Subgaussian random variables, Hoeffding’s inequality, and Cramér’s large deviation theorem

Jordan Bell
June 4, 2014

1 Subgaussian random variables

For a random variable X, let ΛX⁢(t)=log⁡E⁢(et⁢X), the cumulant generating function of X. A b-subgaussian random variable, b>0, is a random variable X such that

ΛX⁢(t)≤b2⁢t22,t∈ℝ.

We remark that for γa,σ2 a Gaussian measure, whose density with respect to Lebesgue measure on ℝ is

p⁢(x,a,σ2)=12⁢π⁢σ2⁢e-(x-a)22⁢σ2,

we have

∫ℝet⁢x⁢𝑑γ0,b2⁢(x)=∫ℝeb⁢t⁢y⁢12⁢π⁢e-y22⁢𝑑y=∫ℝeb2⁢t22⁢12⁢π⁢e-(y-b⁢t)22⁢𝑑y=eb2⁢t22.

We prove that a b-subgaussian random variable is centered and has variance ≤b2.11 1 Karl R. Stromberg, Probability for Analysts, p. 293, Proposition 9.8.

Theorem 1.

If X is b-subgaussian then E⁢(X)=0 and Var⁢(X)≤b2.

Proof.

For each ω∈Ω, ∑k=0ntk⁢X⁢(ω)kk!→et⁢X⁢(ω), and by the dominated convergence theorem,

∑k=0ntk⁢E⁢(X)kk!→E⁢(et⁢X)≤eb2⁢t22=∑k=0∞(b2⁢t22)k⁢1k!.

Therefore

1+t⁢E⁢(X)+t2⁢E⁢(X2)+O⁢(t3)≤1+b2⁢t22+O⁢(t4),

whence

t⁢E⁢(X)+t2⁢E⁢(X2)≤b2⁢t22+o⁢(t2),

and so, for t>0,

E⁢(X)+t⁢E⁢(X2)≤b2⁢t2+o⁢(t).

First, this yields E⁢(X)=o⁢(t), which means that E⁢(X)=0. Second, since E⁢(X)=0,

t⁢E⁢(X2)≤b2⁢t2+o⁢(t),

and then

E⁢(X2)≤b22+o⁢(1),

which measn that E⁢(X2)≤b22. ∎

Stromberg attributes the following theorem to Saeki; further, it is proved in Stromberg that if for some t the inequality in the theorem is an equality then the random variable has the Rademacher distribution.22 2 Karl R. Stromberg, Probability for Analysts, p. 293, Proposition 9.9; Omar Rivasplata, Subgaussian random variables: An expository note, http://www.math.ualberta.ca/~orivasplata/publications/subgaussians.pdf

Theorem 2.

If X is a random variable satisfying E⁢(X)=0 and P(X∈[-1,1])=1, then

E⁢(et⁢X)≤cosh⁡t,t∈ℝ.
Proof.

Define f:ℝ→ℝ by

f⁢(t)=et⁢(cosh⁡t-E⁢(et⁢X))=e2⁢t2+12-et⁢E⁢(et⁢X).

Then

f′⁢(t)=e2⁢t-et⁢E⁢(et⁢X)-et⁢E⁢(X⁢et⁢X);

the derivative of E⁢(et⁢X) with respect to t is obtained using the dominated convergence theorem. Let Y=1+X, with which

f′⁢(t)=e2⁢t-E⁢(et⁢Y)-E⁢(X⁢et⁢Y)=e2⁢t-E⁢(et⁢Y)-E⁢((Y-1)⁢et⁢Y)=e2⁢t-E⁢(Y⁢et⁢Y).

E⁢(X)=0, so E⁢(Y)=1, hence

f′⁢(t)=E⁢(e2⁢t⁢Y)-E⁢(Y⁢et⁢Y)=E⁢(Y⁢(e2⁢t-et⁢Y)).

Because P(Y∈[0,2])=1, for t≥0, we have almost surely e2⁢t-et⁢Y≥0, and therefore almost surely Y⁢(e2⁢t-et⁢Y)≥0. Therefore, for t≥0,

f′⁢(t)=E⁢(Y⁢(e2⁢t-et⁢Y))≥0,

which tells us that for t≥0,

f⁢(0)≤f⁢(t).

As f⁢(0)=0, for t≥0,

0≤et⁢(cosh⁡t-E⁢(et⁢X)),

and so

E⁢(et⁢X)≤cosh⁡t.

∎

Corollary 3.

If a random variable X satisfies E⁢(X)=0 and P(|X|≤b)=1, then X is b-subgaussian.

2 Hoeffding’s inequality

We first prove Hoeffding’s lemma.33 3 Stéphane Boucheron, Gábor Lugosi, and Pascal Massart, Concentration Inequalities: A Nonasymptotic Theory of Independence, p. 27, Lemma 2.2.

Lemma 4 (Hoeffding’s lemma).

If a random variable X satisfies E⁢(X)=0 and P(X∈[a,b])=1, then X is b-a2-subgaussian.

Proof.

Because P(X∈[a,b])=1, it follows that

Var⁢(X)≤(b-a)24,

not using that P⁢(X)=0. (Namely, Popoviciu’s inequality.)

Write μ=X*⁢P and for λ∈ℝ define

d⁢νλ⁢(t)=eλ⁢teΛ⁢(λ)⁢d⁢μ⁢(t).

We check

∫ℝ𝑑νλ⁢(t)=1eΛ⁢(λ)⁢∫ℝeλ⁢t⁢d⁢(X*⁢P)⁢(t)=1eΛ⁢(λ)⁢∫Ωeλ⁢X⁢𝑑P=1.

There is a random variable Xλ:(Ωλ,ℱλ,Pλ)→ℝ for which Xλ*⁢Pλ=νλ. Xλ satisfies Pλ(Xλ∈[a,b])=1, and so

Var⁢(Xλ)≤(b-a)24.

We calculate

ΛX′⁢(t)=E⁢(X⁢et⁢X)E⁢(et⁢X)

and

ΛX′′⁢(t)=E⁢(X2⁢et⁢X)⁢E⁢(et⁢X)-E⁢(X⁢et⁢X)⁢E⁢(X⁢et⁢X)E⁢(et⁢X)2.

But

E⁢(Xλ)=∫ℝt⁢𝑑νλ⁢(t)=∫ℝt⁢eλ⁢teΛ⁢(λ)⁢𝑑μ⁢(t)=1eΛ⁢(λ)⁢E⁢(X⁢eλ⁢X)

and

E⁢(Xλ2)=∫ℝt2⁢𝑑νλ⁢(t)=1eΛ⁢(λ)⁢E⁢(X2⁢eλ⁢X),

and so

Var⁢(Xλ) =E⁢(Xλ2)-E⁢(Xλ)2
=E⁢(X2⁢eλ⁢X)eΛ⁢(λ)-E⁢(X⁢eλ⁢X)2e2⁢Λ⁢(λ)
=ΛX′′⁢(λ).

For λ∈ℝ, Taylor’s theorem tells us that there is some θ between 0 and λ such that

ΛX⁢(λ)=ΛX⁢(0)+λ⁢ΛX′⁢(0)+λ22⁢ΛX′′⁢(θ)=λ22⁢ΛX′′⁢(θ);

here we have used that E⁢(X)=0. But from what we have shown, Var⁢(Xθ)=ΛX′′⁢(θ) and Var⁢(Xθ)≤(b-a)24, so

ΛX⁢(λ)=λ22⁢Var⁢(Xθ)≤λ22⋅(b-a)24,

which shows that X is b-a2-subgaussian. ∎

We now prove Hoeffding’s inequality.44 4 Stéphane Boucheron, Gábor Lugosi, and Pascal Massart, Concentration Inequalities: A Nonasymptotic Theory of Independence, p. 34, Theorem 2.8.

Theorem 5 (Hoeffding’s inequality).

Let X1,…,Xn be independent random variables such that for each 1≤k≤n, P(Xk∈[ak,bk])=1, and write Sn=∑k=1nXk. For any a>0,

P(Sn-E(Sn)≥a)≤exp(-2⁢a2∑k=1n(bk-ak)2).
Proof.

For λ>0 and ϕ⁢(t)=eλ⁢t, because ϕ is nonnegative and nondecreasing, for X a random variable we have

1X≥a⁢ϕ⁢(a)≤ϕ⁢(X),

and so E⁢(1X≥a⁢ϕ⁢(a))≤E⁢(ϕ⁢(X)), i.e.

P(X≥a)≤E⁢(eλ⁢X)eλ⁢a.

Using this with X=Sn-E⁢(Sn) and because the Xk are independent,

P(Sn-E(Sn)≥a)≤1eλ⁢aE(eλ⁢(Sn-E⁢(Sn)))=e-λ⁢a∏k=1nE(eλ⁢(Xk-E⁢(Xk))).

Because P(Xk∈[ak,bk])=1, we have P(Xk-E(Xk)∈[ak-E(Xk),bk-E(Xk)])=1, and as (bk-E⁢(Xk))-(ak-E⁢(Xk))=bk-ak, Hoeffding’s lemma tells us

log⁡E⁢(eλ⁢(Xk-E⁢(Xk)))≤(bk-ak)2⁢λ28,

and thus

P(Sn-E(Sn)≥a) ≤e-λ⁢a⁢exp⁡(∑k=1n(bk-ak)2⁢λ28)
=exp⁡(-λ⁢a+λ28⁢∑k=1n(bk-ak)2).

We remark that λ does not appear in the left-hand side. Define

g⁢(λ)=-λ⁢a+λ28⁢∑k=1n(bk-ak)2,

for which

g′⁢(λ)=-a+λ4⁢∑k=1n(bk-ak)2.

Then g′⁢(λ)=0 if and only if

λ=4⁢a∑k=1n(bk-ak)2,

at which g assumes its infimum. Then

P(Sn-E(Sn)≥a) ≤exp⁡(-4⁢a2∑k=1n(bk-ak)2+16⁢a28⁢1∑k=1n(bk-ak)2)
=exp⁡(-2⁢a∑k=1n(bk-ak)2),

proving the claim. ∎

3 Cramér’s large deviation theorem

The following is Cramér’s large deviation theorem.55 5 Achim Klenke, Probability Theory: A Comprehensive Course, p. 508, Theorem 23.3.

Theorem 6 (Cramér’s large deviation theorem).

Suppose that Xn:(Ω,ℱ,P)→ℝ, n≥1, are independent identically distributed random variables such that for all t∈ℝ,

Λ⁢(t)=log⁡E⁢(et⁢X1)<∞.

For x∈ℝ define

Λ*⁢(x)=supt∈ℝ⁡(t⁢x-Λ⁢(t)).

If a>E⁢(X1), then

limn→∞1nlogP(Sn≥an)=-Λ*(a),

where Sn=∑k=1nXk.

Proof.

For a>E⁢(X1), let Yn=Xn-a, let

L⁢(t)=log⁡E⁢(et⁢Y1)=log⁡E⁢(et⁢X1⁢e-t⁢a)=-t⁢a+Λ⁢(t)

and let

L*⁢(x)=supt∈ℝ⁡(t⁢x-L⁢(t))=supt∈ℝ⁡(t⁢(x+a)-Λ⁢(t))=Λ*⁢(x+a).

Lastly, let Tn=∑k=1nYk=Sn-n⁢a, with which

P(Tn≥bn)=P(Sn≥(b+a)n).

Thus, if we have

limn→∞1nlogP(Tn≥0)=-L*(0),

then

limn→∞1nlogP(Sn≥an)=-L*(0)=-Λ*(a).

Therefore it suffices to prove the theorem for when E⁢(X1)<0 and a=0.

Define

ϕ⁢(t)=eΛ⁢(t)=E⁢(et⁢X1)=∫Ωet⁢X1⁢𝑑P=∫ℝet⁢x⁢d⁢(X1*⁢P)⁢(x),t∈ℝ,

the moment generating function of X1, and define

ρ=e-Λ*⁢(0)=exp⁡(-supt∈ℝ⁡(-Λ⁢(t)))=exp⁡(inft∈ℝ⁡Λ⁢(t))=inft∈ℝ⁡ϕ⁢(t),

using that x↦ex is increasing.

Using the dominated convergence theorem, for k≥0 we obtain

ϕ(k)⁢(t)=∫ℝxk⁢et⁢x⁢d⁢(X1*⁢P)⁢(x)=E⁢(X1k⁢et⁢X1).

In particular, ϕ′⁢(t)=E⁢(X1⁢et⁢X1), for which ϕ′⁢(0)=E⁢(X1)<0, and ϕ′′⁢(t)=E⁢(X12⁢et⁢X1)>0 for all t (either the expectation is 0 or positive, and if it is 0 then X12⁢et⁢X1 is 0 almost everywhere, which contradicts E⁢(X1)<0).

Either P(X1≤0)=1 or P(X1≤0)<1. In the first case,

ϕ′⁢(t)=∫ΩX1⁢et⁢X1⁢𝑑P=∫X1≤0X1⁢et⁢X1⁢𝑑P≤0,

so, using the dominated convergence theorem,

ρ=inft∈ℝϕ(t)=limt→∞ϕ(t)=∫X1≤0(limt→∞et⁢X1)dP=∫X1=0dP=P(X1=0).

Then

P(Sn≥0)=P(X1=0,…,Xn=0)=P(X1=0)⋯P(Xn=0)=ρn.

That is, as a=0,

P(Sn≥a)=e-n⁢Λ*⁢(a),

and the claim is immediate in this case.

In the second case, P(X1≤0)<1. As ϕ′′⁢(t)>0 for all t, there is some τ∈ℝ at which ϕ⁢(τ)<ϕ⁢(t) for all t≠τ (namely, a unique global minimum). Thus,

ϕ⁢(τ)=ρ,ϕ′⁢(τ)=0.

And ϕ′⁢(0)=E⁢(X1)<0, which with the above yields τ>0. Because τ>0, Sn⁢(ω)≥0 if and only if τ⁢Sn⁢(ω)≥0 if and only if eτ⁢Sn⁢(ω)≥1. Applying Chebyshev’s inequality, and because Xn are independent,

P(Sn≥0)=P(eτ⁢Sn≥1)≤E(eτ⁢Sn)=E(eτ⁢X1)⋯E(eτ⁢Xn)=ϕ(τ)n=ρn,

thus logP(Sn≥0)≤nlogρ and then

lim supn→∞1nlogP(Sn≥0)≤lim supn→∞logρ=logρ=loge-Λ*⁢(0)=-Λ*(0).

To prove the claim, it now suffices to prove that, in the case P(X1≤0)<1,

lim infn→∞1nlogP(Sn≥0)≥logρ. (1)

Let μ=X1*⁢P, and let

d⁢ν⁢(x)=eτ⁢xρ⁢d⁢μ⁢(x).

ν is a Borel probability measure: it is apparent that it is a Borel measure, and

ν⁢(ℝ)=∫ℝ𝑑ν⁢(x)=∫ℝeτ⁢xρ⁢𝑑μ⁢(x)=1ρ⁢∫ℝeτ⁢x⁢𝑑μ⁢(x)=ϕ⁢(τ)ρ=1.

There are independent identically distributed random variables Yn, n≥1, each with Yn*⁢Q=ν. 66 6 Gerald B. Folland, Real Analysis: Modern Techniques and Their Applications, p. 329, Corollary 10.19. Define

ψ⁢(t)=E⁢(et⁢Y1)=∫ℝet⁢x⁢𝑑ν⁢(x)=∫ℝet⁢x⁢eτ⁢xρ⁢𝑑μ⁢(x)=1ρ⁢∫ℝe(t+τ)⁢x⁢𝑑μ⁢(x)=ϕ⁢(t+τ)ρ,

the moment generating function of Y1. As ϕ′⁢(τ)=0,

E⁢(Y1)=ψ′⁢(0)=ϕ′⁢(τ)ρ=0.

As ρ>0 and ϕ′′⁢(t)>0 for all t,

Var⁢(Y1)=E⁢(Y12)=ψ′′⁢(0)=ϕ′′⁢(τ)ρ∈(0,∞).

For Tn=∑k=1nYk, using that the Xn are independent and that the Yn are independent,

P(Sn≥0) =∫x1+⋯+xn≥0d⁢(Sn*⁢P)⁢(x)
=∫x1+⋯+xn≥0𝑑μ⁢(x1)⁢⋯⁢𝑑μ⁢(xn)
=∫x1+⋯+xn≥0(ρeτ⁢x1⁢d⁢ν⁢(x1))⁢⋯⁢(ρeτ⁢xn⁢d⁢ν⁢(xn))
=ρn⁢∫x1+⋯+xn≥0e-τ⁢(x1+⋯+xn)⁢d⁢(Tn*⁢Q).

But

∫x1+⋯+xn≥0e-τ⁢(x1+⋯+xn)⁢d⁢(Tn*⁢Q) =∫Tn≥0e-τ⁢Tn⁢𝑑Q
=E⁢(1{Tn≥0}⋅e-τ⁢Tn),

hence

P(Sn≥0)=ρnE(1{Tn≥0}⋅e-τ⁢Tn).

Thus, (1) is equivalent to

lim infn→∞⁡1n⁢log⁡(ρn⁢E⁢(1{Tn≥0}⋅e-τ⁢Tn))≥log⁡ρ,

so, to prove the claim it suffices to prove that

lim infn→∞⁡1n⁢log⁡(E⁢(1{Tn≥0}⋅e-τ⁢Tn))≥0.

For any c>0,

log⁡(E⁢(1{Tn≥0}⋅e-τ⁢Tn)) ≥log⁡E⁢(1{0≤Tn≤cn}⋅e-τ⁢Tn)
≥log(e-τ⁢c⁢n⋅Q(0≤Tn≤cn))
=-τcn+logQ(Tnn∈[0,c]).

Because the Yn are independent identically distributed L2 random variables with mean 0 and variance σ2=Var⁢(Y1)=ϕ′′⁢(τ)ρ, the central limit theorem tells us that as n→∞,

Q(Tnn∈[0,c])→γ0,σ2([0,c]),

where γa,σ2 is the Gaussian measure, whose density with respect to Lebesgue measure on ℝ is

p⁢(t,a,σ2)=1σ⁢2⁢π⁢e-(t-a)22⁢σ2.

Thus, because for c>0 we have γ0,σ2⁢([0,c])>0,

lim infn→∞⁡1n⁢log⁡(E⁢(1{Tn≥0}⋅e-τ⁢Tn)) ≥lim infn→∞(-τ⁢cn+1nlogQ(Tnn∈[0,c]))
=limn→∞-τ⁢cn+limn→∞1nlogQ(Tnn∈[0,c])
=limn→∞⁡1n⁢log⁡γ0,σ2⁢([0,c])
=0,

which completes the proof. ∎

For example, say that Xn are independent identically distributed random variables with X1*⁢P=γ0,1. We calculate that the cumulant generating function Λ⁢(t)=log⁡E⁢(et⁢X1) is

Λ⁢(t) =log⁡(∫ℝet⁢x⁢𝑑γ0,1⁢(x))
=log⁡(∫ℝet⁢x⁢e-x222⁢π⁢𝑑x)
=log⁡(∫ℝe-12⁢(x-t)22⁢π⁢et22⁢𝑑x)
=log⁡et2⁢2
=t22,

thus Λ⁢(t)<∞ for all t. Then

Λ*⁢(x)=supt∈ℝ⁡(t⁢x-Λ⁢(t))=supt∈ℝ⁡(t⁢x-t22)=x22.

Now applying Cramér’s theorem we get that for a>E⁢(X1)=0, for Sn=∑k=1nXk we have

limn→∞1nlogP(Sn≥an)=-a22.

Another example: If Xn are independent identically distributed random variables with the Rademacher distribution:

Xn*⁢P=12⁢δ-1+12⁢δ1.

Then

E⁢(et⁢X1)=∫ℝet⁢x⁢d⁢(12⁢δ-1+12⁢δ1)⁢(x)=12⁢e-t+12⁢et=cosh⁡t,

so the cumulant generating function of X1 is

Λ⁢(t)=log⁡cosh⁡t,

and indeed Λ⁢(t)<∞ for all t∈ℝ. Then, as dd⁢t⁢(t⁢x-log⁡cosh⁡t)=x-tanh⁡t,

Λ*⁢(x)=supt∈ℝ⁡(t⁢x-log⁡cosh⁡t)=arctanh⁢x⋅x-log⁡cosh⁡arctanh⁢x.

For x∈(-1,1),

arctanh⁢x=12⁢log⁡1+x1-x.

Then

cosh⁡arctanh⁢x=12⁢(earctanh⁢x+e-arctanh⁢x)=12⁢1+x1-x+12⁢1-x1+x=11-x2.

With these identities,

Λ*⁢(t) =x2⁢log⁡1+x1-x+12⁢log⁡(1-x2)
=x2⁢log⁡(1+x)-x2⁢log⁡(1-x)+12⁢log⁡(1+x)+12⁢log⁡(1-x)
=1+x2⁢log⁡(1+x)+1-x2⁢log⁡(1-x).

With Sn=∑k=1nXk, applying Cramér’s theorem, we get that for any a>E⁢(X1)=0,

limn→∞1nlogP(Sn≥an)=-1+x2log(1+x)-1-x2log(1-x).

For a Borel probability measure μ on ℝ, we define its Laplace transform μˇ:ℝ→(0,∞] by

μˇ⁢(t)=∫ℝet⁢y⁢𝑑μ⁢(y).

Suppose that ∫ℝ|y|⁢𝑑μ⁢(y)<∞ and let M1=∫ℝy⁢𝑑μ⁢(y), the first moment of μ. For any t the function x↦et⁢x is convex, so by Jensen’s inequality,

et⁢M1≤∫ℝet⁢y⁢𝑑μ⁢(y)=μˇ⁢(t).

Thus for all t∈ℝ,

t⁢M1-log⁡μˇ⁢(t)≤0.

For a Borel probability measure μ with finite first moment, we define its Cramér transform Iμ:ℝ→[0,∞] by77 7 Heinz Bauer, Probability Theory, pp. 89–90, §12.

Iμ⁢(x)=supt∈ℝ⁡(t⁢x-log⁡μˇ⁢(t)).

For t=0, t⁢x-log⁡μˇ⁢(t)=-log⁡μˇ⁢(0)=-log⁡(1)=0, which shows that indeed 0≤Iμ⁢(x)≤∞ for all x∈ℝ. But t⁢M1-log⁡μˇ⁢(t)≤0 for all t yields

Iμ⁢(M1)=0.