Past exam of the mathematics course of the University of Cambridge / 2016 / ia / Paper 2 / 11F / c

Apply the Cauchy-Schwarz inequality to $Y_1=X$ and the indicator variable $Y_2=1_A$. Since $1_A^2=1_A$, it givesBoth sides of the truncated first moment bound in part (a) are nonnegative, so squaring it preserves the inequality. Combining the bounds and dividing by the positive second moment provesThis is the Paley-Zygmund inequality. It includes $\theta =0$; at $\theta =1$ the lower bound is zero and remains valid.