Fix n n n . All constants chosen below are independent of this choice. Initially
restrict to compactly supported isotropic log-concave laws. Let C C C be the
universal constant in Lemma 8.4 , and choose
K ≥ max { 5 , 9 C , 64 } , b r = K r − 1 ( ( r − 1 ) ! ) 2 ( r ≥ 2 ) . K\ge\max\{5,9C,64\},\qquad b_r=K^{r-1}((r-1)!)^2\quad(r\ge2). K ≥ max { 5 , 9 C , 64 } , b r = K r − 1 (( r − 1 )! ) 2 ( r ≥ 2 ) . We prove, simultaneously for every such law and every unit vector u u u , that
E r ( 0 ) + 1 2 ∫ 0 ∞ E E r + 1 ( t ) d t ≤ b r ( r ≥ 2 ) . (A) \mathcal E_r(0)+\tfrac12\int_0^\infty\mathbb E\mathcal E_{r+1}(t)\,dt
\le b_r\qquad(r\ge2). \tag{A} E r ( 0 ) + 2 1 ∫ 0 ∞ E E r + 1 ( t ) d t ≤ b r ( r ≥ 2 ) . ( A ) For r = 2 r=2 r = 2 , E 2 ( 0 ) = 1 \mathcal E_2(0)=1 E 2 ( 0 ) = 1 and
E E 3 ( t ) ≤ 8 e − t \mathbb E\mathcal E_3(t)\le8e^{-t} E E 3 ( t ) ≤ 8 e − t by
Lemma 8.3 , so the left side is at most 5 ≤ b 2 5\le b_2 5 ≤ b 2 .
This initializes the integrated estimate needed when r = 3 r=3 r = 3 .
Suppose (A) is proved at all orders 2 ≤ r < m 2\le r<m 2 ≤ r < m , where m ≥ 3 m\ge3 m ≥ 3 .
It supplies two different consequences:
∫ 0 ∞ E E r + 1 ( t ) d t ≤ 2 b r , R r ν ≤ b r I for every compactly supported isotropic log-concave ν . (B) \int_0^\infty\mathbb E\mathcal E_{r+1}(t)\,dt\le2b_r,
\qquad R_r^\nu\le b_rI
\quad\hbox{for every compactly supported isotropic log-concave }\nu.
\tag{B} ∫ 0 ∞ E E r + 1 ( t ) d t ≤ 2 b r , R r ν ≤ b r I for every compactly supported isotropic log-concave ν . ( B ) The first concerns the process started at the law presently under study. The
second can be applied to its whitened posterior at every time. Thus
∣ κ r ( t ) ( v ) ∣ t 2 ≤ b r ⟨ A t v , v ⟩ ( 2 ≤ r < m ) , I m : = ∫ 0 ∞ E E m ( t ) d t ≤ 2 b m − 1 . (C) |\kappa_r(t)(v)|_t^2\le b_r\langle A_tv,v\rangle
\quad(2\le r<m),\qquad
I_m:=\int_0^\infty\mathbb E\mathcal E_m(t)\,dt\le2b_{m-1}. \tag{C} ∣ κ r ( t ) ( v ) ∣ t 2 ≤ b r ⟨ A t v , v ⟩ ( 2 ≤ r < m ) , I m := ∫ 0 ∞ E E m ( t ) d t ≤ 2 b m − 1 . ( C ) It remains to bound the split tensor L m L_m L m . For a fixed cardinality
a ∈ { 2 , … , m − 2 } a\in\{2,\ldots,m-2\} a ∈ { 2 , … , m − 2 } , one summand, after permuting the nondistinguished slots,
is
P a ( h 2 , … , h m ) = ⟨ κ a + 1 ( t ) ( u , h 2 , … , h a , ⋅ ) , A t − 1 κ m − a + 1 ( t ) ( h a + 1 , … , h m , ⋅ ) ⟩ . P_a(h_2,\ldots,h_m)=
\left\langle\kappa_{a+1}(t)(u,h_2,\ldots,h_a,\cdot),
A_t^{-1}\kappa_{m-a+1}(t)(h_{a+1},\ldots,h_m,\cdot)\right\rangle. P a ( h 2 , … , h m ) = ⟨ κ a + 1 ( t ) ( u , h 2 , … , h a , ⋅ ) , A t − 1 κ m − a + 1 ( t ) ( h a + 1 , … , h m , ⋅ ) ⟩ . To compute its weighted norm put w j = A t − 1 / 2 e j w_j=A_t^{-1/2}e_j w j = A t − 1/2 e j and first fix the indices
i 2 , … , i a i_2,\ldots,i_a i 2 , … , i a . Let
z = κ a + 1 ( t ) ( u , w i 2 , … , w i a , ⋅ ) z=\kappa_{a+1}(t)(u,w_{i_2},\ldots,w_{i_a},\cdot) z = κ a + 1 ( t ) ( u , w i 2 , … , w i a , ⋅ ) .
Summing over the remaining m − a m-a m − a indices and applying (C) gives
∑ i a + 1 , … , i m P a ( w i 2 , … , w i m ) 2 = ∣ κ m − a + 1 ( t ) ( A t − 1 z ) ∣ t 2 ≤ b m − a + 1 ⟨ z , A t − 1 z ⟩ = b m − a + 1 ∑ k κ a + 1 ( t ) ( u , w i 2 , … , w i a , w k ) 2 . \begin{split}
&\sum_{i_{a+1},\ldots,i_m}
P_a(w_{i_2},\ldots,w_{i_m})^2\\
&\qquad=|\kappa_{m-a+1}(t)(A_t^{-1}z)|_t^2
\le b_{m-a+1}\langle z,A_t^{-1}z\rangle
=b_{m-a+1}\sum_k\kappa_{a+1}(t)(u,w_{i_2},\ldots,w_{i_a},w_k)^2.
\end{split} i a + 1 , … , i m ∑ P a ( w i 2 , … , w i m ) 2 = ∣ κ m − a + 1 ( t ) ( A t − 1 z ) ∣ t 2 ≤ b m − a + 1 ⟨ z , A t − 1 z ⟩ = b m − a + 1 k ∑ κ a + 1 ( t ) ( u , w i 2 , … , w i a , w k ) 2 . The order m − a + 1 m-a+1 m − a + 1 is at most m − 1 m-1 m − 1 , so the use of (C) is legitimate.
Now sum over i 2 , … , i a i_2,\ldots,i_a i 2 , … , i a , and integrate in time and probability. By (B)
at order a a a , this gives
∣ P a ( t ) ∣ t 2 ≤ b m − a + 1 E a + 1 ( t ) , ∫ 0 ∞ E ∣ P a ( t ) ∣ t 2 d t ≤ 2 b a b m − a + 1 . (D) |P_a(t)|_t^2\le b_{m-a+1}\mathcal E_{a+1}(t),\qquad
\int_0^\infty\mathbb E|P_a(t)|_t^2\,dt\le2b_ab_{m-a+1}. \tag{D} ∣ P a ( t ) ∣ t 2 ≤ b m − a + 1 E a + 1 ( t ) , ∫ 0 ∞ E ∣ P a ( t ) ∣ t 2 d t ≤ 2 b a b m − a + 1 . ( D ) For each a a a there are ( m − 1 a − 1 ) \binom{m-1}{a-1} ( a − 1 m − 1 ) subsets containing the distinguished
index. Each yields a permutation of the other tensor indices and has the same
weighted norm. Apply the triangle inequality in the Hilbert space of whitened
tensors over time and probability. It follows that
J m : = ( ∫ 0 ∞ E ∣ L m ( t ) ( u ) ∣ t 2 d t ) 1 / 2 ≤ 2 ∑ a = 2 m − 2 ( m − 1 a − 1 ) b a b m − a + 1 . \begin{split}
\sqrt{J_m}&:=
\left(\int_0^\infty\mathbb E|L_m(t)(u)|_t^2\,dt\right)^{1/2}\\
&\le\sqrt2\sum_{a=2}^{m-2}\binom{m-1}{a-1}\sqrt{b_ab_{m-a+1}}.
\end{split} J m := ( ∫ 0 ∞ E ∣ L m ( t ) ( u ) ∣ t 2 d t ) 1/2 ≤ 2 a = 2 ∑ m − 2 ( a − 1 m − 1 ) b a b m − a + 1 . There is no dimension factor in this estimate. Substitution of the definition
of b r b_r b r shows, term by term, that
( m − 1 a − 1 ) b a b m − a + 1 = ( m − 1 ) ! ( a − 1 ) ! ( m − a ) ! K ( m − 1 ) / 2 ( a − 1 ) ! ( m − a ) ! = b m . \binom{m-1}{a-1}\sqrt{b_ab_{m-a+1}}
=\frac{(m-1)!}{(a-1)!(m-a)!}
K^{(m-1)/2}(a-1)!(m-a)!=\sqrt{b_m}. ( a − 1 m − 1 ) b a b m − a + 1 = ( a − 1 )! ( m − a )! ( m − 1 )! K ( m − 1 ) /2 ( a − 1 )! ( m − a )! = b m . There are m − 3 m-3 m − 3 terms; for m = 3 m=3 m = 3 the sum is empty. Thus
J m ≤ 2 ( m − 3 ) b m \sqrt{J_m}\le\sqrt2(m-3)\sqrt{b_m} J m ≤ 2 ( m − 3 ) b m . Both integrability hypotheses of
Lemma 8.4 have now been proved, with no use of (A) at order
m m m . That lemma and (C) imply
E m ( 0 ) + 1 2 ∫ 0 ∞ E E m + 1 ( t ) d t ≤ 2 C m 2 b m − 1 + 4 ( m − 3 ) b m − 1 b m = b m ( 2 C K m 2 ( m − 1 ) 2 + 4 K m − 3 m − 1 ) ≤ b m . \begin{split}
\mathcal E_m(0)+\tfrac12\int_0^\infty\mathbb E\mathcal E_{m+1}(t)\,dt
&\le2Cm^2b_{m-1}+4(m-3)\sqrt{b_{m-1}b_m}\\
&=b_m\left(\frac{2C}{K}\frac{m^2}{(m-1)^2}
+\frac4{\sqrt K}\frac{m-3}{m-1}\right)\le b_m.
\end{split} E m ( 0 ) + 2 1 ∫ 0 ∞ E E m + 1 ( t ) d t ≤ 2 C m 2 b m − 1 + 4 ( m − 3 ) b m − 1 b m = b m ( K 2 C ( m − 1 ) 2 m 2 + K 4 m − 1 m − 3 ) ≤ b m . Indeed m 2 / ( m − 1 ) 2 ≤ 9 / 4 m^2/(m-1)^2\le9/4 m 2 / ( m − 1 ) 2 ≤ 9/4 , so the first term in parentheses is at most
1 / 2 1/2 1/2 when K ≥ 9 C K\ge9C K ≥ 9 C , and the second is at most 1 / 2 1/2 1/2 when K ≥ 64 K\ge64 K ≥ 64 .
This closes the simultaneous induction. Since
E m ( 0 ) = ∣ κ m μ ( u ) ∣ 2 \mathcal E_m(0)=|\kappa_m^\mu(u)|^2 E m ( 0 ) = ∣ κ m μ ( u ) ∣ 2 , its static part proves the theorem for
compactly supported laws.
Removal of compact support. Let now X X X have any isotropic log-concave law
μ \mu μ . For sufficiently large R R R let X R X_R X R have its conditional distribution
on the convex ball { ∣ x ∣ ≤ R } \{|x|\le R\} { ∣ x ∣ ≤ R } . These laws are log-concave and full
dimensional. Their means a R a_R a R converge to zero and covariance matrices A R A_R A R
converge to I I I . To justify convergence of all higher moments, each coordinate
of X X X is a variance-one log-concave marginal, and the elementary tail bound
proved in Lemma 8.3 shows that every coordinate has every
absolute moment. Thus ∣ X ∣ |X| ∣ X ∣ has every fixed moment as well. Dominated convergence,
followed by division by P ( ∣ X ∣ ≤ R ) → 1 \mathbb P(|X|\le R)\to1 P ( ∣ X ∣ ≤ R ) → 1 , gives convergence of all
mixed moments of X R X_R X R .
Set Y R = A R − 1 / 2 ( X R − a R ) Y_R=A_R^{-1/2}(X_R-a_R) Y R = A R − 1/2 ( X R − a R ) . These are compactly supported isotropic
log-concave vectors, and A R − 1 / 2 → I A_R^{-1/2}\to I A R − 1/2 → I . Expanding each fixed mixed moment
of Y R Y_R Y R as a finite polynomial in the coefficients of A R − 1 / 2 A_R^{-1/2} A R − 1/2 , a R a_R a R and
mixed moments of X R X_R X R proves its convergence to that of X X X . Cumulant entries
are finite polynomials in these moments by the moment-cumulant formula.
Therefore κ m Y R \kappa_m^{Y_R} κ m Y R converges entrywise to κ m μ \kappa_m^\mu κ m μ at every
fixed order m m m . In fixed dimension its Hilbert–Schmidt norm and every
directional contraction converge. The compact-support estimate passes to the
limit with the same universal K K K . Homogeneity removes the restriction
∣ u ∣ = 1 |u|=1 ∣ u ∣ = 1 , including u = 0 u=0 u = 0 . No stochastic process for a noncompact initial law is
needed in this limiting argument.