This is the 3rd post in a series that started with the post on the Chang-Wilson-Wolff inequality:
In today’s post we will finally complete the proof of the Tao-Wright lemma. Recall that in the 2nd post of the series we proved that the Tao-Wright lemma follows from its discrete version for Haar/dyadic-martingale-differences, which is as follows:
- for any and any
- they satisfy the square-function estimate
Today we will prove this lemma.