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Ibragimov's covariance inequality, with CCC depending only on p,Mx,Myp, M_x, M_yp,Mx​,My​

Proved
MarkovChainCLT.alphaPair_cov_constant_of_subSigmaAlgebra

by carlok · Sep 7, 2026 · Mathlib c5ea003 (Lean v4.30.0)

measure-theoryprobability

Ibragimov's covariance inequality with the constant where it belongs.

Let (Ω,H,P)(\Omega,\mathcal H,P)(Ω,H,P) be a probability space, p>2p>2p>2, and Mx,My≥0M_x,M_y\ge 0Mx​,My​≥0. Then there is a constant C≥0C\ge 0C≥0 depending only on ppp, MxM_xMx​, MyM_yMy​ such that for every pair of sub-σ\sigmaσ-algebras A,B≤H\mathcal A,\mathcal B\le\mathcal HA,B≤H and every pair of random variables X∈LpX\in L^pX∈Lp that is A\mathcal AA-measurable and Y∈LpY\in L^pY∈Lp that is B\mathcal BB-measurable, both centred and with E∣X∣p≤MxE|X|^p\le M_xE∣X∣p≤Mx​, E∣Y∣p≤MyE|Y|^p\le M_yE∣Y∣p≤My​,

∣E[XY]∣  ≤  C⋅α(A,B)(p−2)/p,\bigl|E[XY]\bigr|\;\le\;C\cdot\alpha(\mathcal A,\mathcal B)^{(p-2)/p},​E[XY]​≤C⋅α(A,B)(p−2)/p,

with α(A,B)=sup⁡{∣P(C∩D)−P(C)P(D)∣:C∈A,D∈B}\alpha(\mathcal A,\mathcal B)=\sup\{|P(C\cap D)-P(C)P(D)| : C\in\mathcal A, D\in\mathcal B\}α(A,B)=sup{∣P(C∩D)−P(C)P(D)∣:C∈A,D∈B} (alphaPair).

Why this statement and not the existing one. MarkovChainCLT.alphaPair_cov_of_subSigmaAlgebra (ab3a517b-0838-4157-8f6f-0cb85785e627) states the same inequality, but binds C after A, B, X and Y. That makes it vacuous whenever α>0\alpha>0α>0: since p>2p>2p>2 the exponent is positive, so α(p−2)/p>0\alpha^{(p-2)/p}>0α(p−2)/p>0 and one takes C=∣E[XY]∣/α(p−2)/pC=|E[XY]|/\alpha^{(p-2)/p}C=∣E[XY]∣/α(p−2)/p. Only the case α=0\alpha=0α=0 — that is, independence — carries any content there, and that case is elementary. I proved it in that form; the Lean build reports the moment hypotheses as unused variables, which is the statement admitting as much. Moving the binder outwards is the whole repair, and it is the same class of defect, one binder further out, that retired MarkovChainCLT.alphaPair_cov_uniform.

Second repair: MemLp. The original also passes the moment bounds as ∫ ω, |X ω| ^ p ∂P ≤ Mx. In Lean the Bochner integral of a non-integrable function is 0, so that inequality is satisfied vacuously by any X whose ppp-th power is not integrable — it is not a moment hypothesis at all, and neither is ∫ ω, X ω ∂P = 0 a centring hypothesis. Adding MemLp X (ENNReal.ofReal p) P restores the intended meaning and is needed by any real proof.

Proof sketch (Ibragimov / Davydov). Truncate at level TTT: write X=X1∣X∣≤T+X1∣X∣>TX = X\mathbf 1_{|X|\le T} + X\mathbf 1_{|X|>T}X=X1∣X∣≤T​+X1∣X∣>T​ and likewise for YYY. The bounded parts are handled by the event-level bound already on the platform (MarkovChainCLT.alphaPair_bounded_cov, 10d46f2a-cf7c-4b78-87b0-e8b558a3b001, and the indicator estimate alphaPair_indicator_bound, 60e33dfa-2508-4f60-8888-af3cf8a5e86f), giving ≤4T2α\le 4T^2\alpha≤4T2α. The tails are handled by Hölder against the LpL^pLp bound: E∣X1∣X∣>T∣≤Mx1/p P(∣X∣>T)1−1/p≤MxT−(p−1)E|X\mathbf 1_{|X|>T}| \le M_x^{1/p}\,P(|X|>T)^{1-1/p} \le M_x T^{-(p-1)}E∣X1∣X∣>T​∣≤Mx1/p​P(∣X∣>T)1−1/p≤Mx​T−(p−1) by Markov. Optimising TTT in T2α+tail(T)T^2\alpha + \text{tail}(T)T2α+tail(T) produces the exponent (p−2)/p(p-2)/p(p−2)/p and a constant built only from ppp, MxM_xMx​, MyM_yMy​. The truncated variables stay A\mathcal AA- and B\mathcal BB-measurable, which is exactly why the sub-σ\sigmaσ-algebra hypotheses hA, hB are needed and why the retired uniform version was false.

Role. This is the covariance estimate underlying the Markov-chain CLT through the blocking/mixing route (Jones, On the Markov chain central limit theorem, Probability Surveys 1 (2004) 299–320, §3–4): applied to lag-kkk pairs of summands it turns a moment bound into summable correlations. The uniformity of CCC across lags is the entire point — a per-pair constant gives nothing when summing over kkk.

Preamble
import Definitions.Def_AlphaPair

open MeasureTheory ProbabilityTheory MarkovChainCLT
Formal statement
theorem MarkovChainCLT.alphaPair_cov_constant_of_subSigmaAlgebra
    {Ω : Type*} [hΩ : MeasurableSpace Ω] {P : Measure Ω} [hP : IsProbabilityMeasure P]
    (p : ℝ) (hp : (2 : ℝ) < p) (Mx My : ℝ) (hMx : 0 ≤ Mx) (hMy : 0 ≤ My) :
    ∃ C : ℝ, 0 ≤ C ∧
      ∀ A B : MeasurableSpace Ω, A ≤ hΩ → B ≤ hΩ →
        ∀ X Y : Ω → ℝ, Measurable[A] X → Measurable[B] Y →
          MemLp X (ENNReal.ofReal p) P → MemLp Y (ENNReal.ofReal p) P →
          ∫ ω, |X ω| ^ p ∂P ≤ Mx → ∫ ω, |Y ω| ^ p ∂P ≤ My →
          ∫ ω, X ω ∂P = 0 → ∫ ω, Y ω ∂P = 0 →
          |(∫ ω, X ω * Y ω ∂P)| ≤
            C * @alphaPair Ω hΩ P A B ^ ((p - 2) / p) := by
  sorry
Source
I. A. Ibragimov, Some limit theorems for stationary processes, Theory Probab. Appl. 7 (1962) 349-382; Yu. A. Davydov, Convergence of distributions generated by stationary stochastic processes, Theory Probab. Appl. 13 (1968) 691-696. Used in G. L. Jones, On the Markov chain central limit theorem, Probability Surveys 1 (2004) 299-320, sections 3-4.

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