Q19
Continuous Probability Distributions and Random Variables
Expectation and Moment Inequality Proof
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We assume that $f \in \mathcal { C } ( [ 0,1 ] , \mathbb { R } )$ satisfies: $$\exists \alpha \in ]0,1] , \exists K \geq 0 , \forall ( y , z ) \in [ 0,1 ] ^ { 2 } , | f ( y ) - f ( z ) | \leq K | y - z | ^ { \alpha }$$ and that $c(x) = 0$ for all $x \in [0,1]$. For all $n \in \mathbb{N}^*$, we define: $$B _ { n } f ( X ) = \sum _ { k = 0 } ^ { n } f \left( \frac { k } { n } \right) \binom { n } { k } X ^ { k } ( 1 - X ) ^ { n - k }$$
Let $x \in ]0,1[$ and $n \in \mathbb { N } ^ { * }$. We consider $X _ { 1 } , \ldots , X _ { n }$ mutually independent random variables all following the same Bernoulli distribution with parameter $x$. We set
$$S _ { n } = \frac { X _ { 1 } + \cdots + X _ { n } } { n }$$
(a) Express $\mathbb { E } \left( S _ { n } \right) , \mathbb { V } \left( S _ { n } \right)$ and $\mathbb { E } \left( f \left( S _ { n } \right) \right)$ in terms of $x , n$ and the polynomial $B _ { n } f$.
(b) Deduce the inequalities:
$$\sum _ { k = 0 } ^ { n } \left| x - \frac { k } { n } \right| \binom { n } { k } x ^ { k } ( 1 - x ) ^ { n - k } \leq \mathbb { V } \left( S _ { n } \right) ^ { \frac { 1 } { 2 } } \leq \frac { 1 } { 2 \sqrt { n } }$$