Rearrangements of distributions on integers that minimize variance

Abstract

Which permutations of a probability distribution on integers minimize variance? Let $X$ be a random variable on a set of integers $\{x_1, \dots, x_N\}$ such that $\mathbb{P}(X_i = x_i) = p_i$, $i \in \{1,\dots,N\}$. Let $(p^{(1)}, \dots, p^{(N)})$ be the sequence $(p_1, \dots, p_N)$ ordered non-increasingly. Let $X^+$ be the random variable defined by $\mathbb{P}(X^+=0)=p^{(1)}$, $\mathbb{P}(X^+=1) = p^{(2)}$, $\mathbb{P}(X^+=-1)=p^{(3)}, \dots, \mathbb{P}(X^+=(-1)^N \lfloor \frac {N} 2 \rfloor)=p^{(N)}$. In this short note we generalize and prove the inequality $\mathrm{Var}\, X^+ \le \mathrm{Var}\, X$.