12 because cos⁡π2-correlated variables are independent. Setting δ1=⋯=δk=π2k, we deduce that kRS⁡π2k≥12, hence RS⁡π2k≥12k. □

Ω