variance_eq_half_resample_difference_pi
Provedconcentration-inequalitiesefron-steinprobabilityproduct-measureresamplingvariance
Global resampling (symmetrization) identity on a product cube. For a square-integrable functional of independent coordinates ( a product of probability measures over a finite index set), the variance equals one half of the expected squared difference of evaluated at two independent draws :
This is the resampling identity for an independent copy, instantiated on the product space with and : these are independent (disjoint factors) and identically distributed (both are pushed by the measure-preserving coordinate projections). It is the all-coordinates-at-once form of the Efron–Stein resampling principle; the per-coordinate refinement replaces the full independent copy by a single-coordinate resample, yielding .
Preamble
import Mathlib.Probability.CondVar import Mathlib.Probability.Moments.Variance import Mathlib.Probability.Independence.Basic import Mathlib.MeasureTheory.Constructions.Pi import Mathlib.Probability.Independence.Integration import Mathlib.Probability.IdentDistrib open MeasureTheory ProbabilityTheory Filter Set Function open scoped ENNReal NNReal BigOperators
Formal statement
theorem variance_eq_half_resample_difference_pi
{ι : Type*} [Fintype ι] [DecidableEq ι]
{α : ι → Type*} [∀ i, MeasurableSpace (α i)]
(μ : ∀ i, Measure (α i)) [∀ i, IsProbabilityMeasure (μ i)]
{Z : (∀ j, α j) → ℝ} (hZ : MemLp Z 2 (Measure.pi μ)) :
variance Z (Measure.pi μ)
= (∫ p, (Z p.1 - Z p.2) ^ 2 ∂((Measure.pi μ).prod (Measure.pi μ))) / 2 := by sorrySource
R. van Handel, Probability in High Dimension (APC 550 lecture notes, Princeton), §2.1 Tensorization and bounded differences (Efron-Stein via the resampling / symmetrization identity Var(W)=½E[(W-W')^2] for an independent copy); Boucheron-Lugosi-Massart, Concentration Inequalities (OUP 2013), Ch. 3, Theorem 3.1 (the resampling form of the Efron-Stein inequality on a product space).