Extremal persistence probabilities of exchangeable sign-invariant random variables

Abstract

Let $(X_1,\dots ,X_n)$ be a random variable in $(\mathbb{R}\setminus \{0\}{)}^n$ that is both exchangeable and sign-invariant. For every $k\in [n]$, let $S_k={\sum }_{i=1}^k{X}_i$. Define the weak persistence probability as $\mathbb{P}(S_1,\dots ,S_n\ge 0)$, and the strong persistence probability as $\mathbb{P}(S_1,\dots ,S_n>0)$. From previous results, the optimal lower bound for $\mathbb{P}(S_1,\dots ,S_n\ge 0)$ and the optimal upper bound for $\mathbb{P}(S_1,\dots ,S_n>0)$ are known. We complete the picture by determining the optimal upper bound for $\mathbb{P}(S_1,\dots ,S_n\ge 0)$ and the optimal lower bound for $\mathbb{P}(S_1,\dots ,S_n>0)$ as follows. \[\frac{1}{2^n}\binom{n-1}{\lfloor (n-1)/2\rfloor}\leq\mathbb{P}(S_1,\ldots,S_n>0)\leq\frac{1}{4^n}\binom{2n}{n}\leq\mathbb{P}(S_1,\ldots,S_n\geq0)\leq\frac{1}{2^n}\binom{n}{\lfloor n/2\rfloor}.\] In particular, this implies that the weak and strong persistence probabilities of every exchangeable and sign-invariant random variable $(X_1,\dots ,X_n)$ in $(\mathbb{R}\setminus \{0\}{)}^n$ are of the order $n^{-1/2}$. We also obtain some related results, one in the deterministic setting, and one when the random variables are allowed to take the value 0.

20 pages