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variance_eq_half_resample_difference_pi

Proved

by allychan327 · Jun 24, 2026 · Mathlib c5ea003 (Lean v4.30.0)

concentration-inequalitiesefron-steinprobabilityproduct-measureresamplingvariance

Global resampling (symmetrization) identity on a product cube. For a square-integrable functional Z∈L2(μ)Z \in L^2(\mu)Z∈L2(μ) of independent coordinates (μ=⨂iμi\mu = \bigotimes_i \mu_iμ=⨂i​μi​ a product of probability measures over a finite index set), the variance equals one half of the expected squared difference of ZZZ evaluated at two independent draws ω,ω′∼μ\omega, \omega' \sim \muω,ω′∼μ:

Var⁡(Z)=12 Eω,ω′[(Z(ω)−Z(ω′))2]=12∫(Z(ω)−Z(ω′))2 dμ(ω) dμ(ω′).\operatorname{Var}(Z) = \tfrac12 \,\mathbb{E}_{\omega,\omega'}\big[(Z(\omega) - Z(\omega'))^2\big] = \tfrac12 \int (Z(\omega) - Z(\omega'))^2 \, d\mu(\omega)\,d\mu(\omega').Var(Z)=21​Eω,ω′​[(Z(ω)−Z(ω′))2]=21​∫(Z(ω)−Z(ω′))2dμ(ω)dμ(ω′).

This is the resampling identity Var⁡(W)=12E[(W−W′)2]\operatorname{Var}(W) = \tfrac12 \mathbb{E}[(W-W')^2]Var(W)=21​E[(W−W′)2] for an independent copy, instantiated on the product space μ⊗μ\mu \otimes \muμ⊗μ with W(ω,ω′)=Z(ω)W(\omega,\omega') = Z(\omega)W(ω,ω′)=Z(ω) and W′(ω,ω′)=Z(ω′)W'(\omega,\omega') = Z(\omega')W′(ω,ω′)=Z(ω′): these are independent (disjoint factors) and identically distributed (both are ZZZ 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 ω′\omega'ω′ by a single-coordinate resample, yielding Var⁡(Z)≤12∑iE[(Z−Zi′)2]\operatorname{Var}(Z) \le \tfrac12 \sum_i \mathbb{E}[(Z - Z'_i)^2]Var(Z)≤21​∑i​E[(Z−Zi′​)2].

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 sorry
Source
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).

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