Paley–Zygmund inequality

In mathematics, the Paley–Zygmund inequality bounds the probability that a positive random variable is small, in terms of its first two moments. The inequality was proved by Raymond Paley and Antoni Zygmund.

Theorem: If Z ≥ 0 is a random variable with finite variance, and if ${\displaystyle 0\leq \theta \leq 1}$, then

${\displaystyle \operatorname {P} (Z>\theta \operatorname {E} [Z])\geq (1-\theta )^{2}{\frac {\operatorname {E} [Z]^{2}}{\operatorname {E} [Z^{2}]}}.}$

Proof: First,

${\displaystyle \operatorname {E} [Z]=\operatorname {E} [Z\,\mathbf {1} _{\{Z\leq \theta \operatorname {E} [Z]\}}]+\operatorname {E} [Z\,\mathbf {1} _{\{Z>\theta \operatorname {E} [Z]\}}].}$

The first addend is at most ${\displaystyle \theta \operatorname {E} [Z]}$, while the second is at most ${\displaystyle \operatorname {E} [Z^{2}]^{1/2}\operatorname {P} (Z>\theta \operatorname {E} [Z])^{1/2}}$ by the Cauchy–Schwarz inequality. The desired inequality then follows. ∎

Related inequalities[]

The Paley–Zygmund inequality can be written as

${\displaystyle \operatorname {P} (Z>\theta \operatorname {E} [Z])\geq {\frac {(1-\theta )^{2}\,\operatorname {E} [Z]^{2}}{\operatorname {Var} Z+\operatorname {E} [Z]^{2}}}.}$

This can be improved. By the Cauchy–Schwarz inequality,

${\displaystyle \operatorname {E} [Z-\theta \operatorname {E} [Z]]\leq \operatorname {E} [(Z-\theta \operatorname {E} [Z])\mathbf {1} _{\{Z>\theta \operatorname {E} [Z]\}}]\leq \operatorname {E} [(Z-\theta \operatorname {E} [Z])^{2}]^{1/2}\operatorname {P} (Z>\theta \operatorname {E} [Z])^{1/2}}$

which, after rearranging, implies that

${\displaystyle \operatorname {P} (Z>\theta \operatorname {E} [Z])\geq {\frac {(1-\theta )^{2}\operatorname {E} [Z]^{2}}{\operatorname {E} [(Z-\theta \operatorname {E} [Z])^{2}]}}={\frac {(1-\theta )^{2}\operatorname {E} [Z]^{2}}{\operatorname {Var} Z+(1-\theta )^{2}\operatorname {E} [Z]^{2}}}.}$

This inequality is sharp; equality is achieved if Z almost surely equals a positive constant.

In turn, this implies another convenient form (known as Cantelli's inequality) which is

${\displaystyle \operatorname {P} (Z>\mu -\theta \sigma )\geq {\frac {\theta ^{2}}{1+\theta ^{2}}},}$

where ${\displaystyle \mu =\operatorname {E} [Z]}$ and ${\displaystyle \sigma ^{2}=\operatorname {Var} [Z]}$. This follows from the substitution ${\displaystyle \theta =1-\theta '\sigma /\mu }$ valid when ${\displaystyle 0\leq \mu -\theta \sigma \leq \mu }$.

A strengthened form of the Paley-Zygmund inequality states that if Z is a non-negative random variable then

${\displaystyle \operatorname {P} (Z>\theta \operatorname {E} [Z\mid Z>0])\geq {\frac {(1-\theta )^{2}\,\operatorname {E} [Z]^{2}}{\operatorname {E} [Z^{2}]}}}$

for every ${\displaystyle 0\leq \theta \leq 1}$. This inequality follows by applying the usual Paley-Zygmund inequality to the conditional distribution of Z given that it is positive and noting that the various factors of ${\displaystyle \operatorname {P} (Z>0)}$ cancel.

Both this inequality and the usual Paley-Zygmund inequality also admit ${\displaystyle L^{p}}$ versions:^[1] If Z is a non-negative random variable and ${\displaystyle p>1}$ then

${\displaystyle \operatorname {P} (Z>\theta \operatorname {E} [Z\mid Z>0])\geq {\frac {(1-\theta )^{p/(p-1)}\,\operatorname {E} [Z]^{p/(p-1)}}{\operatorname {E} [Z^{p}]^{1/(p-1)}}}.}$

for every ${\displaystyle 0\leq \theta \leq 1}$. This follows by the same proof as above but using Hölder's inequality in place of the Cauchy-Schwarz inequality.

See also[]

• Cantelli's inequality
• Concentration inequality – a summary of tail-bounds on random variables.

References[]

Further reading[]

This article includes a list of general references, but it lacks sufficient corresponding inline citations. Please help to improve this article by introducing more precise citations. (November 2020) (Learn how and when to remove this template message)

• Paley, R. E. A. C.; Zygmund, A. (April 1932). "On some series of functions, (3)". Mathematical Proceedings of the Cambridge Philosophical Society. 28 (2): 190–205. Bibcode:1932PCPS...28..190P. doi:10.1017/S0305004100010860.
• Paley, R. E. A. C.; Zygmund, A. (July 1932). "A note on analytic functions in the unit circle". Mathematical Proceedings of the Cambridge Philosophical Society. 28 (3): 266–272. Bibcode:1932PCPS...28..266P. doi:10.1017/S0305004100010112.