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G-2017-68

Densities of sums and small ball probability

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We propose a lemma that clarifies the proof of Theorem 4.1 on densities of sums in Rudelson and Vershynin. More precisely, by denoting by fS+Y the density of an absolutely continuous real-valued random variable S augmented by an independent real-valued Gaussian random variable Y with mean zero and an arbitrarily small variance, we prove that if fS+Y is bounded almost everywhere by a strictly positive constant C, then almost everywhere, the density fS is also bounded by the same constant C. Then, using these results, we show how small ball probability estimates such as \begin{equation*} ℙ{(|\sum_{k=1}^na_k\xi_k}|\leq\varepsilon)\leq C\varepsilon\quad\text{for all}\ \ \varepsilon>0, \end{equation*} with a_k's real numbers still hold when a_k's are arbitrary random variables.

, 12 pages

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