Empirical approximation of $L_p$ norms for $p\in (2, \infty)$

Abstract

For $p>2$ and an $N$-dimensional subspace $X\subset L_\infty(μ)$ satisfying \[ \|f\|_\infty\le (KN)^{1/p}\|f\|_{L_p(μ)} \quad\forall f\in X, \] we show that $m\ge C(p)KN \bigl(\varepsilon^{-p} +\varepsilon^{-2}\log_2(2N)\bigr)$ independent samples $ξ^1,\ldots,ξ^m$ with distribution $μ$ satisfy \[ (1-\varepsilon)\|f\|_{L_p(μ)}^p \le\frac1m\sum_{j=1}^m|f(ξ^j)|^p \le(1+\varepsilon)\|f\|_{L_p(μ)}^p \quad\forall f\in X \] with probability at least $1-\exp(-c(p)\frac{m\varepsilon^2}{KN})$. This gives the optimal sample-size order $N\log_2 N$ for independent random sampling with fixed $K$, $p$, and $\varepsilon$. This result follows from a more general empirical moment estimate over unit balls of $p$-convex norms.