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# Exponential and Moment Inequalities for U-statistics

## 1. Introduction

Exponential inequalities, such as Bernstein’s and Prohorov’s, and moment inequalities, such as Rosenthal’s and Hoffmann-Jørgensen’s, are among the most basic tools for the analysis of sums of independent random variables. Our object here consists in developing analogues of such inequalities for generalized $`U`$-statistics, in particular, for $`U`$-statistics and for multilinear forms in independent random variables.

Hoffmann-Jørgensen type moment inequalities for canonical (that is, completely degenerate) $`U`$-statistics of any order $`m`$ were first considered by Giné and Zinn (1992), and their version for $`U`$-statistics with nonnegative kernels turned out to be useful for obtaining best possible necessary integrability conditions in limit theorems for $`U`$-statistics. (By Khinchin’s inequality it is irrelevant whether one considers canonical or nonnegative kernels in moment inequalities, at least if multiplicative constants are not at issue). Klass and Nowicki (1997) also obtained moment inequalities for nonnegative generalized $`U`$-statistics, but only for order $`m=2`$, and their decomposition of the moments is more complete than that in Giné and Zinn (1992). Ibragimov and Sharakhmetov (1998, 1999) recently obtained analogues of Rosenthal’s inequality for nonnegative and for canonical $`U`$-statistics. The moment inequalities we present in the first part of this article, valid for canonical and for nonnegative generalized $`U`$-statistics of any order $`m`$, when specialized to $`m=2`$, represent the same level of moment decomposition as the Klass-Nowicki inequalities, coincide with theirs for powers $`p>1`$ (except for constants) and are expressed in terms of different, simpler quantities for powers $`p<1`$. Proposition 2.1 below, which constitutes the first step towards more elaborate bounds such as those in Theorem 2.3 below, has also been obtained, up to constants, by Ibragimov and Sharakhmetov. Our proofs consist of simple iterations of the classical moment inequalities for sums of independent random variables.

The moment inequalities in the first part of this article do imply exponential bounds for canonical $`U`$-statistics of any order and with bounded kernels which are sharper than those in Arcones and Giné (1993); however, they are not of the best kind as they do not exhibit Gaussian behavior for part of the tail, which they should in view of the tail behavior of Gaussian chaos.

In the second part of this article we improve the moment inequalities from the first part in the case of generalized canonical $`U`$-statistics of order 2, and for moments of order $`p2`$ (Theorem 3.2). The bounds not only involve moments but also the $`L_2`$ operator norm of the matrix of kernels. Then we show how these improved moment inequalities imply what we believe is the correct analogue (up to constants) of Bernstein’s exponential inequality for generalized canonical $`U`$-statistics of order 2 (Theorem 3.3). This exponential inequality, which does exhibit Gaussian behavior for small values of $`t`$, is strong enough to imply the law of the iterated logarithm for canonical $`U`$-statistics under conditions which are also necessary. The main new ingredient in this part of the paper is Talagrand’s (1996) exponential bound for empirical processes, which gives a Rosenthal-Pinelis type inequality for moments of empirical processes (Proposition 3.1) basic for the derivation of the moment inequality for $`U`$-statistics of order 2.

Because of the decoupling results of de la Peña and Montgomery-Smith (1995), we can work with decoupled $`U`$-statistics, and this allows us to proceed by conditioning and iteration.

## 2. Moment inequalities

We consider estimation of moments of generalized decoupled $`U`$-statistics, defined as

(2.1)
$$\underset{1i_1,\mathrm{},i_mn}{}h_{i_1,\mathrm{},i_m}(X_{i_1}^{(1)},\mathrm{},X_{i_m}^{(m)}),$$

where the random variables $`X_i^{(j)}:1in,1jm`$, $`mn`$, are independent (not necessarily with the same distribution) and take values in a measurable space $`(S,𝒮)`$, and $`h_{i_1,\mathrm{},i_m}`$ are real valued measurable functions on $`S^m`$. For short, this sum is denoted by $`_𝐢h_𝐢`$.

Given $`J\{1,\mathrm{},m\}`$ ($`J=\mathrm{}`$ is not excluded), and $`𝐢=(i_1,\mathrm{},i_m)\{1,\mathrm{},n\}^m`$ we set $`𝐢_J`$ to be the point of $`\{1,\mathrm{},n\}^{|J|}`$ obtained from $`𝐢`$ by deleting the coordinates in the places not in $`J`$ (e.g., if $`𝐢=(3,4,2,1)`$ then $`𝐢_{\{1,3\}}=(3,2)`$). Also, $`_{𝐢_J}`$ indicates sum over $`1i_jn`$, $`jJ`$ (for instance, if $`m=4`$ and $`J=\{1,3\}`$, then

$$\underset{𝐢_J}{}h_𝐢=\underset{𝐢_{\{1,3\}}}{}h_{i_1,i_2,i_3,i_4}=\underset{1i_1,i_3n}{}h_{i_1,i_2,i_3,i_4}(X_{i_1}^{(1)},\mathrm{},X_{i_4}^{(4)}).)$$

By convention, $`_𝐢_{\mathrm{}}a=a`$.

Likewise, while $`E`$ will denote expected value with respect to all the variables, $`E_J`$ will denote expected value only with respect to the variables $`X_i^{(j)}`$ with $`jJ`$ and $`i\{1,\mathrm{},n\}`$. By convention, $`E_{\mathrm{}}a=a`$.

Rosenthal’s inequality is easiest to extend to $`U`$-statistics because it involves only moments of sums (as opposed to moments of maxima and quantiles for Hoffmann-Jørgensen’s inequality). So, we will first obtain analogues of Rosenthal’s inequality, and then we will transform these inequalities into analogues of Hoffmann-Jørgensen’s by first showing that some moments of sums can be replaced by moments of maxima, and then, that the lowest moment can in fact be replaced by a quantile. We will illustrate this three-steps procedure first in the case of nonnegative kernels and moments of order $`p1`$. Then we will see that this also solves, via Khinchin’s inequality, the case of canonical kernels and moments of order $`p2`$. Finally, we will consider the case of moments of order $`p<1`$ for positive kernels and $`p<2`$ for canonical, cases in which the inequalities are less neat, but still useful. We will pay some attention to the behavior of the constants as $`p\mathrm{}`$ in these inequalities since such behavior translates into (exponential) integrability properties.

2.1. Nonnegative kernels, moments of order $`p1`$. For nonnegative independent random variables $`\xi _i`$, we have the following two improvements of Rosenthal’s inequalities, valid for $`p1`$:

1) Latała’s, 1997:

$`(R_1)`$
$$E\left(\xi _i\right)^p(2e)^p\mathrm{max}[\frac{e}{p}p^pE\xi _i^p,e^p\left(E\xi _i\right)^p],p>1,$$

(see Pinelis (1994) for the corresponding inequality when the random variables are centered);

2) Johnson, Schechtman and Zinn’s, 1985:

$`(R_2)`$
$$E\left(\xi _i\right)^pK^p\left(\frac{p}{\mathrm{log}p}\right)^p\mathrm{max}[E\xi _i^p,\left(E\xi _i\right)^p],p>1,$$

where $`K`$ is a universal constant. See Utev (1985) and Figiel, Hitczenko, Johnson, Schechtman and Zinn (1997) for more precise inequalities of the same type.

And for general $`p>0`$, we have the following improved Hoffmann-Jørgensen inequality, that follows from Kwapień and Woyczyński (1992) and which can be obtained as in the proof of Theorem 1.2.3 in de la Peña and Giné (1999):

3)

$`(H)`$
$$E\xi _i^p2^{p2}2^{(p1)0}(p+1)^{p+1}\left[t_0^p+E\mathrm{max}\xi _i^p\right],p>0,$$

where

$$t_0:=inf[t>0:\mathrm{Pr}\{\xi _i>t\}\frac{1}{2}],$$

and where we write norm for absolute value in order to include not only independent nonnnegative real random variables, but also independent nonnegative random functions $`\xi _i`$ taking values in certain ‘rearrangement invariant spaces’ such as $`L_s(\mathrm{\Omega },\mathrm{\Sigma },\mu )`$, $`0<s<\mathrm{}`$, with $`\xi :=\left(|\xi |^s𝑑\mu \right)^{1/(s1)}`$, or $`\mathrm{}_{\mathrm{}}(L_s)`$. Note that, by Markov,

$$t_02^{1/r}\left(E\xi _i^r\right)^{1/r},$$

so that, $`(H)`$ becomes:

4) for $`0<r<p<\mathrm{}`$,

$$E\xi _i^p2^{p2}2^{(p1)0}(p+1)^{p+1}[2^{p/r}(E\xi _i^r)^{p/r}$$

$`(H_r)`$
$$\text{aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa}+E\mathrm{max}\xi _i^p]$$

Inequalities $`(H)`$ and $`(H_r)`$ hold for spaces of functions which are quasinormed measurable linear spaces whose quasinorm $``$ has the property that $`xy`$ whenever $`0xy`$.

In the following proposition we extend inequalities $`(R_1)`$ and $`(R_2)`$ by means of an easy induction.

Proposition 2.1. Let $`m𝐍`$, $`p>1`$, and, for all $`𝐢\{1,\mathrm{},n\}^m`$, let $`h_𝐢`$ be a nonnegative function of $`m`$ variables whose $`p`$-th power is integrable for the law of $`𝐗_𝐢=(X_{i_1}^{(1)},\mathrm{},X_{i_m}^{(m)})`$. Then,

(2.2) $`\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}\left[{\displaystyle \underset{𝐢_J}{}}E_J\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢\right)^p\right]E\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^p`$
$`(2e^2)^{mp}{\displaystyle \underset{J\{1,\mathrm{},m\}}{}}\left[p^{|J|p}{\displaystyle \underset{𝐢_J}{}}E_J\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢\right)^p\right],`$
and also, there exists a universal constant $`K<\mathrm{}`$ such that

$`(2.2^{})`$
$$E\left(\underset{𝐢}{}h_𝐢\right)^pK^{mp}\left(\frac{p}{\mathrm{log}p}\right)^{mp}\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}\left[\underset{𝐢_J}{}E_J\left(\underset{𝐢_{J^c}}{}E_{J^c}h_𝐢\right)^p\right].$$

Proof. The proof of (2.2’) with sum over the subsets $`J`$ instead of maximum differs from that of (2.2) only in the starting point ($`(R_2)`$ instead of $`(R_1)`$); then, replacing sum by maximum simply increases the constant by a factor of $`2^m`$. The left side inequality in (2.2) follows by Hölder since $`p1`$. Consider the right hand side inequality. For $`m=1`$ this is just inequality ($`R_1`$) and we can proceed by induction. Suppose the result holds for $`m1`$. By applying the induction hypothesis to

$$E\left(\underset{𝐢}{}h_𝐢\right)^p=E_mE_{\{1,\mathrm{},m1\}}\left[\underset{𝐢_{\{1,\mathrm{},m1\}}}{}\left(\underset{i_m}{}h_𝐢\right)\right]^p,$$

we only have to consider the generic term in the decomposition (2.2) for the new kernels $`\left(_{i_m}h_𝐢\right)`$ with the $`X_i^{(m)}`$ variables fixed. In other words, letting $`J_{m1}`$ be any subset of $`\{1,\mathrm{},m1\}`$ and $`J_{m1}^c`$ its complement with respect to $`\{1,\mathrm{},m1\}`$, we must estimate

$`E_m{\displaystyle \underset{𝐢_{J_{m1}}}{}}E_{J_{m1}}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}E_{J_{m1}^c}\left({\displaystyle \underset{i_m}{}}h_𝐢\right)\right)^p`$
$`={\displaystyle \underset{𝐢_{J_{m1}}}{}}E_{J_{m1}}E_m\left({\displaystyle \underset{i_m}{}}\left(E_{J_{m1}^c}{\displaystyle \underset{𝐢_{J_{m1}^c}}{}}h_𝐢\right)\right)^p.`$
Rosenthal’s inequality ($`R_1`$) applied to the kernels $`E_{J_{m1}^c}_{𝐢_{J_{m1}^c}}h_𝐢`$ with the variables in $`J_{m1}`$ fixed, gives

$`E_m\left({\displaystyle \underset{i_m}{}}\left(E_{J_{m1}^c}{\displaystyle \underset{i_{J_{m1}^c}}{}}h_𝐢\right)\right)^p`$ $``$ $`(2e^2)^p[\left({\displaystyle \underset{i_m,i_{J_{m1}^c}}{}}E_mE_{J_{m1}^c}h_𝐢\right)^p`$
$`\text{aa}+p^p{\displaystyle \underset{i_m}{}}E_m\left(E_{J_{m1}^c}{\displaystyle \underset{𝐢_{J_{m1}^c}}{}}h_𝐢\right)^p].`$
Upon integrating each term with respect to $`E_{J_{m1}}`$ and summing over $`𝐢_{J_{m1}}`$, we then obtain

$`E_m{\displaystyle \underset{𝐢_{J_{m1}}}{}}E_{J_{m1}}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}E_{J_{m1}^c}\left({\displaystyle \underset{i_m}{}}h_𝐢\right)\right)^p`$
$`(2e^2)^p[{\displaystyle \underset{𝐢_{J_{m1}}}{}}E_{J_{m1}}\left({\displaystyle \underset{𝐢_{J_{m1}^c\{m\}}}{}}E_{J_{m1}^c\{m\}}h_𝐢\right)^p`$
$`\text{aaa}+p^p{\displaystyle \underset{𝐢_{J_{m1}\{m\}}}{}}E_{J_{m1}\{m\}}\left(E_{J_{m1}^c}{\displaystyle \underset{𝐢_{J_{m1}^c}}{}}h_𝐢\right)^p].`$
Multiplying by $`(2e^2)^{(m1)p}p^{|J_{m1}|}`$, this is the sum of two terms of the form $`(2e)^{mp}p^{|J|p}_{𝐢_J}E_J\left(_{𝐢_{J^c}}E_{J^c}h_𝐢\right)^p`$ (for $`J=J_{m1}`$ and for $`J=J_{m1}\{m\}`$), proving the proposition.

This proposition solves the problem of estimating, up to constants, the moments of a decoupled $`U`$-statistic by ‘computable’ expressions. For instance, if the functions $`h_𝐢`$ are all equal and if the variables $`X_i^{(j)}`$ are i.i.d., then the typical term at the right of (2.1) just becomes $`n^{|J|+p|J^c|}E_J(E_{J^c}h)^p`$, a ‘mixed moment’ of $`h`$. For $`m=2`$ the right hand side of inequality (2.2) is just:

$`E\left({\displaystyle \underset{i,j}{}}h_{i,j}(X_i^{(1)},X_j^{(2)})\right)^p`$ $``$ $`(2e^2)^{2p}[\left({\displaystyle \underset{i,j}{}}Eh_{i,j}(X_i^{(1)},X_j^{(2)})\right)^p`$
$`+p^p{\displaystyle \underset{i}{}}E_1\left({\displaystyle \underset{j}{}}E_2h_{i,j}(X_i^{(1)},X_j^{(2)})\right)^p`$
$`+p^p{\displaystyle \underset{j}{}}E_2\left({\displaystyle \underset{i}{}}E_1h_{i,j}(X_i^{(1)},X_j^{(2)})\right)^p`$
$`(2.2^{\prime \prime })\text{aaaaaaaaaaaaaaaaaaaaaaaaa}+p^{2p}{\displaystyle \underset{i,j}{}}Eh_{i,j}^p(X_i^{(1)},X_j^{(2)})].`$
We have been careful with the dependence on $`p`$ of the constants because it is of some interest to obtain constants of the best order as $`p\mathrm{}`$. In fact, (2.2’) exhibits constants of the best order as can be seen by taking the product of two independent copies of the example in Johnson, Schechtman and Zinn (1985), Proposition 2.9.

Next we replace the external sums of expected values at the right side of the above inequalities by expectations of maxima without significantly altering the order of the multiplicative constants. If $`\xi _i`$ are independent nonnegative random variables, then,

(2.3)
$$\frac{1}{2}\left[\delta _0^pE\xi _i^pI_{\xi _i>\delta _0}\right]E\mathrm{max}\xi _i^p\delta _0^p+E\xi _i^pI_{\xi _i>\delta _0},0<p<\mathrm{},$$

where

(2.4)
$$\delta _0=inf[t>0:\mathrm{Pr}\{\xi _i>t\}1]$$

(Giné and Zinn (1983); see also de la Peña and Giné (1999), page 22). The left hand side of (2.3) gives that, for $`0<r<p`$ and $`\xi _i`$ independent,

(2.5)
$$E|\xi _i|^p2E\mathrm{max}|\xi _i|^p+2\left(E|\xi _i|^r\right)\left(E\mathrm{max}|\xi _i|^p\right)^{(pr)/p}$$

(e.g., de la Peña and Giné (1999), page 48). This inequality, applied with $`r=1<p`$, yields

(2.6)
$$p^{\alpha p}E|\xi _i|^p2(1+p^\alpha )\mathrm{max}[p^{\alpha p}E\mathrm{max}|\xi _i|^p,\left(E|\xi _i|\right)^p]$$

for all $`\alpha 0`$. There are similar inequalities for other values of $`r`$; $`r=1`$ is adequate for $`\xi _i0`$, but $`r=2`$ is better for centered variables. If we use inequality (2.6) in (2.2”), iteratively for the last term, we obtain that, for a universal constant $`K`$ (easy but cumbersome to compute), $`h_{i,j}0`$, $`p>1`$,

(2.7) $`E\left({\displaystyle \underset{i,j}{}}h_{i,j}\right)^p`$ $``$ $`K^p(2e^2)^pp^4[\left({\displaystyle \underset{i,j}{}}Eh_{i,j}\right)^p+p^pE_1\underset{i}{\mathrm{max}}\left({\displaystyle \underset{j}{}}E_2h_{i,j}\right)^p`$
$`\text{aaaaaaaaa}+p^pE_2\underset{j}{\mathrm{max}}\left({\displaystyle \underset{i}{}}E_1h_{i,j}\right)^p+p^{2p}E\underset{i,j}{\mathrm{max}}h_{i,j}^p].`$
Inequality (2.7) was obtained, up to constants, by Klass and Nowicki (1997) (it is their inequality (4.14)). Our proof is different, and it is contained in the proof of the next corollary, which extends inequality (2.7) to any $`m`$.

Corollary 2.2. Under the same hypotheses as in Proposition 2.1, there exist universal constants $`K_m`$ such that

(2.8) $`\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}\left[E_J\underset{𝐢_J}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢\right)^p\right]E\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^p`$
$`K_m^p{\displaystyle \underset{J\{1,\mathrm{},m\}}{}}\left[p^{|J|p}E_J\underset{𝐢_J}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢\right)^p\right],`$
and

$`(2.8^{})`$
$$E\left(\underset{𝐢}{}h_𝐢\right)^pK_m^p\left(\frac{p}{\mathrm{log}p}\right)^{mp}\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}\left[E_J\underset{𝐢_J}{\mathrm{max}}\left(\underset{𝐢_{J^c}}{}E_{J^c}h_𝐢\right)^p\right].$$

Proof. The left side of (2.8) follows by Hölder. Inequality (2.8’) has a proof similar to that of the right hand side of (2.8), and therefore we only prove the latter. We will prove it by induction over $`m`$ simultaneously with the inequality

(2.9)
$$p^{mp}\underset{𝐢}{}Eh_𝐢^p\stackrel{~}{K}_m^p\underset{J\{1,\mathrm{},m\}}{}\left[p^{|J|p}E_J\underset{𝐢_J}{\mathrm{max}}\left(\underset{𝐢_{J^c}}{}E_{J^c}h_𝐢\right)^p\right].$$

Let us first note that the inequalities (2.9) for $`1,\mathrm{},m1`$ together with (2.2) imply (2.8). It is therefore enough to show that if (2.8) and (2.9) hold for $`1,\mathrm{},m1`$ then (2.9) is satisfied for $`m`$. We will follow the notation of the proof of Proposition 2.1. Inequality (2.9) for $`m=1`$ is just (2.6), and (2.8) for $`m=1`$ is $`(H_1)`$ (which also follows from $`(R_1)`$ and (2.6)). By the induction assumptions we have

(2.10)
$$p^{mp}\underset{𝐢}{}Eh_𝐢^p=p^p\underset{i_m}{}E_mp^{(m1)p}\underset{𝐢_{\{1,\mathrm{},m1\}}}{}E_{\{1,\mathrm{},m1\}}h_𝐢^p$$

$`\stackrel{~}{K}_{m1}^p`$

$$\times \underset{J_{m1}\{1,\mathrm{},m1\}}{}\left[p^{(|J_{m1}|+1)p}E_{J_{m1}}E_m\underset{i_m}{}\underset{𝐢_{J_{m1}}}{\mathrm{max}}\left(\underset{𝐢_{J_{m1}^c}}{}E_{J_{m1}^c}h_𝐢\right)^p\right].$$

Now, by (2.6), for any $`J_{m1}\{1,\mathrm{},m1\}`$ we have

(2.11) $`p^{(|J_{m1}|+1)p}E_{J_{m1}}E_m{\displaystyle \underset{i_m}{}}\underset{𝐢_{J_{m1}}}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}E_{J_{m1}^c}h_𝐢\right)^p`$
$`2(1+p)[p^{(|J_{m1}|+1)p}E_{J_{m1}\{m\}}\underset{𝐢_{J_{m1}\{m\}}}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}E_{J_{m1}^c}h_𝐢\right)^p`$
$`\text{aaaaaaaaaa}+p^{|J_{m1}|p}E_{J_{m1}}\left({\displaystyle \underset{i_m}{}}E_m\underset{𝐢_{J_{m1}}}{\mathrm{max}}{\displaystyle \underset{𝐢_{J_{m1}^c}}{}}E_{J_{m1}^c}h_𝐢\right)^p].`$
To estimate the last term we note that

(2.12) $`p^{|J_{m1}|p}E_{J_{m1}}\left({\displaystyle \underset{i_m}{}}E_m\underset{𝐢_{J_{m1}}}{\mathrm{max}}{\displaystyle \underset{𝐢_{J_{m1}^c}}{}}E_{J_{m1}^c}h_𝐢\right)^p`$
$`p^{|J_{m1}|p}E_{J_{m1}}\left({\displaystyle \underset{𝐢}{}}E_{J_{m1}^c\{m\}}h_𝐢\right)^p\text{aa}`$
$$\stackrel{~}{K}_{|J_{m1}|}^p\underset{JJ_{m1}}{}p^{|J|p}E_J\underset{𝐢_J}{\mathrm{max}}\left(\underset{𝐢_{(J_{m1}J)J_{m1}^c\{m\}}}{}E_{(J_{m1}J)J_{m1}^c\{m\}}h_𝐢\right)^p,$$

where in the last line we use the induction assumption (2.8) for $`|J_{m1}|<m`$. Finally (2.10), (2.11) and (2.12) imply (2.9) and complete the proof.

Remark. The proof of Proposition 2.6 below will use a version of Corollary 2.2 for nonnegative random functions taking values in $`L_r`$. The inequality is as follows: for $`p>1`$ there exists $`K_{m,p,r}<\mathrm{}`$ such that

$`(2.8^{\prime \prime })`$
$$E\underset{𝐢}{}h_𝐢^pK_{m,p,r}\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}\left[E_J\underset{𝐢_J}{\mathrm{max}}(E_{J^c}\underset{𝐢_{J^c}}{}h_𝐢)^p\right].$$

The proof is similar to the previous ones and is omited: one takes $`(H_p)`$ as the starting point of the induction.

Finally we come to the third step, which will extend Hoffmann-Jørgen-sen’s inequality $`(H)`$ for $`p1`$. If we want to use the inequalities from Corollary 2.2 to obtain boundedness of moments from stochastic boundedness of a sequence of $`U`$-statistics, we need to replace the term corresponding to $`J=\mathrm{}`$ by the $`p`$-th power of a quantile of $`_𝐢h_𝐢`$. For this we use Paley-Zygmund’s inequality (e.g., Kahane (1968) or de la Peña and Giné (1999)): if $`A`$ is a nonnegative random variable and $`0<r<p<\mathrm{}`$, then, for all $`0<\lambda <1`$,

(2.13)
$$\mathrm{Pr}\left\{A>\lambda A_r\right\}\left[(1\lambda ^r)\frac{A_r}{A_p}\right]^{p/(pr)},$$

where $`A_r=\left(E|A|^r\right)^{1/r}`$ for $`0<r<\mathrm{}`$. Consider for instance inequality (2.8). It has the form

$$EA^pB+K_m^p(EA)^p,p>1,$$

with $`A=_𝐢h_𝐢`$. Then, either $`BK_m^p(EA)^p`$, in which case we have $`EA^p2B`$, or $`B<K_m^p(EA)^p`$, in which case we have $`EA^p2K_m^p(EA)^p`$ and we can apply Paley-Zygmund’s (2.13) with $`\lambda =1/2`$ and $`r=1`$. It gives

$$\mathrm{Pr}\left\{A>\frac{1}{2}EA\right\}\frac{1}{2^{(p+1)/(p1)}K_m^{p/(p1)}}.$$

Hence, if we define

(2.14)
$$t_0=inf[t0:\mathrm{Pr}\{A>t\}\frac{1}{2^{(p+1)/(p1)}K_m^{p/(p1)}}],$$

we obtain $`EA2t_0`$. So, in either case,

$$EA^p2B+2^{1+p}K_m^pt_0^p.$$

Also, by Markov’s inequality,

$$\frac{1}{2^{(p+1)/(p1)}K_m^{p/(p1)}}t_0^pEA^p.$$

We then have:

Theorem 2.3. Under the hypotheses of Proposition 2.1, there exist a universal constants $`K_m<\mathrm{}`$ such that, if $`t_0`$ is as defined by (2.14) for $`A=_𝐢h_𝐢`$, then

(2.20) $`{\displaystyle \frac{1}{(4K_m)^{p/(p1)}}}t_0^p\mathrm{max}[\underset{\begin{array}{c}J\{1,\mathrm{},m\}\\ J\mathrm{}\end{array}}{\mathrm{max}}\left[E_J\underset{𝐢_J}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢\right)^p\right]`$
$`E\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^p`$
$`(4K_m)^p\{2^{1+p}t_0^p+{\displaystyle \underset{\begin{array}{c}J\{1,\mathrm{},m\}\\ J\mathrm{}\end{array}}{}}\left[p^{|J|p}E_J\underset{𝐢_J}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢\right)^p\right]\}.`$
A similar inequality with different constants can be obtained from (2.8’). This is the most elaborate form we will give to our bounds for $`h0`$ and $`p>1`$.

The right hand side of (2.15) for $`m=2`$ becomes, disregarding constants,

$$E\left(\underset{i,j}{}h_{i,j}\right)^pC\mathrm{max}[E_1\underset{i}{\mathrm{max}}\left(\underset{j}{}E_2h_{i,j}\right)^p,E_2\underset{j}{\mathrm{max}}\left(\underset{i}{}E_1h_{i,j}\right)^p,$$

$`(2.15^{})`$
$$\text{aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa}E\underset{i,j}{\mathrm{max}}h_{i,j}^p,t_0^p].$$

So, we get the $`p`$-th moment of the double sum controlled by moments of partial maxima of conditional expectations plus a quantile. The Giné-Zinn (1992) inequality (for $`m=2`$),

$$E\left(\underset{i,j}{}h_{i,j}\right)^pC\mathrm{max}[E\underset{i}{\mathrm{max}}\left(\underset{j}{}h_{i,j}\right)^p,t_0^p],p1,$$

is slightly weaker in appearance than (2.15’) (actually, we only published the result for canonical $`U`$-statistics, but we applied it as well to nonnegative variables, for which the proof is the same: see, e.g., Giné and Zhang (1996)). For applications of this inequality in the asymptotic theory of $`U`$-statistics see Giné and Zhang (1996), Giné, Kwapień, Latała and Zinn (1999) and de la Peña and Giné (1999).

Remark. The constants in the definition of $`t_0`$ in (2.15) depend on $`p`$, hence, so does $`t_0`$. This is not the case when $`m=1`$ (as a consequence of the improved Hoffmann-Jørgensen’s inequality of Kwapień and Woyczyński -see, de la Peña and Giné (1999) p. 11-). But in most applications it does not matter whether the definition of the quantile depends on $`p`$.

2.2. Canonical kernels, moments or order $`p2`$. If $`\xi _i`$ are centered and independent and $`p2`$, then, by convexity and the Khinchin-Bonami inequality (e.g., de la Peña and Giné, 1999, p. 113), we have

(2.21) $`2^pE\left({\displaystyle \xi _i^2}\right)^{p/2}`$ $``$ $`2^pE\left|{\displaystyle \epsilon _i\xi _i}\right|^pE\left|{\displaystyle \xi _i}\right|^p`$
$``$ $`2^pE\left|{\displaystyle \epsilon _i\xi _i}\right|^p2^p(p1)^{p/2}E\left({\displaystyle \xi _i^2}\right)^{p/2},`$
where $`\epsilon _i`$ are independent identically distributed Rademacher random variables, independent from $`\{\xi _i\}`$. Suppose $`h_𝐢`$ is canonical for the variables $`\{X_i^{(j)}\}`$ given in the previous subsection, that is, suppose

(2.22)
$$E_jh(X_{i_1}^{(1)},\mathrm{},X_{i_m}^{(m)})=0\mathrm{a}.\mathrm{s}.\mathrm{for}\mathrm{all}j=1,\mathrm{},m,1i_1,\mathrm{},i_mn.$$

Let $`\epsilon _i^{(j)}`$ be an independent Rademacher array independent of $`\{X_i^{(j)}\}`$, and set

$$\epsilon _𝐢:=\epsilon _{i_1}^{(1)}\mathrm{}\epsilon _{i_m}^{(m)}.$$

Then, recursive application of inequality (2.16) gives

(2.23) $`2^{mp}E\left({\displaystyle \underset{𝐢}{}}h_𝐢^2\right)^{p/2}`$ $``$ $`2^{mp}E\left|{\displaystyle \underset{𝐢}{}}\epsilon _𝐢h_𝐢\right|^pE\left|{\displaystyle \underset{𝐢}{}}h_𝐢\right|^p`$
$``$ $`2^{mp}E\left|{\displaystyle \underset{𝐢}{}}\epsilon _𝐢h_𝐢\right|^p2^{mp}(p1)^{mp/2}E\left({\displaystyle \underset{𝐢}{}}h_𝐢^2\right)^{p/2}.`$
This inequality reduces estimation of moments of canonical $`U`$-statistics to estimation of moments of nonnegative ones (and conversely), at least if constants are not an issue. Combined with Proposition 2.1, it gives the analogue of Rosenthal’s inequality for centered variables and $`p>2`$, and if we apply it in conjunction with Corollary 2.2, we obtain the following inequality:

Proposition 2.4. If, for $`p>2`$ and all $`𝐢\{1,\mathrm{},n\}^m`$, $`h_𝐢(X_{i_1}^{(1)},\mathrm{},X_{i_m}^{(m)})`$ is $`p`$-integrable and $`E_jh_𝐢(X_{i_1}^{(1)},\mathrm{},X_{i_m}^{(m)})=0`$ a.s. for all $`j=1,\mathrm{},m`$, then

(2.24) $`2^{mp}\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}\left[E_J\underset{𝐢_J}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢^2\right)^{p/2}\right]E|{\displaystyle \underset{𝐢}{}}h_𝐢|^p`$
$`K_m^p{\displaystyle \underset{J\{1,\mathrm{},m\}}{}}\left[p^{(m+|J|)p/2}E_J\underset{𝐢_J}{\mathrm{max}}\left({\displaystyle \underset{𝐢_{J^c}}{}}E_{J^c}h_𝐢^2\right)^{p/2}\right]`$
for universal constant $`K_m<\mathrm{}`$.

And, applying Paley-Zygmund with $`r=2`$, we finally have:

Theorem 2.5. Let $`h_𝐢`$ be as in Proposition 2.4, and let $`p>2`$. Then, there exist universal constants $`K_m<\mathrm{}`$ such that, if $`t_0`$ is defined as

$$t_0=inf[t0:\mathrm{Pr}\left\{\right|\underset{𝐢}{}h_𝐢|>t\}\left(\frac{3}{4}\right)^{p/(p2)}\frac{1}{\left(2K_m^pp^{mp/2}\right)^{1/(p2)}}],$$

then

$$\frac{1}{(4K_mp^{m/2})^{p/(p2)}}t_0^p\mathrm{max}[2^{mp}\underset{\begin{array}{c}J\{1,\mathrm{},m\}\\ J\mathrm{}\end{array}}{\mathrm{max}}\left[E_J\underset{𝐢_J}{\mathrm{max}}\left(\underset{𝐢_{J^c}}{}E_{J^c}h_𝐢^2\right)^{p/2}\right]$$

(2.25)
$$E\left|\underset{𝐢}{}h_𝐢\right|^p\text{aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa}$$

$$2K_m^p\{(2p^{m/2})^pt_0^p+\underset{\begin{array}{c}J\{1,\mathrm{},m\}\\ J\mathrm{}\end{array}}{}\left[p^{(m+|J|)p/2}E_J\underset{𝐢_J}{\mathrm{max}}\left(\underset{𝐢_{J^c}}{}E_{J^c}h_𝐢^2\right)^{p/2}\right]\}.$$

If, instead of inequality (2.2), we wish to obtain an analogue of inequality (2.2’), that is, if we want to replace the constants at the right hand side of (2.19) by $`(Kp/\mathrm{log}p)^{mp}`$, then we cannot use Khinchin’s inequality and must proceed directly with an induction as in Proposition 2.1 with the following change: we must consider the variables $`_{𝐢_{J_{m1}^c}}h_𝐢`$ as taking values in $`L_2(J_{m1}^c)`$ and apply inequality (1.5) in Kwapień and Szulga (1991), which gives Rosenthal’s inequality with best constants for centered independent random variables in Banach spaces. We skip the details.

2.3. Nonnegative kernels, moments of order $`p1`$. It seems impossible to obtain inequalities as simple as in the previous section for this case. However, one can still obtain inequalities that may become useful when combined with Paley-Zygmund. Here is an analogue of Corollary 2.2 for $`h0`$ and $`p1`$. The method of proof is inefficient regarding constants as Hoffmann-Jørgensen is applied twice at each step. Hence, constants will not be specified.

Proposition 2.6. Let $`0<r<p1`$, $`m<\mathrm{}`$ and assume that the kernels $`h_𝐢0`$ have integrable $`p`$-th powers. Then

(2.26) $`\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}[E_J\underset{𝐢_J}{\mathrm{max}}(E_{J^c}\left({\displaystyle \underset{𝐢_{J^c}}{}}h_𝐢\right)^r)^{p/r}]E\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^p`$
$`K_{r,p,m}\underset{J\{1,\mathrm{},m\}}{\mathrm{max}}[E_J\underset{𝐢_J}{\mathrm{max}}(E_{J^c}\left({\displaystyle \underset{𝐢_{J^c}}{}}h_𝐢\right)^r)^{p/r}],`$
where $`K_{r,p,m}`$ depends only on the parameters $`r,p,m`$.

Note that all the terms in this bound represent a reduction in the number of sums except for the term corresponding to $`J=\mathrm{}`$, which consists of a power of the $`r`$-th moment of a $`U`$-statistic of order $`m`$. We will deal later with this term by means of the Paley-Zygmund argument.

Proof. The inequality at the left side of (2.21) follows from Hölder. Inequality $`(H_r)`$ is just the right hand side of inequality (2.21) for $`m=1`$ and we can proceed by induction. We still use the notation from Proposition 2.1. By the induction hypothesis we have

$`\text{aaaaaaa}E\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^p=E_mE_{\{1,\mathrm{},m1\}}\left({\displaystyle \underset{𝐢_{\{1,\mathrm{},m1\}}}{}}{\displaystyle \underset{i_m}{}}h_𝐢\right)^p`$
$`K_{r,p,m1}{\displaystyle \underset{J_{m1}\{1,\mathrm{},m1\}}{}}E_{J_{m1}}E_m\underset{𝐢_{J_{m1}}}{\mathrm{max}}\left[E_{J_{m1}^c}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}{\displaystyle \underset{i_m}{}}h_𝐢\right)^r\right]^{p/r}.`$
Let us fix $`J_{m1}\{1,\mathrm{},m1\}`$ and note that, for fixed $`(X_j^{(i)})_{iJ_{m1}}`$, we have

$$\underset{𝐢_{J_{m1}}}{\mathrm{max}}E_{J_{m1}^c}\left(\underset{𝐢_{J_{m1}^c}}{}\underset{i_m}{}h_𝐢\right)^r:=\underset{i_m}{}\stackrel{~}{h}_{i_m}$$

for suitably chosen independent r.v.’s $`\stackrel{~}{h}_{i_m}`$ in $`l^{\mathrm{}}(L^r)`$. Therefore by ($`H_r`$), which still holds in this space (as the norm, restricted to nonnegative vectors, is monotone increasing), we have

(2.28) $`E_{J_{m1}}E_m\underset{𝐢_{J_{m1}}}{\mathrm{max}}\left[E_{J_{m1}^c}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}{\displaystyle \underset{i_m}{}}h_𝐢\right)^r\right]^{p/r}=E_{J_{m1}}E_m{\displaystyle \underset{i_m}{}}\stackrel{~}{h}_{i_m}^{p/r}`$
$`C_{p,r}E_{J_{m1}}\left[E_m\underset{i_m}{\mathrm{max}}\stackrel{~}{h}_{i_m}^{p/r}+\left(E_m{\displaystyle \underset{i_m}{}}\stackrel{~}{h}_{i_m}\right)^{p/r}\right]`$
$`=C_{p,r}[E_{J_{m1}\{m\}}\underset{𝐢_{J_{m1}\{m\}}}{\mathrm{max}}(E_{J_{m1}^c}({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}h_𝐢)^r)^{p/r}`$
$`\text{aaaaaaaa}+E_{J_{m1}}\left(E_m\underset{𝐢_{J_{m1}}}{\mathrm{max}}E_{J_{m1}^c}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}{\displaystyle \underset{i_m}{}}h_𝐢\right)^r\right)^{p/r}].`$
Now, to estimate the last term, we note that

(2.29) $`E_{J_{m1}}\left[E_m\underset{𝐢_{J_{m1}}}{\mathrm{max}}E_{J_{m1}^c}\left({\displaystyle \underset{𝐢_{J_{m1}^c}}{}}{\displaystyle \underset{i_m}{}}h_𝐢\right)^r\right]^{p/r}`$
$`\text{aaaaaaa}E_{J_{m1}}\left[E_{J_{m1}^c\{m\}}\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^r\right]^{p/r}`$
$`K_{p/r,1,|J_{m1}|}`$

$$\times \underset{JJ_{m1}}{}E_J\underset{𝐢_J}{\mathrm{max}}\left[E_{J_{m1}JJ_{m1}^c\{m\}}\left(\underset{𝐢_{J_{m1}JJ_{m1}^c\{m\}}}{}h_𝐢\right)^r\right]^{p/r},$$

which follows by the version of Corollary 2.2 for $`L^r`$ ((2.8”) for $`p/r>1`$). Now (2), (2.28) and (2.29) complete the induction step.

To deal with the term corresponding to $`J=\mathrm{}`$ in Proposition 2.6 we apply Paley-Zygmund as above, but now with $`r<p`$ replacing $`1<p`$. The conclusion is:

Theorem 2.7. There is a constant $`K_{r,p,m}`$ such that for $`0<r<p1`$, $`m<\mathrm{}`$, and $`h_𝐢0`$ with integrable $`p`$-th powers, we have

(2.36) $`{\displaystyle \frac{1}{(2^{p+1}K_{r,p,m})^{1/(pr)}}}t_0^p{\displaystyle \underset{\begin{array}{c}J\{1,\mathrm{},m\}\\ J\mathrm{}\end{array}}{}}[E_J\underset{𝐢_J}{\mathrm{max}}(E_{J^c}\left({\displaystyle \underset{𝐢_{J^c}}{}}h_𝐢\right)^r)^{p/r}]`$
$`E\left({\displaystyle \underset{𝐢}{}}h_𝐢\right)^p`$
$`2K_{r,p,m}\{2^{p/r}t_0^p+{\displaystyle \underset{\begin{array}{c}J\{1,\mathrm{},m\}\\ J\mathrm{}\end{array}}{}}[E_J\underset{𝐢_J}{\mathrm{max}}\left(E_{J^c}\left({\displaystyle \underset{𝐢_{J^c}}{}}h_𝐢\right)^r)^{p/r}]\right\},`$
where

$$t_0=inf[t:\mathrm{Pr}\{\underset{𝐢}{}h_𝐢>t\}\frac{1}{2}(2^{p+1}K_{r,p,m})^{1/(pr)}].$$

Hence, the $`p`$-th moment of a $`U`$-statistic of order $`m`$ can be estimated by partial moments of maxima (or sums) of conditional moments of $`U`$-statistics of lower order plus the $`p`$-power of a quantile of the original $`U`$-statistic.

2.4. Canonical kernels and moments of order $`1p2`$, or kernels $`h`$ separately symmetric in each of the coordinates and $`0<p<1`$ . The canonical case reduces to the positive case by means of inequality (2.18), as before. The convexity part of inequality (2.18) fails for $`p<1`$, but in this case, if $`h`$ is symmetric separately in each of the coordinates, we can still randomize by products of independent Rademacher variables and recursive application of Khinchin’s inequality still reduces this case to nonnegative $`h`$. We leave the resulting statements to the reader in order to avoid repetition.

2.5. Regular (undecoupled) general $`U`$-statistics. If $`h_𝐢(𝐱)=h_{𝐢s}(𝐱s)`$ for any permutation $`s`$ of $`\{1,\mathrm{},m\}`$ and $`h_𝐢=0`$ if $`𝐢`$ has repeated indices, and if the sequences $`\{X_i^{(j)}:i=1,\mathrm{},n\}`$ are independent copies of each other, then the decoupling inequalities of de la Peña and Montgomery-Smith (1995), together with the decoupling inequality for maxima in Hitczenko (1988) in combination with the previous inequalities give moment inequalities for the generalized $`U`$-statistics

$$\underset{𝐢}{}h_{i_1,\mathrm{},i_m}(X_{i_1},\mathrm{},X_{i_m})$$

where $`\{X_i\}`$ is a sequence of independent random variables, at the cost of vastly increasing the numerical constants (see e.g. Giné and Zinn (1992) for a similar application of the decoupling inequalities). We omit the resulting statements.

2.6. Comparison with previous results. We have already noted, below the statement of Theorem 2.3, that the inequalities there are better than the Hoffmann-Jørgensen type inequalities for $`U`$-statistics in Giné and Zinn (1992) in that they represent a decomposition into simpler quantities. Also, as mentioned in the Introduction, Ibrahimov and Sharakhmetov (1998, 1999) obtained, except for constants, Proposition 2.1 and its analogue for canonical kernels for $`m=2`$ and announced the result for general $`m`$; the final results in the present article for $`p>1`$ in the nonnegative case (Theorem 2.3) and for $`p>2`$ in the canonical case (Theorem 2.5), replacing some sums by maxima and lower moments by quantiles, seem to be more useful. As mentioned above, Corollary 2.2 restricted to $`m=2`$ recovers inequalities (4.14) in Klass and Nowicki (1997). The inequalities in the last mentioned article for nonnegative kernels, $`p<1`$ and $`m=2`$ (the nonconvex case, inequalities (4.13) there) are different from our inequalities in Theorem 2.7 for $`m=2`$, although they represent a similar level of decomposition of the $`p`$-th moment of the $`U`$-statistic. Basically, the difference is that they use inverses of truncated conditional moments whereas we use inverses of tail probabilites together with partial moments. This can be better seen by comparing Hoffmann-Jørgensen, which is Theorem 2.7 for $`m=1`$, with their inequality for $`m=1`$. The result of Klass and Nowicki (1997) can be described as the iteration of an inequality that follows from Hoffmann-Jørgensen, Paley-Zygmund ((2.13)) and (2.3), as follows. Given $`\xi _i`$, $`i=1,\mathrm{},n`$, nonnegative, define $`v_0`$ as

(2.37)
$$v_0=sup\{v0:E\left(\frac{\xi _i}{v}1\right)1\}$$

or, what is the same, $`v_0`$ is the largest number satisfying

(2.38)
$$v_0=E\left(\xi _iv_0\right).$$

Then, the inequality in question is:

Corollary 2.8. (Klass and Nowicki, 1997, Cor. 2.7) Let $`\xi _i,`$ $`1=1,\mathrm{},n,`$ be independent nonnegative random variables. Then, for all $`p>0`$,

(2.39)
$$E\left(\xi _i\right)^pE\mathrm{max}\xi _i^p+v_0^p.$$

Proof. Since

$$E\left(\xi _i\delta _0\right)=E\xi _iI_{\xi _i<\delta _0}+\delta _0\mathrm{Pr}\{\xi _i\delta _0\}\delta _0,$$

it follows that $`\delta _0v_0`$. Therefore, if $`p1`$, inequality (2.3) and the definition of $`v_0`$ give

$$E\left(\xi _i\right)^p\left(E(\xi _iv_0)\right)^p+\underset{j}{}E\xi _i^pI_{\xi _i>v_0}v_0^p+2E\underset{i}{\mathrm{max}}\xi _i^p.$$

And if $`p>1`$, Hoffmann-Jørgensen ($`(H)`$) and the previous inequality (with $`p=1`$) give

$$E\left(\xi _i\right)^p\stackrel{<}{}\left(E\xi _i\right)^p+E\mathrm{max}\xi _i^p\stackrel{<}{}v_0^p+E\mathrm{max}\xi _i^p.$$

For the reverse inequality, if $`p>1`$,

$$v_0^p=\left(E(\xi _iv_0)\right)^pE\left(\xi _i\right)^p.$$

And if $`p<1`$, following the proof of Lemma 2.2 in Klass and Nowicki (1997), we first observe that Paley-Zygmund and the first part of this proof give that for some universal constant $`C`$,

$`\mathrm{Pr}\left\{{\displaystyle \xi _i}v_0>{\displaystyle \frac{v_0}{2}}\right\}`$ $``$ $`{\displaystyle \frac{1}{4}}{\displaystyle \frac{\left(E(\xi _iv_0)\right)^2}{E\left((\xi _iv_0)\right)^2}}={\displaystyle \frac{1}{4}}{\displaystyle \frac{v_0^2}{E\left((\xi _iv_0)\right)^2}}`$
$``$ $`{\displaystyle \frac{C}{4}}{\displaystyle \frac{v_0^2}{E\mathrm{max}(\xi _iv_0)^2+v_0^2}}{\displaystyle \frac{C}{8}};`$
therefore,

$`E\left({\displaystyle \xi _i}\right)^p`$ $``$ $`E\left({\displaystyle (\xi _iv_0)}\right)^p`$
$``$ $`E\left[\left({\displaystyle (\xi _iv_0)}\right)^pI_{{\scriptscriptstyle (\xi _iv_0)}>v_0/2}\right]{\displaystyle \frac{C}{8}}{\displaystyle \frac{v_0^p}{2^p}}.`$
In fact, if we bound $`t_0`$ by $`t_0^p2E\left((\xi _it_0)\right)^p`$ and apply the above proof to the variables $`\xi _it_0`$, Hoffmann-Jørgensen gives the following seemingly weaker inequality: letting $`\stackrel{~}{v}_0`$ be the parameter $`v_0`$ for the smaller variables $`\xi _it_0`$ (note $`\stackrel{~}{v}_0v_0`$), then

$`(2.22^{})`$
$$E\left(\xi _i\right)^pE\mathrm{max}\xi _i^p+\stackrel{~}{v}_0^p.$$

## 3. Improved moment inequalities and exponential inequalities for $`m=2`$

The right hand side of inequality (2.19) for $`m=1`$ is just

(3.1)
$$E\left|\xi _i\right|^pK^p\mathrm{max}[p^pE\mathrm{max}\xi _i^p,p^{p/2}\left(E\xi _i^2\right)^{p/2}],p2,$$

where $`\xi _i`$ are independent mean zero random variables. These inequalities were first obtained by Pinelis (1994). Part of their interest lie on the fact that they are basically equivalent to Bernstein’s inequality up to constants. Here is how (3.1) (for all $`p2`$) implies Bernstein’s inequality up to constants. Assume $`\xi _i_{\mathrm{}}A<\mathrm{}`$ for all $`i`$, and set $`C^2=E\xi _i^2`$. Then, (3.1) has the form

$$E\left|\xi _i\right|^pK^p\mathrm{max}[p^pA^p,p^{p/2}C^p],p2.$$

Let

$$p=\frac{x}{KeA}\left(\frac{x}{KeC}\right)^2$$

for any $`x`$ for which $`p2`$. Then, by Markov’s inequality, (3.1) gives, for these values of $`t`$,

$$\mathrm{Pr}\left\{\left|\xi _i\right|>x\right\}\{\begin{array}{cc}\frac{K^pp^pA^p}{x^p}e^p\hfill & \text{if }p^pA^pp^{p/2}C^p\hfill \\ & \\ \frac{K^pp^{p/2}C^p}{x^p}e^p\hfill & \text{otherwise.}\hfill \end{array}$$

Hence,

(3.2)
$$\mathrm{Pr}\left\{\left|\xi _i\right|>x\right\}e^2e^p=e^2\mathrm{exp}\left\{\frac{x}{KeA}\left(\frac{x}{KeC}\right)^2\right\}$$

for all $`x>0`$. Similarly, from the iteration (2.19) of the inequalities (3.1) we can obtain exponential inequalities for generalized decoupled $`U`$-statistics of any order. However, the inequalities we obtain, while better than the existing ones, are not of the best kind, as we will see below. We illustrate this comment by considering the case $`m=2`$. In this case, inequality (2.19) is as follows:

(3.3) $`E\left|{\displaystyle \underset{i,j}{}}h_{i,j}\right|^p`$ $``$ $`K^p\mathrm{max}[p^p\left({\displaystyle \underset{i,j}{}}Eh_{i,j}^2\right)^{p/2},p^{3p/2}E_1\underset{i}{\mathrm{max}}\left({\displaystyle \underset{j}{}}E_2h_{i,j}^2\right)^{p/2},`$
$`\text{aaaaaaaa}p^{3p/2}E_2\underset{j}{\mathrm{max}}\left({\displaystyle \underset{i}{}}E_1h_{i,j}^2\right)^{p/2},p^{2p}E\underset{i,j}{\mathrm{max}}|h_{i,j}|^p].`$
For bounded canonical kernels $`h_{i,j}`$ we define

(3.4)
$$A=\underset{i,j}{\mathrm{max}}h_{i,j}_{\mathrm{}},C^2=\underset{i,j}{}Eh_{i,j}^2,$$

$$B^2=\mathrm{max}[\underset{i}{}E_1h_{i,j}^2(X_i^{(1)},y)_{\mathrm{}},\underset{j}{}E_2h_{i,j}^2(x,X_j^{(2)})_{\mathrm{}}].$$

Then, we can proceed as in the deduction of (3.2) from (3.1), and easily obtain from (3.3) that there is a universal constant $`K`$ such that

(3.5)
$$\mathrm{Pr}\left\{\left|\underset{i,j}{}h_{i,j}\right|>x\right\}K\mathrm{exp}\left\{\frac{1}{K}\mathrm{min}[\frac{x}{C},\left(\frac{x}{B}\right)^{2/3},\left(\frac{x}{A}\right)^{1/2}]\right\}.$$

This inequality also holds for regular canonical $`U`$-statistics by the decoupling inequalities of de la Peña and Montgomery-Smith (1995).

Inequality (3.5) is better than the Bernstein type inequality in Arcones and Giné (1993) as it is better for $`xn^2A`$ and the probability is zero for $`xn^2A`$. Inequality (3.5) is suboptimal for small values of $`x`$, for which the exponent should be a constant times $`x^2`$, just as for chaos variables of order 2 (see Ledoux and Talagrand (1991) and Latała (1999)). This suggest that inequality (2.9) is not of the best kind, and can be improved.

Next we improve the Rosenthal type inequality (2.9) for $`m=2`$ (that is, (3.3)) and deduce from it an exponential inequality for canonical $`U`$-statistics of order two which does detect the Gaussian portion of the tail probability.

First we show how Talagrand’s (1996) extension of Prohorov’s inequality to empirical processes, actually in Massart’s (1999) version, produces an improved Rosenthal’s inequality for empirical processes. Then, we will use this inequality to estimate the terms resulting from conditionally applying inequality (3.1) to the $`U`$-statistic.

To describe Massart’s version of Talagrand’s inequality we must establish the setting and define some parameters. Let $`Z_i`$ be independent random variables with values in some measurable space $`(T,𝒯)`$, let $``$ be a countable class of measurable real functions on $`T`$, and define

$$S:=\underset{f}{sup}f(Z_i),\sigma ^2=\underset{f}{sup}E(f(Z_i))^2,a:=\underset{i}{\mathrm{max}}\underset{f}{sup}f(Z_i)_{\mathrm{}}.$$

Then,

(3.6)
$$\mathrm{Pr}\left\{|S|2E|S|+\sigma \sqrt{8x}+34.5ax\right\}e^x$$

for all $`x>0`$. It follows easily from inequality (3.6) that

(3.7)
$$E|S|^pK^p\left[(E|S|)^p+p^{p/2}\sigma ^p+p^pa^p\right]$$

for some universal constant $`K<\mathrm{}`$ and all $`p1`$, in fact, inequality (3.7) for all $`p`$ large enough and inequality (3.6) for all $`x>0`$ are equivalent up to constants. (We do not plan to keep track of constants in the derivation below and, therefore, we refrain from specifying a value for $`K`$ in (3.7).)

Proposition 3.1. Let $`\{Z_i\}`$ be as above, let $``$ be a countable class of functions such that $`Ef^2(Z_i)<\mathrm{}`$ and $`Ef(Z_i)=0`$ for all $`i`$. Then, in the notation from the previous paragraph,

(3.8)
$$E|S|^pK^p\left[(E|S|)^p+p^{p/2}\sigma ^p+p^pE\underset{i}{\mathrm{max}}\underset{f}{sup}\left|f(Z_i)\right|^p\right]$$

for all $`p1`$, where $`K`$ is a universal constant.

Proof. Set $`F:=sup_f|f|`$ and $`M^p:=83^pE\mathrm{max}_i|F(Z_i)|^p`$. Since the variables $`f(Z_i)`$ are centered, we can randomize by independent Rademacher variables $`\epsilon _i`$ independent of the $`Z`$ variables (at the price of increasing the value of the constant $`K`$). Set $`\stackrel{~}{S}:=sup_f\left|\epsilon _if(Z_i)\right|`$. Then,

$$|\stackrel{~}{S}|\underset{f}{sup}\left|\epsilon _if(Z_i)I_{F(Z_i)M}\right|+\underset{f}{sup}\left|\epsilon _if(Z_i)I_{F(Z_i)>M}\right|:=S_1+S_2,$$

and notice that, since $`ES_1^p2^{p+1}E|S|^p`$ (e.g., Lemmas 1.2.6 and 1.4.3 in de la Peña and Giné, 1999), inequality (3.7) gives

$$ES_1^pK^p\left[(E|S|)^p+p^{p/2}\sigma ^p+p^pM^p\right].$$

To estimate $`ES_2^p`$ we apply the original Hoffmann-Jørgensen inequality (from e.g., Ledoux and Talagrand (1991), (6.9) in page 156) to get

$$ES_2^p23^p\left(t_0^p+E\underset{i}{\mathrm{max}}F(Z_i)^p\right),$$

where $`t_0`$ is any number such that $`\mathrm{Pr}\{S_2>t_0\}(83^p)^1.`$ But the choice of $`M`$ implies that we can take $`t_0=0`$ because

$$\mathrm{Pr}\left\{S_2>0\right\}=\mathrm{Pr}\left\{\underset{i}{\mathrm{max}}F(Z_i)>M\right\}\frac{1}{83^p},$$

proving the proposition.

In what follows we will assume, just as above, that the kernels $`h_{i,j}`$, $`i,jn`$, are completely degenerate and define

(3.9)
$$D=(h_{i,j})_{L^2L^2}:=sup\{E\underset{i,j}{}h_{i,j}(X_i^{(1)},X_j^{(2)})f_i(X_i^{(1)})g_j(X_j^{(2)})$$

$$:E\underset{i}{}f_i^2(X_i^{(1)})1,E\underset{j}{}g_j^2(X_j^{(2)})1\}.$$

Theorem 3.2. There exists a universal constant $`K<\mathrm{}`$ such that, if $`h_{i,j}`$ are bounded canonical kernels of two variables for the independent random variables $`X_i^{(1)},X_j^{(2)}`$, $`i.j=1,\mathrm{},n`$, $`n𝐍`$, then

$`E|{\displaystyle \underset{1i,jn}{}}`$ $`h_{i,j}(X_i^{(1)},X_j^{(2)})|^pK^p[p^{p/2}\left({\displaystyle \underset{i,j}{}}Eh_{i,j}^2\right)^{p/2}+p^p(h_{i,j})_{L^2L^2}`$
$`+p^{3p/2}[E_1\underset{i}{\mathrm{max}}\left({\displaystyle \underset{j}{}}E_2h_{i,j}^2\right)^{p/2}+E_2\underset{j}{\mathrm{max}}\left({\displaystyle \underset{i}{}}E_1h_{i,j}^2\right)^{p/2}]`$
$`+p^{2p}E\underset{i,j}{\mathrm{max}}|h_{i,j}|^p]`$
for all $`p2`$.

Inequality (3.10) is strictly better than the right hand side inequality in (2.9) for $`m=2`$, that is, than (3.3).

Proof. Inequality (3.1) applied conditionally on the variables $`X_i^{(1)}`$ gives

(3.11)
$$E\left|\underset{i,j}{}h_{i,j}\right|^pK^pE_1\left(p^{p/2}\left[\underset{j}{}E_2\left(\underset{i}{}h_{i,j}\right)^2\right]^{p/2}+p^pE_2\underset{j}{}\left|\underset{i}{}h_{i,j}\right|^p\right).$$

To bound the first summand at the right hand side of (3.11) we first notice that

$`\left[{\displaystyle \underset{j}{}}E_2\left({\displaystyle \underset{i}{}}h_{i,j}\right)^2\right]^{1/2}`$
$`=sup[{\displaystyle \underset{i}{}}E_2{\displaystyle \underset{j}{}}h_{i,j}(X_i^{(1)},X_j^{(2)})f_j(X_j^{(2)}):E{\displaystyle \underset{j}{}}f_j^2(X_j^{(2)})1],`$
where in fact, the sup is taken only over a countable subset of mean zero vector functions $`(f_1,\mathrm{},f_n)`$ dense in the unit ball of $`L_2((X_1^{(2)}))\times \mathrm{}\times L_2((X_n^{(2)}))`$ for the seminorm $`|(f_j)_{jn}|=\left(Ef_j^2(X_j^{(2)})\right)^{1/2}`$. \[To see this, first apply duality in $`\mathrm{}_2^n`$ and then in $`L_2((X_j^{(2)}))`$ for each $`j`$.\] So we can apply (3.8) to $`Z_i=(h_{i,j})_{j=1}^n`$ with $`f(Z_i)=E_2_jh_{i,j}(X_i^{(1)},X_j^{(2)})f_j(X_j^{(2)})`$. In this case, the right hand side terms in (3.8) can be estimated as follows. The first term:

$$(E|S|)^2E|S|^2=E\left[\underset{j}{}E_2\left(\underset{i}{}h_{i,j}\right)^2\right]=E\underset{i,j}{}h_{i,j}^2=C^2.$$

For the second we see that, since, by the previous duality argument,

$$\underset{i}{}E_1\left(E_2\underset{j}{}h_{i,j}(X_i^{(1)},X_j^{(2)})f_j(X_j^{(2)})\right)^2(h_{i,j})_{L^2L^2}^2=D^2,$$

it follows that $`\sigma D`$. The third term:

$`E\underset{i}{\mathrm{max}}\underset{f}{sup}|f(Z_i)|^p`$ $`=`$ $`E_1\underset{i}{\mathrm{max}}\underset{E{\scriptscriptstyle f_j^2}1}{sup}\left[E_2{\displaystyle \underset{j}{}}h_{i,j}(X_i^{(1)},X_j^{(2)})f_j(X_j^{(2)})\right]^p`$
$``$ $`E_1\underset{i}{\mathrm{max}}\underset{E{\scriptscriptstyle f_j^2}1}{sup}\left[\left(E_2{\displaystyle \underset{j}{}}h_{i,j}^2\right)^{1/2}\left(E{\displaystyle \underset{j}{}}f_j^2\right)^{1/2}\right]^p`$
$`=`$ $`E_1\underset{i}{\mathrm{max}}\left(E_2{\displaystyle \underset{j}{}}h_{i,j}^2\right)^{p/2}.`$
Thus, inequality (3.8) gives

$`p^{p/2}`$ $`E\left({\displaystyle \underset{j}{}}E_2\left({\displaystyle \underset{i}{}}h_{i,j}\right)^2\right)^{p/2}`$
$`K^p[p^{p/2}C^p+p^pD^p+p^{3p/2}E_1\underset{i}{\mathrm{max}}\left(E_2{\displaystyle \underset{j}{}}h_{i,j}^2\right)^{p/2}].`$
To estimate the second summand at the right hand side of (3.11), we apply (3.1) once more and obtain

(3.13) $`p^pE_2{\displaystyle \underset{j}{}}E_1\left|{\displaystyle \underset{i}{}}h_{i,j}\right|^p`$
$`K^p\left[p^{3p/2}E_2{\displaystyle \underset{j}{}}\left({\displaystyle \underset{i}{}}E_1h_{i,j}^2\right)^{p/2}+p^{2p}E{\displaystyle \underset{i,j}{}}\left|h_{i,j}\right|^p\right].`$
Thus, to complete the proof of the theorem it suffices to replace the sum in $`j`$ and the sum in $`i,j`$ respectively by maxima in $`j`$ and in $`i,j`$ on the terms at the right hand side of this inequality. But this is an easy exercise of application of inequality (2.6). For completeness sake, here it is. Applying (2.6) with $`\alpha =3`$ and $`p/2`$ instead of $`p`$, the first term at the right of (3.13) bounds as:

$`p^{3p/2}E_2{\displaystyle \underset{j}{}}\left({\displaystyle \underset{i}{}}E_1h_{i,j}^2\right)^{p/2}`$
$`2^{1+3p/2}(1+(p/2)^3)[\left({\displaystyle \frac{p}{2}}\right)^{3p/2}E_2\underset{j}{\mathrm{max}}\left({\displaystyle \underset{i}{}}E_1h_{i,j}^2\right)^{p/2}+C^p],`$
which produces the conversion of the sum into a maximum without increasing the order of the multiplicative constant in front of $`C^p`$. The second term in (3.13) requires two steps. First, we apply (2.6) for $`p/2`$ and $`\alpha =4`$, conditionally on $`\{X_i^{(1)}\}`$:

(3.14) $`p^{2p}E{\displaystyle \underset{i,j}{}}\left|h_{i,j}\right|^p`$
$`2^{2p+1}(1+(p/2)^4)E_1{\displaystyle \underset{i}{}}\left[\left({\displaystyle \frac{p}{2}}\right)^{2p}E_2\underset{j}{\mathrm{max}}|h_{i,j}|^p+\left({\displaystyle \underset{j}{}}E_2h_{i,j}^2\right)^{p/2}\right].`$
We apply (2.6) with respect to $`E_1`$, for $`p/2`$ and $`\alpha =0`$, to the second term at the right hand side of (3.14) and we obtain the bound

$$2^{2p+3}(1+(p/2)^4)[E_1\underset{i}{\mathrm{max}}\left(\underset{j}{}E_2h_{i,j}^2\right)^{p/2}+C^p],$$

which is in terms of some of the quantities appearing at the right hand side of (3.10) and with coefficients of lower order. As for the first term at the right of (3.14), we apply (2.6) with respect to $`E_1`$, again for $`p/2`$ and $`\alpha =4`$, and get it bounded by

$$2^{4p+2}(1+(p/2)^4)^2\left[\left(\frac{p}{2}\right)^{2p}E\underset{i,j}{\mathrm{max}}|h_{i,j}|^p+E_2\left(\underset{i}{}E_1\underset{j}{\mathrm{max}}h_{i,j}^2\right)^{p/2}\right].$$

Here the first term coincides with the last one in (3.10), and the second is dominated by

$$K^pE_2\left[\underset{j}{}\left(\underset{i}{}E_1h_{i,j}^2\right)\right]^{p/2}.$$

Applying inequality $`(R_1)`$ with respect to $`E_2`$ this is in turn dominated by

$$K^p\left(\frac{p}{2}\right)^{p/2}E_2\underset{j}{}\left(\underset{i}{}E_1h_{i,j}^2\right)^{p/2}+K^pC^p,$$

and the first summand has alredy been handled above (first term at the right of (3.13)). Collecting terms we obtain inequality (3.10).

Theorem 3.2 gives the following moment inequality and exponential bound for bounded kernels.

Theorem 3.3. There exist universal constants $`K<\mathrm{}`$ and $`L<\mathrm{}`$ such that, if $`h_{i,j}`$ are bounded canonical kernels of two variables for the independent random variables $`X_i^{(1)},X_j^{(2)}`$, $`i.j=1,\mathrm{},n`$, and if $`A`$, $`B`$, $`C`$, $`D`$ are as defined in (3.4) and (3.9), then

(3.15)
$$E\left|\underset{1i,jn}{}h_{i,j}(X_i^{(1)},X_j^{(2)})\right|^pK^p\left[p^{p/2}C^p+p^pD^p+p^{3p/2}B^p+p^{2p}A^p\right]$$

for all $`p2`$ and, equivalently,

(3.16) $`\mathrm{Pr}\left\{\right|{\displaystyle \underset{i,jn}{}}h_{i,j}(X_i^{(1)},X_j^{(2)})|`$ $``$ $`x\}`$
$``$ $`L\mathrm{exp}\left[{\displaystyle \frac{1}{L}}\mathrm{min}({\displaystyle \frac{x^2}{C^2}},{\displaystyle \frac{x}{D}},{\displaystyle \frac{x^{2/3}}{B^{2/3}}},{\displaystyle \frac{x^{1/2}}{A^{1/2}}})\right]`$
for all $`x>0`$.

The moment inequality is immediate from Theorem 3.2 and the equivalence with the exponential inequality follows just like (3.2) follows from (3.1) in one direction, and, in the other, by integration of tail probabilities.

Next we comment on the exponential inequality. For comparison purposes, let $`h_{i,j}(X_i^{(1)},X_j^{(2)})=g_ig_j^{}x_{i,j}`$ with $`g_i,g_j^{}`$ independent standard normal. In this case,

$$C^2=\underset{i,j}{}x_{i,j}^2\mathrm{and}D=sup\{\underset{i,j}{}u_iv_jx_{i,j}:u_i^21,v_j^21\}$$

and the Gaussian chaos inequality in Latała (1999) yields the existence of universal constants $`0<k<K<\mathrm{}`$ such that

$$\mathrm{Pr}\left\{\left|\underset{i,j}{}h_{i,j}\right|K(Cx^{1/2}+Dx)\right\}e^x$$

and

$$\mathrm{Pr}\left\{\left|\underset{i,j}{}h_{i,j}\right|k(Cx^{1/2}+Dx)\right\}ke^x.$$

By the central limit theorem for canonical $`U`$-statistics, this implies that the coefficients of $`x^2`$ and $`x`$ in (3.16) are correct (except for $`K`$). It is natural to have terms in smaller powers of $`x`$ in (3.16) e.g., by comparison with Bernstein’s inequality for sums of independent random variables. In fact, the term in $`x^{1/2}`$ cannot be avoided, at least up to logarithmic factors. To see this, consider the product $`V`$ of two independent centered Poisson variables with parameter 1, which is the limit in law of $`V_n=_{i,jn}X_i^{(n)}Y_j^{(n)}`$ where $`X_i^{(n)}`$ and $`Y_j^{(n)}`$ are centered Bernoulli random variables with parameter $`p=1/n`$; then, for large $`x`$, the tail probabilities of $`V`$ are of the order of $`\mathrm{exp}(x^{1/2}\mathrm{log}x)`$, and therefore, so are those of $`V_n`$ for large $`n`$. Also, note that the term in $`x^{2/3}`$ in the exponent corresponds, up to logarithmic factors, to the tail probabilities of the product of two independent random variables, one normal and the other centered Poisson.

If $`X,Y,X_i^{(1)},X_j^{(2)}`$ are i.i.d., $`h_{i,j}=h`$ for all $`i,j`$ and $`h`$ is completely degenerate, then the parameters defined by (3.4) and (3.8) become:

$$A=h_{\mathrm{}},B^2=n\left(E_Yh^2(x,Y)_{\mathrm{}}+E_Xh^2(X,y)_{\mathrm{}}\right),C^2=n^2Eh^2$$

and

$`D`$ $`=`$ $`nsup\{Eh(X,Y)f(X)g(Y):Ef^2(X)1,Eg^2(Y)1\}`$
$`:=`$ $`nh_{L_2L_2},`$
where $`h_{L_2L_2}`$ is the norm of the operator of $`L_2((X))`$ with kernel $`h`$. Then, inequalities (3.15) and (3.16) become:

Corollary 3.4. Under the above assumptions, there exist universal constants $`K<\mathrm{}`$, $`L<\mathrm{}`$ such that, for all $`n𝐍`$ and $`p2`$,

$`E|{\displaystyle \underset{i,jn}{}}h(X_i^{(1)},X_j^{(2)})|^pK^p[p^{p/2}n^p(Eh^2)^{p/2}+p^pn^ph_{L_2L_2}^p`$
(3.17) $`+p^{3p/2}n^{p/2}(E_Yh^2_{\mathrm{}}+E_Xh^2_{\mathrm{}})^{p/2}+p^{2p}h_{\mathrm{}}^p]`$
and

$`\mathrm{Pr}\left\{\right|{\displaystyle \underset{i,jn}{}}h(X_i^{(1)},X_j^{(2)})|x\}K\mathrm{exp}[{\displaystyle \frac{1}{K}}\mathrm{min}({\displaystyle \frac{x^2}{n^2Eh^2}},`$
(3.18) $`\text{aaaaaaaa}{\displaystyle \frac{x}{nh_{L_2L_2}}},{\displaystyle \frac{x^{2/3}}{\left[n(E_Yh^2_{\mathrm{}}+E_Xh^2_{\mathrm{}})\right]^{1/3}}},{\displaystyle \frac{x^{1/2}}{h_{\mathrm{}}^{1/2}}})].`$
Inequality (3.18) provides an analogue of Bernstein’s inequality for degenerate $`U`$-statistics of order 2: note that inequalities (3.15), (3.16), (3.17) and (3.18) can all be ‘undecoupled’ using the result of de la Peña and Montgomery-Smith’s (1995). It should also be noted that this exponential inequality for canonical $`U`$-statistics is strong enough to imply the sufficiency part of the law of the iterated logarithm for these objects: this can be seen by applying it to the kernels $`h_n`$ in Steps 7 and 8 of the proof of Theorem 3.1 in Giné, Kwapień, Latała and Zinn (1999) (and using some of the computations there for the parameters $`C`$ to $`D`$). Neither inequality (3.5) nor any of the previously published inequalities for $`U`$-statistics can do this.

Acknowledgement. We thank Stanislaw Kwapień for several useful conversations.

References

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| Evarist Gin$`\stackrel{´}{\text{e}}`$ | Rafał Latała |
| --- | --- |
| Department of Mathematics | Institute of Mathematics |
| and Department of Statistics | Warsaw University |
| University of Connecticut | Banacha 2 |
| Storrs, CT 06269 | 02-097 Warszawa |
| USA | Poland |
| gine@uconnvm.uconn.edu | rlatala@mimuw.edu.pl |

| Joel Zinn |
| --- |
| Department of Mathematics |
| Texas A&M University |
| College Station, TX 77843 |
| jzinn@math.tamu.edu |


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# BNL-NT-00/5LBNL-45248 Wong’s equations and the small 𝑥 effective action in QCD

## 1 Introduction

One of the more interesting open questions in QCD is the behavior of cross–sections at very high energies . In the last decade, a kinematic window has opened up at colliders where $`Q^2\mathrm{\Lambda }_{QCD}^2`$ but $`x=Q^2/s1`$. The physics in this regime is non–perturbative because the field strengths at small $`x`$ are large. However, it is also weak coupling physics since $`\alpha _S(Q^2)1`$. Further, since the density of partons is large at small $`x`$, classical field methods are applicable .

An effective field theory approach can be used to study the physics of small $`x`$ modes in QCD  111For alternative approaches, see for example, Ref.  and references therein, and Ref.  and references therein. These will not be discussed in this paper. . The small $`x`$ effective action is obtained by successively integrating out the more static modes at larger values of $`x`$. The measure for this action is represented by a weight corresponding to the color charge density of the higher $`x`$ modes. As one integrates out higher $`x`$ modes, the form of the action is maintained, while the weight satisfies a Wilsonian non–linear renormalization group (RG) equation . If the parton density is not too large, the RG equation can be linearized, and the resulting equation is the well known BFKL equation. The BFKL equation is a renormalization group equation that sums the leading logarithms in $`\alpha _S\mathrm{ln}(1/x)`$ . In the double log limit of small $`x`$ and large $`Q^2`$, the Wilson RG can be simplified, and one obtains a series in inverse powers of $`Q^2`$, where the leading term is the small $`x`$ DGLAP equation  and the first sub–leading term agrees with the expression derived by Gribov, Levin and Ryskin , and by Mueller and Qiu .

The effective action approach therefore reproduces the standard linear evolution equations of perturbative QCD in the limit of low parton densities. The truly interesting and unknown regime however is the non–linear regime of high parton densities where one might hope to predict novel phenomena . What the correct effective action is in the high density regime should therefore be a matter of some interest.

In this paper, we will discuss an alternative gauge invariant form to the gauge invariant action discussed in Ref. . The motivation for this form of the effective action came from our recent work in formulating a many body world line formalism for the one loop effective action in QCD . Briefly, the difference between the two actions is in the term describing the coupling of the small $`x`$ gauge field modes to the large $`x`$ modes represented by a color charge density $`\rho `$. In the work of Jalilian–Marian, Kovner, Leonidov, and Weigert (JKLW), this term is expressed as

$`S_{int}^{JKLW}\mathrm{Tr}\left(\rho W_\mathrm{},\mathrm{}\right),`$
where $`W`$ is an adjoint matrix corresponding to a path ordered exponential of the gauge field $`A^{}`$ in the light cone direction $`x^+`$. We propose instead that this term be

$`S_{int}\mathrm{Tr}\left(\rho \mathrm{ln}W_\mathrm{},\mathrm{}\right),`$
replacing $`W\mathrm{ln}W`$ in the effective action.

The earlier form of $`S_{int}`$ was chosen primarily because it is a gauge invariant generalization of the coupling between hard and soft modes. The motivation for the latter form comes from the background field method and the eikonal approximation. The one loop effective action, in the background field method, can be expressed as $`\mathrm{ln}[\mathrm{det}(D^2)]\mathrm{Tr}\mathrm{ln}[D^2]`$, where $`D`$ is the usual covariant derivative. If, for instance, one integrated out hard fermions in the soft background gauge field, the eigenvalues of the determinant would correspond to solutions of the Dirac equation in the eikonal approximation. These correspond to path ordered phases of the component of the soft gauge field, conjugate to the hard current, in the fundamental representation . Similarly, performing an eikonal separation of hard and soft gauge fields, one obtains path ordered exponentials (in the adjoint representation) of the soft gauge fields (see, for example, appendix B of the first paper in Ref. ). Since the effective action is the logarithm of the determinant, one can thus anticipate the appearance of the logarithm of the path ordered phase in the effective action. This form of the effective action is also gauge invariant. We will show later that the $`\mathrm{ln}(W)`$ action has the nice feature that one can derive the BFKL equation from it efficiently–certain terms that one needs to argue to be zero in the $`W`$ form of the effective action are absent in the $`\mathrm{ln}(W)`$ action.

The subsequent discussion is organized as follows. In section 2, we will discuss the form of the small $`x`$ effective action discussed in Ref. . In section 3, we will discuss Wong’s equations and motivate an alternative form for the small $`x`$ effective action. We will show that the form of the action that we propose is also consistent with Wong’s equations and that the two different currents arising from the two actions correspond to different boundary conditions for solving Wong’s equations. In section 4, we will show that our form of the effective action also reproduces the BFKL equation. We end this paper with a brief summary in section 5. Some technical details are contained in three appendices.

## 2 The Small $`x`$ Effective Action

In this section, we will review the effective action and Wilson renormalization group approach to small $`x`$ QCD as developed in Refs. . We refer the reader to these papers for more details.

We start with the following action  which is the gauge invariant generalization of McLerran-Venugopalan effective action first proposed in . In the infinite momentum frame, and in Light Cone gauge $`A^+=0`$, one can write

$`S`$ $`=`$ $`{\displaystyle \frac{1}{4}}{\displaystyle d^4xG_a^{\mu \nu }G_{\mu \nu }^a}+i{\displaystyle d^2x_{}F[\rho ^a(x_{})]}`$ (1)
$`+`$ $`{\displaystyle \frac{i}{N_c}}{\displaystyle d^2x_{}𝑑x^{}\delta (x^{})\mathrm{Tr}\left(\rho (x_{})W_\mathrm{},\mathrm{}[A^{}](x^{},x_{})\right)},`$
where $`W`$ is the Wilson line in the adjoint representation along the $`x^+`$ axis

$`W_\mathrm{},\mathrm{}[A^{}](x^{},x_{})=\widehat{P}\mathrm{exp}\left[ig{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑x^+A_a^{}(x^+,x^{},x_{})T_a\right].`$ (2)
and the label $`\widehat{P}`$ denotes the path-ordered exponential.

Taking the saddle point of the effective action, we obtain the Yang–Mills equations

$`D_\mu G_a^{\mu \nu }=\delta ^{\nu +}J_a^+,`$ (3)
with the current

$`J_a^+(x)={\displaystyle \frac{g}{N_c}}\delta (x^{})\mathrm{Tr}\left[T_aW_{x^+,\mathrm{}}[A^{}]\rho (x_{})W_{\mathrm{},x^+}[A^{}]\right]`$ (4)
satisfying the boundary condition

$`J_a^+(x^+=\mathrm{})={\displaystyle \frac{g}{N_c}}\delta (x^{})\mathrm{Tr}\left[T_a\rho (x_{})W_\mathrm{},\mathrm{}[A^{}]\right]`$ (5)
The first term in the expansion of the Wilson line in the action is

$`S_{\mathrm{int}}=g{\displaystyle d^4xA^{}\rho (x_{})\delta (x^{})}`$ (6)
used in .

To derive the general evolution equation, one first solves the classical equations of motion, computes quantum fluctuations in the background of the classical field (semi-classical approximation), and separates these fluctuations according to their longitudinal momentum as

$`A_\mu ^a(x)=b_\mu ^a(x)+\delta A_\mu ^a(x)+a_\mu ^a(x),`$ (7)
where $`b_\mu ^a(x)`$ is the solution of the classical equations of motion, $`\delta A_\mu ^a(x)`$ is the fluctuation field containing longitudinal momentum modes $`k^+`$ that are constrained to be $`p^+<k^+<P^+`$. The upper cutoff $`P^+`$ is the longitudinal momentum of the fast moving charges while the lower cutoff $`p^+`$ is the momentum scale of the soft fluctuations. These cut-offs are chosen to be such that $`\alpha _S\mathrm{ln}(P^+/p^+)1`$ since quantum fluctuations give rise to such logarithms . This constraint thus requires that the fluctuations with momentum modes $`p^+<k^+<P^+`$ are small, and can therefore be integrated out to obtain the effective action for the soft (in longitudinal momenta alone!) fields $`a^\mu `$. This procedure can be iterated as one goes to smaller $`x`$ leading to a Wilsonian RG equation .

The physics underlying this procedure is simple. One starts with some initial color charge density at large $`x`$ represented by $`\rho `$. In order to compute a quantity with this action, one averages over all color configurations represented by the statistical weight

$`Z=\mathrm{exp}\{F[\rho ]\}.`$
We then integrate out the hard fluctuations with the constraint discussed above. This changes the color charge density and the statistical weight for their configurations. The soft fluctuations, with logarithmic accuracy, “see” the induced charge density as a part of the color charge density to which they are coupled. As one goes to smaller and smaller $`x`$ (longer and longer wavelength gluons) one correspondingly includes more of the hard fluctuations in the color charge density. One obtains the following renormalization group equation for the change of the statistical weight $`Z`$ with $`x`$ :

$`{\displaystyle \frac{dZ}{d\mathrm{ln}(1/x)}}=\alpha _S\left[{\displaystyle \frac{1}{2}}{\displaystyle \frac{\delta ^2}{\delta \rho _\mu \delta \rho _\nu }}\left(Z\chi _{\mu \nu }\right){\displaystyle \frac{\delta }{\delta \rho _\mu }}\left(Z\sigma _\mu \right)\right],`$ (8)
where $`\sigma [\rho ]`$ and $`\chi [\rho ]`$ are respectively one and two point functions obtained by integrating over $`\delta A`$ for fixed $`\rho `$. The one point function $`\sigma `$ includes the virtual corrections to $`F[\rho ]`$ while the two point function $`\chi `$ includes the real contributions to $`F[\rho ]`$. Both of these can be computed explicitly from the small fluctuations propagator in the classical background field. In the weak field limit, the functions $`\sigma `$ and $`\chi `$ simplify, and the resulting renormalization group equation is the BFKL equation.

In the following section, we will interpret the color charge density $`\rho `$ of the hard (large $`k^+`$) modes as the density of classical color charges moving in the field of the soft modes. Such an interpretation arises naturally when one computes the one loop effective action in QCD for soft modes using the background field method . One expects therefore that these classical charges must satisfy Wong’s equation for the motion of color charges in a non–Abelian background field. These equations are discussed below where a new form of the effective action is proposed.

## 3 Wong’s equations and an alternative effective action

In Ref. , we developed a many body formalism for the one loop effective action in QCD. We employed the world line formalism  to re–write the path ordered exponential as a quantum mechanical path integral over world lines. The equations of motion for the corresponding point particle Lagrangian satisfies Wong’s equations for the motion of a classical charged particle in a non–Abelian background field . These are

$`p^\mu `$ $`=`$ $`m{\displaystyle \frac{dx^\mu }{d\tau }}=mv^\mu `$ (9)
$`{\displaystyle \frac{dp^\mu }{d\tau }}`$ $`=`$ $`v_\nu Q^aG_a^{\mu \nu }`$ (10)
$`D^\nu G_{\nu \mu }`$ $`=`$ $`j_\mu `$ (11)
where

$`j_\mu (x)={\displaystyle 𝑑\tau Q(\tau )v_\mu (\tau )\delta ^4\left[xz(\tau )\right]}.`$ (12)
and

$`\dot{Q}=ig[Q,v_\mu A^\mu ]`$ (13)
The generalization to a system of particles is straightforward.

Without explicitly going over to the world line approach, one can write down the following many-body classical action

$`S_{\mathrm{Wong}}={\displaystyle \frac{1}{4}}{\displaystyle d^4xG_{\mu \nu }^aG_a^{\mu \nu }}{\displaystyle \underset{I=1}{\overset{K}{}}}{\displaystyle 𝑑\tau m_0^I\sqrt{v_\mu ^Iv_I^\mu }}+{\displaystyle \frac{i}{N_c}}{\displaystyle \underset{I=1}{\overset{K}{}}}\mathrm{Tr}\left\{Q_I\mathrm{ln}W_I\right\},`$
(14)
where $`K`$ is the number of Wong’s particles and $`I`$ is the particle label. Also

$`W_I=\widehat{P}\mathrm{exp}\left(ig{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑\tau v_\mu ^IA_a^\mu (x_I^\mu (\tau ))T_a^I\right).`$ (15)
This action is gauge invariant under gauge transforms $`U`$ that satisfy the constraint $`U(\mathrm{})=U(\mathrm{})`$. We will define “$`\mathrm{ln}W`$” shortly. As shown in appendix A, the Wong equations in Eq. (11) can be derived from Eq. (14) above.

In an infinite momentum frame (relevant for the small $`x`$ problem), the momenta of the particles are not dynamical. They are static light cone sources–$`v^\mu =\delta ^{\mu +}`$. The kinetic part of the action in $`S_{\mathrm{Wong}}`$ therefore drops out to yield

$`S_{\mathrm{Wong}}={\displaystyle \frac{1}{4}}{\displaystyle d^4xG_{\mu \nu }^aG_a^{\mu \nu }}+{\displaystyle \frac{i}{N_c}}{\displaystyle \underset{I=1}{\overset{K}{}}}\mathrm{Tr}\left\{Q_I\mathrm{ln}W_I\right\}.`$ (16)
We assume now that the initial $`x_I^{}=0`$ is the same for all particles. In the infinite momentum frame, $`P^+\mathrm{}`$, this assumption is justified because the particles can be viewed as being confined to a Lorentz contracted sheet in the transverse plane of width $`1/P^+`$. This implies that the particles can be labeled using their transverse positions $`x_{}^I`$ only. Using

$`\rho _a(x_{})={\displaystyle \underset{I=1}{\overset{K}{}}}\delta (x_{}x_{}^I)Q_a^I,`$ (17)
one can assume $`\rho ^a(x_{})`$ to be continuous (and large). One can therefore make an educated guess that the coarse grained effective action of the wee parton modes will be

$`S_{\mathrm{ln}W}={\displaystyle \frac{1}{4}}{\displaystyle d^4xG_{\mu \nu }^aG_a^{\mu \nu }}+{\displaystyle \frac{i}{N_c}}{\displaystyle d^2x_{}\mathrm{Tr}\left\{\rho (x_{})\mathrm{ln}W(x_{})\right\}}`$
(18)
where now

$`W(x_{})=\widehat{P}\mathrm{exp}\left(ig{\displaystyle _{\mathrm{}}^{\mathrm{}}}𝑑x^+A_a^{}(x^+,0,x_{})T_a\right).`$ (19)
Just as in Eq. (1), the action $`S_{\mathrm{ln}W}`$ should contain an identical functional $`F[\rho ]`$ representing the likelihood of different $`\rho `$ configurations. This term will only be implicit in what follows since it is not relevant to the concerns of this paper.

We will now show explicitly that the charge obtained from the action $`S_{\mathrm{ln}W}`$ is Hermitean and traceless, and therefore an element of the Lie algebra.

We first define the log of an operator as the power series

$`\mathrm{ln}W=\mathrm{ln}(1(1W)){\displaystyle \underset{k=1}{\overset{\mathrm{}}{}}}{\displaystyle \frac{1}{k}}(1W)^k.`$ (20)
Taking the functional derivative of $`\mathrm{ln}W`$ with respect to $`A`$ gives

$`{\displaystyle \frac{\delta }{\delta A_\mu ^a}}\mathrm{ln}W={\displaystyle \underset{k=1}{\overset{\mathrm{}}{}}}{\displaystyle \frac{1}{k}}{\displaystyle \underset{s=0}{\overset{k1}{}}}(1W)^s{\displaystyle \frac{\delta W}{\delta A_\mu ^a}}(1W)^{ks1}`$ (21)
After some straightforward algebra, this can be written as

$`{\displaystyle \frac{\delta }{\delta A_\mu ^a}}\mathrm{ln}W={\displaystyle _0^1}𝑑\lambda {\displaystyle \frac{1}{1(1W)\lambda }}{\displaystyle \frac{\delta W}{\delta A_\mu ^a}}{\displaystyle \frac{1}{1(1W)\lambda }}`$ (22)
Then from the relation

$`J_a^\mu ={\displaystyle \frac{i}{N_c}}\mathrm{Tr}\left(\rho {\displaystyle \frac{\delta }{\delta A_\mu ^a}}\mathrm{ln}W\right),`$ (23)
we find that the color charge is given by

$`Q(x^+)`$ $`=`$ $`{\displaystyle d^3xJ^+(x)}`$ (24)
$`=`$ $`{\displaystyle d^3xW(x^+,\mathrm{})\left[_0^1𝑑\lambda \frac{1}{B(\lambda )}\rho \frac{1}{B(\lambda )}\right]W(\mathrm{},x^+)}`$
where we used the shorthand

$`B(\lambda )1(1W)\lambda `$ (25)
and

$`W(x_f^+,x_i^+)=\widehat{P}\mathrm{exp}\left(ig{\displaystyle _{x_i^+}^{x_f^+}}𝑑x^+A_a^{}(x^+,x^{},x_{})T_a\right)`$ (26)
We also defined $`WW(\mathrm{},\mathrm{})`$.

It is easy to check that the current density $`J^+`$ satisfies

$`{\displaystyle \frac{J^+}{x^+}}`$ $`=`$ $`ig[J^+,A^{}],`$ (27)
and hence is a solution of the Wong’s equation with a “boundary” condition given by

$`J^+(x^+=\mathrm{})={\displaystyle _0^1}𝑑\lambda B^1(\lambda )\rho B^1(\lambda )W`$ (28)
Note that $`1/B(\lambda )=B^1(\lambda )`$.

To confirm that $`J^+(x)`$ is an element of the Lie-Algebra, first consider the trace. We have

$`\mathrm{Tr}\left(J^+(x)\right)`$ $`=`$ $`\rho ^b\mathrm{Tr}\left(W\left[{\displaystyle _0^1}𝑑\lambda \left(B^1(\lambda )\right)^2T_b\right]\right),`$ (29)
since $`W`$ and $`B`$ commute. One can show that

$`{\displaystyle \frac{d}{d\lambda }}B^1(\lambda )=(1)\left(B^1(\lambda )\right)^2(W1).`$ (30)
Consequently,

$`\mathrm{Tr}\left(J^+(x)\right)`$ $`=`$ $`\rho ^b\mathrm{Tr}\left(W\left[{\displaystyle _0^1}𝑑\lambda (B^1(\lambda ))^2T_b\right]\right)`$ (31)
$`=`$ $`\rho ^b\mathrm{Tr}\left(W(1W)^1\left(B^1(1)B^1(0)\right)T_b\right)`$
$`=`$ $`\rho ^b\mathrm{Tr}\left(W(1W)^1(W^11)T_b\right)`$
$`=`$ $`\rho ^b\mathrm{Tr}\left(T_b\right)=0.`$
We shall now show that $`J`$ is also Hermitean. Consider

$`(J^+(x))^{}`$ $`=`$ $`\rho ^b\left(W(x^+,\mathrm{})\left[{\displaystyle _0^1}𝑑\lambda B^1(\lambda )T_bB^1(\lambda )\right]W(\mathrm{},x^+)\right)^{}`$ (32)
$`=`$ $`\rho ^bW(x^+,\mathrm{})\left[{\displaystyle _0^1}𝑑\lambda (B^1(\lambda ))^{}T_b(B^1(\lambda ))^{}\right]W(\mathrm{},x^+)`$
$`=`$ $`\rho ^bW(x^+,\mathrm{})\left[{\displaystyle _0^1}𝑑\lambda W^{}(B^1(\lambda ))^{}T_bW^{}(B^1(\lambda ))^{}\right]W(\mathrm{},x^+).`$
Let us now focus on the term in the square brackets. Since

$`W^{}=W(\mathrm{},\mathrm{})=W^1,`$ (33)
this term can be re-written as

$`{\displaystyle _0^1}𝑑\lambda (B^1(\lambda )W)^{}T_b(B^1(\lambda )W)^{}.`$ (34)
Here one has used the relation $`WB^1=B^1W`$. Performing the change of variable $`\lambda 1\lambda `$, one can show that

$`(B^1W)=(B^1)^{}.`$ (35)
Thus,

$`(J^+(x))^{}`$ $`=`$ $`\rho ^bW(x^+,\mathrm{}){\displaystyle _0^1}𝑑\lambda \left[(B^1(\lambda )W)^{}T_b(B^1(\lambda )W)^{}\right]W(\mathrm{},x^+),`$ (36)
$`=`$ $`\rho ^bW(x^+,\mathrm{}){\displaystyle _0^1}𝑑\lambda \left[B^1(\lambda )T_bB^1(\lambda )\right]W(\mathrm{},x^+),`$
$`=`$ $`J^+(x).`$
We have now explicitly shown above that $`J^+`$ (and hence $`Q`$) is both Hermitean and traceless. It is therefore an element of the Lie Algebra. In general, it is possible, if non–trivial, to show that $`\mathrm{ln}(W)`$ itself is a member of the Lie algebra . The charge obtained from Eq. (4) is also an element of the Lie Algebra. It is easy to see that the color components of the color charge $`J_a^+`$ are real and therefore, the color charge matrix defined as $`J_\mu =\frac{1}{N_c}J_\mu ^aT^a`$ is Hermitean and traceless. Both $`S_W`$ and $`S_{\mathrm{ln}W}`$ lead to Wong’s equations, but with a different current $`J_\mu `$. This difference is due to imposing different “boundary” conditions at $`\tau =\mathrm{}`$ when solving the Wong’s equations (13) as given by (5) and (28). It should be noted that the boundary condition in (28) is more complicated than (5), and involves the non–trivial task of inverting the operator $`B(\lambda )`$. It is important to realize that the two different currents may describe different physics.

## 4 The $`\mathrm{ln}W`$ action and the BFKL equation

We will now show that the form of the action in Eq. (18) also reproduces the BFKL equation. Since the two actions differ only by the form of the Wilson line term, we will focus on the expansion of the Wilson line term in the two actions. To reproduce the Wilsonian renormalization group evolution, we need to keep terms that are quadratic in the hard fluctuations (the field $`\delta A^\mu `$ in Eq. (7)). The leading order non-trivial contribution therefore comes from the cubic terms in the action. (The contribution from quartic terms to the evolution is sub–leading in DIS.)

The difference between the two actions is

$`\mathrm{\Delta }SS_WS_{\mathrm{ln}W}=\mathrm{Tr}\left(\rho [W\mathrm{ln}W]\right)`$ (37)
where $`\rho =\rho ^aT_a`$ and $`\mathrm{ln}W`$ is defined as in Eq. (20) to be

$`\mathrm{ln}W\mathrm{ln}[1(1W)]=\mathrm{Tr}\left(\rho [(1W)+{\displaystyle \frac{1}{2}}(1W)^2+{\displaystyle \frac{1}{3}}(1W)^3+\mathrm{}]\right).`$ (38)
The integration over the spatial variables $`x^{}`$ and $`x_{}`$ and the convolution with $`\delta (x^{})`$ is implicit in the trace above. The difference between the two actions is then

$`\mathrm{\Delta }S=\mathrm{Tr}\left(\rho [{\displaystyle \frac{1}{2}}(1W)^2+{\displaystyle \frac{1}{3}}(1W)^3+\mathrm{}]\right),`$ (39)
where $`1W`$, from Eq. (2) can be expanded as $`1W=igA^{}+(g^2/2)\widehat{P}(A^{})^2+\mathrm{}`$. Again, the integral over $`x^+`$ is implicit in the expansion, with the symbol $`\widehat{P}`$ denoting the time ordering in $`x^+`$. Potential differences between the two actions will show up at order $`A^2`$. At this order 222We use the following conventions for the trace of adjoint matrices: $`\mathrm{Tr}(T^aT^b)=N_c\delta _{ab}`$ and $`\mathrm{Tr}(T^aT^bT^c)=\frac{iN_c}{2}f_{abc}`$.,

$`\mathrm{\Delta }S(A^2)\mathrm{Tr}\left(\rho (A^{})^2\right)\rho _af_{abc}{\displaystyle 𝑑x^+𝑑y^+A_b^{}(x^+)A_c^{}(y^+)}.`$ (40)
This term is identically zero because the integrand is symmetric under both the color exchange $`bc`$ and the co–ordinate exchange $`x^+y^+`$ while multiplying the totally anti–symmetric structure constant $`f_{abc}`$.

To investigate terms of order $`A^3`$, it is convenient to first consider $`S_W`$ and $`S_{\mathrm{ln}W}`$ separately. The cubic terms in the expansion of $`S_{\mathrm{ln}W}`$ are

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}\mathrm{Tr}\left(\rho \left[\widehat{P}(A^{})^3{\displaystyle \frac{1}{2}}A^{}\widehat{P}(A^{})^2{\displaystyle \frac{1}{2}}\widehat{P}(A^{})^2A^{}+{\displaystyle \frac{1}{3}}(A^{})^3\right]\right)`$ (41)
$`=`$ $`{\displaystyle \frac{g^3}{N_c}}\mathrm{Tr}\rho {\displaystyle 𝑑x^+𝑑y^+𝑑z^+A^{}(x^+)A^{}(y^+)A^{}(z^+)}`$
$`\times `$ $`\left[\theta (x^+y^+)\theta (y^+z^+){\displaystyle \frac{1}{2}}\theta (x^+y^+){\displaystyle \frac{1}{2}}\theta (y^+z^+)+{\displaystyle \frac{1}{3}}\right]`$
After some algebra (performed in appendix B) the above can be re-expressed as

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`{\displaystyle \frac{g^3}{6}}\rho _a{\displaystyle 𝑑x^+𝑑y^+𝑑z^+A_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)\theta (x^+y^+)\theta (y^+z^+)}`$ (42)
$`\times `$ $`\left[f^{adn}f^{bcn}f^{abn}f^{cdn}\right]`$
The cubic term in $`S_W`$ is

$`S_W(A^3)`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}\mathrm{Tr}\rho \widehat{P}(A^{})^3`$ (43)
$`=`$ $`{\displaystyle \frac{g^3}{N_c}}\rho _a{\displaystyle 𝑑x^+𝑑y^+𝑑z^+A_b^{}(x^+)A_c^{}(y^+)A_c^{}(z^+)\theta (x^+y^+)\theta (y^+z^+)}`$
$`\times `$ $`\left[{\displaystyle \frac{I_2}{6}}(f_{adn}f_{bcn}f_{abn}f_{cdn})+d_{abcd}\right].`$
Here, we have used an identity for the trace of four $`SU(3)`$ adjoint matrices . For an adjoint representation, $`I_2=N_c`$. Also, the totally symmetric tensor $`d_{abcd}`$ is defined as the symmetrized trace of four $`SU(3)`$ adjoint matrices. For an explicit form, see Ref. . Note that the f-terms above are identical to those derived from $`S_{\mathrm{ln}W}`$ in Eq. (42). However, this action also contains the $`d_{abcd}`$ term that was absent in the $`S_{\mathrm{ln}W}`$ action.

In appendix C, we show that, within the approximations made in the derivation of the small $`x`$ evolution equation in Ref. , the $`d_{abcd}`$ term does not contribute. Therefore $`\mathrm{\Delta }S=0`$ to cubic order. One may therefore conclude that BFKL equation can also be obtained from the $`S_{\mathrm{ln}W}`$ action.

The reason the $`d_{abcd}`$ term in the $`S_W`$ action vanishes is because the propagator of the hard modes (and the color sources to which it couples) is static. The static nature of the sources is due to the fact that one ignores the recoil of the color sources as they emit softer partons. As one goes to a next-to-leading-order calculation, one will have to take recoil effects into account. These would cause the color sources to be time dependent, giving rise to a finite contribution from the $`d^{abcd}`$ terms in the $`W`$ action. Conversely, note that the $`d^{abcd}`$ terms are naturally absent in $`\mathrm{ln}W`$ action.

The fact that the $`S_{\mathrm{ln}W}`$ action does not have the $`d_{abcd}`$ term suggests that the underlying symmetry of the small $`x`$ dynamics is manifest in this action. The agreement between the two actions is even more remarkable when one considers that the factor $`1/6`$ in Eq. (43) comes directly from the trace of four adjoint generators, while in the “$`\mathrm{ln}W`$” action it arises as a consequence of extensive algebraic manipulations.

## 5 Summary

In this paper, we proposed an alternative form of the small $`x`$ effective action to the one discussed in Ref. . We showed explicitly that both forms of the effective action are compatible with Wong’s equations, albeit with currents that satisfy different boundary conditions. We showed that the the two effective actions agreed up to cubic order in the fields. Consequently, both of them give rise to the BFKL equation. However, in the case of the effective action of Ref. , one had to explicitly invoke the kinematic constraint imposed by the static sources–no such constraint was necessary for the action we propose. Differences between the two actions will show up at higher orders when one considers sub–leading corrections to the small $`x`$ effective action.

## Acknowledgments

We would like to thank Alex Kovner, Rob Pisarski and Jens Wirstam for reading the manuscript. We thank Larry McLerran for useful remarks. One of us (R.V.) would also like to thank E. Iancu for vigorous discussions and (S.J.) would like to thank Harry Lam for insightful comments. J. J-M. would like to thank Alex Kovner for helpful discussions. S. J. was supported by the Director, Office of Science, Office of High Energy and Nuclear Physics, Division of Nuclear Physics, and by the Office of Basic Energy Sciences, Division of Nuclear Sciences, of the U.S. Department of Energy under Contract No. DE-AC03-76SF00098. J.J-M. is supported at the University of Arizona by the U.S. Department of Energy under Contract No. DE-FG03-93ER40792. R. V. is supported at BNL by the U.S. Department of Energy under Contract No. DE-AC02-98CH10886.

## Appendix A

The equation of motion for color charges in the action (18) has already been derived in Section 3. The derivation is the same for the point particle action Eq. (14). Further, the Euler-Lagrange equation for the position

$`p_\mu ^I=m{\displaystyle \frac{dx_\mu ^I}{d\tau }}`$ (44)
follows trivially from Eq. (14). Hence, we will only derive here the other remaining equation of motion, namely, that for the momentum $`p_\mu `$.

The Euler-Lagrange equation for the momentum in Eq. (14) is

$`\dot{p}_\mu ^I={\displaystyle \frac{\delta }{\delta x_I^\mu }}S_{\mathrm{Wong}}.`$ (45)
The right hand side is given by

$`{\displaystyle \frac{\delta S_{\mathrm{Wong}}}{\delta x_I^\mu (\tau )}}`$ $`=`$ $`{\displaystyle \frac{i}{N_c}}{\displaystyle \frac{\delta }{\delta x_I^\mu (\tau )}}{\displaystyle \underset{J=1}{\overset{K}{}}}\mathrm{Tr}\left\{Q_0^J\mathrm{ln}W_J\right\}`$ (46)
$`=`$ $`{\displaystyle \frac{i}{N_c}}{\displaystyle 𝑑\tau ^{}\underset{J=1}{\overset{K}{}}\frac{\delta A_a^\nu (x_J(\tau ^{}))}{\delta x_I^\mu (\tau )}\frac{\delta }{\delta A_a^\nu (x_J(\tau ^{}))}\mathrm{Tr}\left\{Q_0^J\mathrm{ln}W_J\right\}}`$
$`+{\displaystyle \frac{i}{N_c}}{\displaystyle 𝑑\tau ^{}\underset{J=1}{\overset{K}{}}\frac{\delta v_J^\nu (\tau ^{})}{\delta x_I^\mu (\tau )}\frac{\delta }{\delta v_J^\nu (\tau ^{})}\mathrm{Tr}\left\{Q_0^J\mathrm{ln}W_J\right\}}`$
Using Eqs.(23) and (24), we get

$`{\displaystyle \frac{\delta S_{\mathrm{Wong}}}{\delta x_I^\mu (\tau )}}`$ $`=`$ $`v^\nu _\mu A_\nu ^a(x_I(\tau ))Q_a^I(\tau )+{\displaystyle \frac{i}{N_c}}{\displaystyle 𝑑\tau ^{}\dot{\delta }(\tau ^{}\tau )\frac{\delta }{\delta v_\mu ^I(\tau ^{})}\mathrm{Tr}\left\{Q_0^I\mathrm{ln}W_I\right\}}`$ (47)
For simplicity, we’ll omit the particle label $`I`$ from now on. We’ll also omit any argument labels (everything should be considered as a function of $`\tau `$ via $`x(\tau )`$). Applying the method developed in Section 3, we see that

$`{\displaystyle \frac{\delta S_{\mathrm{Wong}}}{\delta x^\mu }}`$ $`=`$ $`Q_av^\nu _\mu A_\nu ^a{\displaystyle \frac{i}{N_c}}{\displaystyle \frac{d}{d\tau }}\mathrm{Tr}\left\{Q_0{\displaystyle \frac{\delta }{\delta v_\mu }}\mathrm{ln}W\right\}`$ (48)
$`=`$ $`Q_av^\nu _\mu A_\nu ^a+{\displaystyle \frac{d}{d\tau }}\left\{A_\mu ^aQ_I^a\right\}`$
$`=`$ $`Q_av^\nu _\mu A_\nu ^a+Q_av^\nu _\nu A_\mu ^a+A_\mu ^a{\displaystyle \frac{d}{d\tau }}Q_a`$
$`=`$ $`Q_av^\nu _\mu A_\nu ^a+Q_av^\nu _\nu A_\mu ^aigA_\mu ^a[Q,v^\nu A_\nu ]_a`$
$`=`$ $`Q_aG_{\mu \nu }^av^\nu `$
where

$`G_{\mu \nu }^a=_\mu A_\nu ^a_\nu A_\mu ^a+gf_{abc}A_\mu ^bA_\nu ^c`$ (49)
This yields the desired result:

$`\dot{p}_\mu =Q_aG_{\mu \nu }^av^\nu .`$ (50)
## Appendix B

We will show here how one gets equation (42) from equation (41). We start with Eq. (41):

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}\mathrm{Tr}(\rho {\displaystyle }dx^+dy^+dz^+A^{}(x^+)A^{}(y^+)A^{}(z^+)`$
$`[\theta (x^+y^+)\theta (y^+z^+){\displaystyle \frac{1}{2}}\theta (x^+y^+){\displaystyle \frac{1}{2}}\theta (y^+z^+)+{\displaystyle \frac{1}{3}}]).`$
To save space, we will use the following shorthand notation. We shall represent the Light Cone times $`x^+,y^+,z^+`$ by $`1,2,3`$, and shall not write the Light Cone Lorentz index ‘$``$’ and the integrations over the Light Cone times explicitly. For example,

$`\theta _{123}\theta (x^+y^+)\theta (y^+z^+).`$
We shall also neglect the overall coefficient $`g^3/N_c`$, including it only at the very last step. With these notations, equation (41) becomes

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`\mathrm{Tr}\left(\rho A_1A_2A_3\left[\theta _{123}{\displaystyle \frac{1}{2}}\theta _{12}{\displaystyle \frac{1}{2}}\theta _{23}+{\displaystyle \frac{1}{3}}\right]\right).`$ (51)
We will now use identities like $`\theta _{12}+\theta _{21}=1`$ to write Eq. (51) as

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`\mathrm{Tr}\rho A_1A_2A_3[\theta _{123}{\displaystyle \frac{1}{2}}\theta _{12}(\theta _{23}+\theta _{32}){\displaystyle \frac{1}{2}}\theta _{23}(\theta _{12}+\theta _{21})`$
$`+`$ $`{\displaystyle \frac{1}{3}}(\theta _{123}+\theta _{132}+\theta _{231}+\theta _{213}+\theta _{312}+\theta _{321})]`$
$`=`$ $`\mathrm{Tr}\rho A_1A_2A_3\left[{\displaystyle \frac{1}{2}}(\theta _{12}\theta _{32}+\theta _{21}\theta _{23})+{\displaystyle \frac{1}{3}}(\theta _{123}+\theta _{132}+\theta _{231}+\theta _{213}+\theta _{312}+\theta _{321})\right]`$
$`=`$ $`\mathrm{Tr}\rho A_1A_2A_3[{\displaystyle \frac{1}{2}}\theta _{12}\theta _{32}(\theta _{13}+\theta _{31}){\displaystyle \frac{1}{2}}\theta _{21}\theta _{23}(\theta _{13}+\theta _{31})`$
$`+`$ $`{\displaystyle \frac{1}{3}}(\theta _{123}+\theta _{132}+\theta _{231}+\theta _{213}+\theta _{312}+\theta _{321})]`$
$`=`$ $`\mathrm{Tr}\rho A_1A_2A_3[{\displaystyle \frac{1}{2}}(\theta _{132}+\theta _{312}+\theta _{213}+\theta _{231})`$
$`+`$ $`{\displaystyle \frac{1}{3}}(\theta _{123}+\theta _{132}+\theta _{231}+\theta _{213}+\theta _{312}+\theta _{321})]`$
$`=`$ $`{\displaystyle \frac{1}{6}}\mathrm{Tr}\rho A_1A_2A_3\left[\theta _{123}\theta _{213}+\theta _{321}\theta _{312}+\theta _{123}\theta _{132}+\theta _{321}\theta _{231}\right]`$
$`=`$ $`{\displaystyle \frac{1}{6}}\mathrm{Tr}\rho (\theta _{123}[A_1,A_2]A_3+\theta _{321}[A_1,A_2],A_3+\theta _{123}A_1[A_2,A_3]+\theta _{321}A_1[A_2,A_3])`$
which, after change of variables, can be re–written as

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`{\displaystyle \frac{1}{6}}\theta _{123}\mathrm{Tr}\left(\rho \left([[A_1,A_2],A_3]+[[A_3,A_2],A_1]\right)\right).`$ (52)
Using $`[T^a,T^b]=if^{abc}T^c`$, and restoring all the indices, coefficients, and integration variables, we obtain finally

$`S_{\mathrm{ln}W}(A^3)`$ $`=`$ $`{\displaystyle \frac{g^3}{6}}\rho _a{\displaystyle }dx^+dy^+dz^+[A_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)\theta (x^+y^+)\theta (y^+z^+)`$ (53)
$`\times `$ $`\left[f_{adn}f_{bcn}f_{abn}f_{cdn}\right],`$
which is Eq. (42).

## Appendix C

In this appendix, we will show that, within the approximations made in the Wilson renormalization group approach, the totally symmetric $`d_{abcd}`$–term in Eq. (43) vanishes. Using the field decomposition Eq. (7), we get

$`S_{cubic}^{sym}`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}d^{abcd}\rho _a{\displaystyle 𝑑x^+𝑑y^+𝑑z^+\theta (x^+y^+)\theta (y^+z^+)}`$
$`\left[a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)+A_b^{}(x^+)a_c^{}(y^+)A_d^{}(z^+)+A_b^{}(x^+)A_c^{}(y^+)a_d^{}(z^+)\right].`$
Renaming the variables in the second and third terms above gives

$`S_{cubic}^{sym}`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}d^{abcd}\rho _a{\displaystyle 𝑑x^+𝑑y^+𝑑z^+a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}`$
$`\left[\theta (x^+y^+)\theta (y^+z^+)+\theta (y^+x^+)\theta (x^+z^+)+\theta (z^+y^+)\theta (y^+x^+)\right].`$
Re–write the sum of $`\theta `$–functions above as follows:

$`\theta (x^+y^+)\theta (y^+z^+)+\theta (y^+x^+)\theta (x^+z^+)+\theta (z^+y^+)\theta (y^+x^+)=`$
$`\theta (x^+y^+)\theta (y^+z^+)\theta (x^+z^+)+\theta (y^+x^+)\theta (x^+z^+)\theta (y^+z^+)+`$
$`\theta (z^+y^+)\theta (y^+x^+)=`$
$`\theta (y^+z^+)\theta (x^+z^+)+\theta (z^+y^+)\theta (y^+x^+)=`$
$`\theta (y^+z^+)\theta (x^+z^+)\theta (z^+y^+)\theta (x^+y^+)+\theta (z^+y^+)`$
The first two terms in the last line are anti–symmetric with respect to change of $`y^+z^+`$, and multiply the product $`d^{abcd}A_c^{}(y^+)A_d^{}(z^+)`$ which is totally symmetric. They therefore vanish, and the expression in $`S_{cubic}^{sym}`$ reduces to

$`S_{cubic}^{sym}`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}d^{abcd}\rho _a{\displaystyle 𝑑x^+𝑑y^+𝑑z^+\theta (z^+y^+)a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}.`$ (54)
This term can further be written as

$`{\displaystyle 𝑑x^+𝑑y^+𝑑z^+\theta (z^+y^+)a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}=`$
$`{\displaystyle 𝑑x^+𝑑y^+𝑑z^+\left[1\theta (y^+z^+)\right]a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}.`$ (55)
Consider the “$`1`$” term on the right hand side:

$`{\displaystyle 𝑑x^+𝑑y^+𝑑z^+a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}={\displaystyle 𝑑x^+a_b^{}(x^+)𝑑y^+𝑑z^+A_c^{}(y^+)A_d^{}(z^+)}`$
$`{\displaystyle 𝑑x^+a_b^{}(x^+)d(y^+z^+)d(y^++z^+)A_c^{}(y^+)A_d^{}(z^+)}.`$ (56)
When we integrate over hard fluctuations, the term $`A_c^{}(y^+)A_d^{}(z^+)`$ will become the hard fluctuations propagator $`G^{}(y^+z^+)`$. After integrating this propagator over the $`d(y^+z^+)`$ variable, it will give an overall factor $`p^{}`$. Since $`\rho \delta (p^{})`$ (this would break down when considering NLO corrections), the “$`1`$” term vanishes because $`p^{}\delta (p^{})=0`$. The integrand of Eq. (54) is then

$`{\displaystyle 𝑑x^+𝑑y^+𝑑z^+\theta (z^+y^+)a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}=`$
$`{\displaystyle 𝑑x^+𝑑y^+𝑑z^+\theta (y^+z^+)a_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}.`$ (57)
Since the LHS of the above is invariant under $`z^+y^+,cd`$, the above identity would require it to be ‘$``$’ of itself, and therefore equal to zero. Thus the $`d_{abcd}`$–term in the cubic piece of the action vanishes, and we are left with

$`S_{cubic}`$ $`=`$ $`{\displaystyle \frac{g^3}{N_c}}\rho _a{\displaystyle 𝑑x^+𝑑y^+𝑑z^+A_b^{}(x^+)A_c^{}(y^+)A_d^{}(z^+)}`$ (58)
$`\times `$ $`{\displaystyle \frac{I_2}{6}}\theta (x^+y^+)\theta (y^+z^+)\left[f^{adn}f^{bcn}f^{abn}f^{cdn}\right],`$
which is identical to cubic term in the expansion of $`S_{\mathrm{ln}W}`$.