I am reading Theorem 3.1.1 in HDP book by Vershynin. The theorem states that
$ \text{Let } X=\left(X_1,\ldots,X_n \right) \text{be a random vector with independent, sub-gaussian coordinates } X_i \text{ that satisfy } \mathbb{E}X_i^2=1. \text{Then}$ $$ \| \| X\|_2-\sqrt{n}\|\|_{\psi_2} \leq CK^2$$ $ \text{where } K=\max_i{\|X_i\|_{\psi_2}} \text{ and } C \text{ is an absolute constant.}$
The $\psi_2$ norm is the Orlicz norm with Orlicz function $\psi(x)=e^{x^2}-1. $
I found a place that I don't understand in the proof.
The whole proof only showed that $ \| X \|_2 -\sqrt{n} $ is a sub-gaussian random variable. And in the last sentence, the author just said it is equivalent to the conclusion of the theorem.
I would like to ask about the equivalence in the last sentence.
I've tried to look at the centering property of sub-gaussian, but it seems that $\sqrt n \neq \mathbb{E}\|X\|_2 $. Any hint or idea is appreciated.
Best Answer
There is a bit of "circular feeling" reasoning you have to do which isn't (for me at least) immediately obvious. In short, there are two things at play: