Rademacher distribution

In probability theory and statistics, the Rademacher

distribution (which is named after Hans Rademacher) is a
Rademacher
discrete probability distribution where a random variate X Support
has a 50% chance of being +1 and a 50% chance of being PMF
-1.[1]

A series (that is, a sum) of Rademacher distributed variables

can be regarded as a simple symmetrical random walk where CDF
the step size is 1.

Mean
Mathematical formulation
Median
The probability mass function of this distribution is Mode N/A
Variance
Skewness
Ex.
kurtosis
In terms of the Dirac delta function, as Entropy
MGF
CF

Bounds on sums of independent Rademacher variables

There are various results in probability theory around analyzing the sum of i.i.d. Rademacher variables,
including concentration inequalities such as Bernstein inequalities as well as anti-concentration inequalities
like Tomaszewski's conjecture.

Concentration inequalities

Let {xi} be a set of random variables with a Rademacher distribution. Let {ai} be a sequence of real
numbers. Then

where ||a||2 is the Euclidean norm of the sequence {ai}, t > 0 is a real number and Pr(Z) is the probability of
event Z.[2]

Let Y = Σ xiai and let Y be an almost surely convergent series in a Banach space. The for t > 0 and s ≥ 1 we
have[3]
for some constant c.

Let p be a positive real number. Then the Khintchine inequality says that[4]

where c1 and c2 are constants dependent only on p.

For p ≥ 1,

Tomaszewski’s conjecture

In 1986, Bogusław Tomaszewski proposed a question about the distribution of the sum of independent
Rademacher variables. A series of works on this question[5][6] culminated into a proof in 2020 by Nathan
Keller and Ohad Klein of the following conjecture.[7]

Conjecture. Let , where and the 's are independent Rademacher

variables. Then

For example, when , one gets the following bound, first shown by Van
Zuijlen.[8]

The bound is sharp and better than that which can be derived from the normal distribution (approximately
Pr > 0.31).

Applications
The Rademacher distribution has been used in bootstrapping.

The Rademacher distribution can be used to show that normally distributed and uncorrelated does not
imply independent.

Random vectors with components sampled independently from the Rademacher distribution are useful for
various stochastic approximations, for example:

The Hutchinson trace estimator,[9] which can be used to efficiently approximate the trace of a
matrix of which the elements are not directly accessible, but rather implicitly defined via
matrix-vector products.
 SPSA, a computationally cheap, derivative-free, stochastic gradient approximation, useful
for numerical optimization.

Rademacher random variables are used in the Symmetrization Inequality.

Related distributions
Bernoulli distribution: If X has a Rademacher distribution, then has a Bernoulli(1/2)
distribution.
Laplace distribution: If X has a Rademacher distribution and Y ~ Exp(λ) is independent from
X, then XY ~ Laplace(0, 1/λ).

References
1. Hitczenko, P.; Kwapień, S. (1994). "On the Rademacher series". Probability in Banach
Spaces. Progress in probability. Vol. 35. pp. 31–36. doi:10.1007/978-1-4612-0253-0_2 (http
s://doi.org/10.1007%2F978-1-4612-0253-0_2). ISBN 978-1-4612-6682-2.
2. Montgomery-Smith, S. J. (1990). "The distribution of Rademacher sums" (https://doi.org/10.1
090%2FS0002-9939-1990-1013975-0). Proc Amer Math Soc. 109 (2): 517–522.
doi:10.1090/S0002-9939-1990-1013975-0 (https://doi.org/10.1090%2FS0002-9939-1990-10
13975-0).
3. Dilworth, S. J.; Montgomery-Smith, S. J. (1993). "The distribution of vector-valued
Radmacher series". Ann Probab. 21 (4): 2046–2052. arXiv:math/9206201 (https://arxiv.org/a
bs/math/9206201). doi:10.1214/aop/1176989010 (https://doi.org/10.1214%2Faop%2F11769
89010). JSTOR 2244710 (https://www.jstor.org/stable/2244710). S2CID 15159626 (https://a
pi.semanticscholar.org/CorpusID:15159626).
4. Khintchine, A. (1923). "Über dyadische Brüche". Math. Z. 18 (1): 109–116.
doi:10.1007/BF01192399 (https://doi.org/10.1007%2FBF01192399). S2CID 119840766 (htt
ps://api.semanticscholar.org/CorpusID:119840766).
5. Holzman, Ron; Kleitman, Daniel J. (1992-09-01). "On the product of sign vectors and unit
vectors" (https://doi.org/10.1007/BF01285819). Combinatorica. 12 (3): 303–316.
doi:10.1007/BF01285819 (https://doi.org/10.1007%2FBF01285819). ISSN 1439-6912 (http
s://www.worldcat.org/issn/1439-6912). S2CID 20281665 (https://api.semanticscholar.org/Cor
pusID:20281665).
6. Boppana, Ravi B.; Holzman, Ron (2017-08-31). "Tomaszewski's Problem on Randomly
Signed Sums: Breaking the 3/8 Barrier". arXiv:1704.00350 (https://arxiv.org/abs/1704.00350)
[math.CO (https://arxiv.org/archive/math.CO)].
7. Keller, Nathan; Klein, Ohad (2021-08-03). "Proof of Tomaszewski's Conjecture on Randomly
Signed Sums". arXiv:2006.16834 (https://arxiv.org/abs/2006.16834) [math.CO (https://arxiv.o
rg/archive/math.CO)].
8. van Zuijlen, Martien C. A. (2011). "On a conjecture concerning the sum of independent
Rademacher random variables". arXiv:1112.4988 (https://arxiv.org/abs/1112.4988).
Bibcode:2011arXiv1112.4988V (https://ui.adsabs.harvard.edu/abs/2011arXiv1112.4988V).
9. Avron, H.; Toledo, S. (2011). "Randomized algorithms for estimating the trace of an implicit
symmetric positive semidefinite matrix". Journal of the ACM. 58 (2): 8.
CiteSeerX 10.1.1.380.9436 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.
9436). doi:10.1145/1944345.1944349 (https://doi.org/10.1145%2F1944345.1944349).
S2CID 5827717 (https://api.semanticscholar.org/CorpusID:5827717).
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