Inspired by this tweet.

Take a random variable XX with mean μ\mu and finite variance σ2<\sigma^2 < \infty. Without loss of generality, let μ=0\mu = 0 and σ=1\sigma = 1. Then for M125i=125XiM\coloneqq\frac1{25}\sum_{i=1}^{25}X_i, we have mean zero and variance 1/251/25.

Consider pP(M2)p\coloneqq\mathbb{P}(|M|\leqslant 2). We know from Chebyshev that p0.99p \geqslant 0.99. Can we do better?

Claim. There exists p>0.99p^* > 0.99 such that ppp \geqslant p^*.

Proof. Let q1p=P(M>2)q\coloneqq 1-p = \mathbb{P}(|M|>2). Then q0.01q\leqslant 0.01, and

125=E[M2]=E[M2;M2]+E[M2;M>2]4P(M>2)=4q. \frac{1}{25} = \mathbb{E}[M^2] = \mathbb{E}[M^2; |M|\leqslant 2] + \mathbb{E}[M^2; |M|>2] \geqslant 4 \cdot \mathbb{P}(|M|>2) = 4q.

Suppose by way of contradiction that 0.990.99 were sharp. Take a sequence of random variables with qn0.01q_n\to 0.01. Here:

1254qn=E[Mn2;Mn2]+E[Mn2;Mn>2]4P(Mn>2)=E[Mn2;Mn2]+E[(Mn24);Mn>2]0. \begin{align*} \frac1{25}-4q_n &= \mathbb{E}[M_n^2;|M_n|\leqslant 2] + \mathbb{E}[M_n^2;|M_n|>2] - 4 \cdot \mathbb{P}(|M_n|>2) \\ &= \mathbb{E}[M_n^2;|M_n|\leqslant 2] + \mathbb{E}[(M_n^2-4);|M_n|>2] \to 0. \end{align*}

Both terms are non-negative and so must both approach zero. Since the events Mn2|M_n| \leqslant 2 and Mn>2|M_n| > 2 both occur with a probability of at least 0.0050.005 uniformly for sufficiently large nn, we have:

E[Mn2;Mn2]0.005E[Mn24Mn2]0E[Mn2;Mn>2]0.005E[Mn24Mn>2]0; \begin{align*} \mathbb{E}[M_n^2;|M_n|\leqslant 2] &\geqslant 0.005 \cdot \mathbb{E}[M_n^2 - 4 \mid |M_n|\leqslant 2] \to 0 \\ \mathbb{E}[M_n^2;|M_n| > 2] &\geqslant 0.005 \cdot \mathbb{E}[M_n^2 - 4 \mid |M_n| > 2] \to 0; \end{align*}

that is, the conditional expectations approach zero too. Thus the sequence of MnM_n converges in distribution to the three-point distribution where M{2,0,+2}M \in \set{-2, 0, +2} almost surely. To fix the mean and variance, we must have:

M={2with probability 0.0050with probability 0.99+2with probability 0.005 M_\infty = \begin{cases} -2 & \text{with probability 0.005} \\ 0 & \text{with probability 0.99} \\ +2 & \text{with probability 0.005} \end{cases}

But that is impossible. Clearly, XX cannot be degenerate (otherwise p=1>0.99p = 1 > 0.99). Thus the support of XX contains at least two distinct points a<ba < b, and so the support of MM contains at least twenty-six distinct points (a+k25(ba))k=025(a + \frac{k}{25}(b-a))_{k=0}^{25}.


Above, we used the fact that while Chebyshev is tight, not every distribution (and indeed no distribution which saturates Chebyshev) can be attained by averaging 25 independent copies of a random variable. How close can we get?

Let XaX_a be the random variable taking on values:

Xa={awith probability 12a20with probability 11a2+awith probability 12a2 X_a= \begin{cases} -a& \text{with probability } \dfrac{1}{2a^2} \\ 0& \text{with probability } 1-\dfrac{1}{a^2} \\ +a& \text{with probability } \dfrac{1}{2a^2} \end{cases}

for values of a>50a > 50. Note that each XaX_a has zero mean and variance E[Xa2]=a21/a2=1\mathbb{E}[X_a^2] = a^2 \cdot 1/a^2 = 1. Among the 25 samples, let N+N^+ and NN^- be the count of +a+a and a-a respectively. Then Ma=125a(N+N)M_a = \frac{1}{25} a(N^+ - N^-).

The critical event is Ma=125aN+N2|M_a| = \frac{1}{25} a|N^+ - N^-| \leqslant 2, so aN+N50a|N^+ - N^-| \leqslant 50. Since a>50a > 50 and the N±N^\pm are integers, this is equivalent to the event N+=NN^+ = - N^-: write p(a)=P(N+=N)p(a) = \mathbb{P}(N^+ = - N^-).

p(a)=k=01225!k!k!(252k)!(12a2)2k(11a2)252k. p(a) = \sum_{k=0}^{12} \frac{25!}{k!\,k!\,(25-2k)!} \left(\frac{1}{2a^2}\right)^{2k} \left(1-\frac1{a^2}\right)^{25-2k}.

This is continuous and increasing in aa, and as a50a \to 50, p(a)p(50)0.99007163p(a) \to p(50) \approx 0.99007163. We can get arbitrarily close to this number, which means it is the best bound we can hope to achieve. Thus there exists some infimum satisfying 0.99<p0.990071630.99 < p^* \leqslant 0.99007163.

Conjecture. The upper bound here is tight: p=0.99007163p^* = 0.99007163.