TITLE: How often two iid variables are close?
QUESTION [16 upvotes]: Is there a constant $c>0$ such that for $X,Y$ two iid variables supported by $[0,1]$,
$$
\liminf_\epsilon \epsilon^{-1}P(|X-Y|<\epsilon)\geqslant c
$$
I can prove the result if they have a density, of if they have atoms, but not in the general case.

REPLY [9 votes]: Mateusz Kwaśnicki's guess, that the optimal value of $c$ is 2, is correct!  In fact:

Theorem: Suppose $X,Y$ are i.i.d. random variables on $\mathbb{R}$.  Then the limit $\lim_{\varepsilon \rightarrow 0} \varepsilon^{-1} \mathbb{P}[|X - Y| < \varepsilon]$ exists.  It is $+\infty$ unless $X$ has a density function $f$ satisfying $||f||_2^2 = \int f^2\ \text{d}x < \infty$, in which case the limit is equal to $2 ||f||_2^2$.

Restricting to distributions on $[0,1]$, Cauchy-Schwarz says
$$ 1 = \int_0^1 f\ \text{d}x \le \left ( \int_0^1 f^2\ \text{d}x \right )^{1/2} \left ( \int_0^1 1\ \text{d}x \right )^{1/2} = ||f||_2, $$
with equality iff $f = 1$.  That is, the constant $c = 2$ is valid for every distribution, and it is sharp only for the uniform distribution.
Here are a few examples where the limit is infinite:
Example 1: If $X$ has an atom then $\mathbb{P}[|X-Y| < \varepsilon]$ is bounded away from 0.  So the limit in question diverges like $\varepsilon^{-1}$.  
Example 2: The Cantor ternary function is the CDF of a probability distribution on $[0,1]$ which is nonatomic but not absolutely continuous.  A random sample from this distribution is given by $\sum_{k \ge 1} c_k \tfrac{2}{3^k}$ where $\{c_k\}$ are i.i.d. Bernoulli random variables.  (Thought of in terms of the "repeatedly take out the middle third" construction of the Cantor set, the $c_k$'s are the choices of left versus right third.)  If $\varepsilon = 3^{-n}$, then $|X-Y| < \varepsilon$ iff the first $n$ $c_k$'s agree.  Thus
$$ \mathbb{P}[|X-Y| < \varepsilon] = 2^{-n} = \varepsilon^{\log_3 2}. $$ 
So the limit in question diverges like $\varepsilon^{-1+\log_3 2} = \varepsilon^{-0.37}$.
Example 3: The power law $f(x) = \tfrac{1}{2\sqrt{x}}$ is an example of a density function which is not in $L^2$.  In this case we can evaluate $\mathbb{P}[|X-Y| < \varepsilon]$ exactly (well, if you believe in inverse hyperbolic trig functions).  The asymptotic behavior is
$$ \mathbb{P}[|X-Y| < \varepsilon] = \tfrac{1}{2} (-\log \varepsilon) \varepsilon + (\tfrac{1}{2} + \log 2) \varepsilon + O(\varepsilon^2). $$
So the limit in question diverges logarithmically.
Mateusz's slick argument worked on the block diagonal, a sum of $n$ squares of width $1/n$.  This covers about half of the area of the strip $|X-Y| < \tfrac{1}{n}$, which is why the resulting constant is half of optimal.  There's probably a hands-on way to extend it, but you start using words like "convolution" and I found it easier to reason in Fourier space.  This question is asking for a bound on the density of $X-Y$ at 0.  This random variable has nonnegative Fourier transform (characteristic function, if you prefer), and that condition alone is enough to guarantee positive density (shameless self-citation: Lemma 3.1 in this paper).  In general, when it makes sense, the density at 0 of a random variable is equal to the integral of its Fourier transform.  So our job is to make that concrete and translate it back to a statement about PDFs.
Convention: The Fourier transform (characteristic function) of a random variable $X$ is the function $t \mapsto \mathbb{E}[e^{2 \pi \mathrm{i} X t}]$.  The Fourier transform of a function $f$ is $t \mapsto \hat f(t) = \int e^{2 \pi \mathrm{i} x t} f(x)\ \text{d}x$.  If $X$ is absolutely continuous (has a density function), then its Fourier transform is equal to the Fourier transform of its density function.  With this convention the Plancherel identity reads $\int f \bar g\ \text{d}x = \int \hat f \overline{\hat g}\ \text{d}t$ (no normalization constant).
Lemma: Let $\psi$ denote the Fourier transform of $X$.  Then $\psi \in L^2$ iff $X$ is absolutely continuous and its density function $f$ is in $L^2$.  Moreover, if this holds, then $||\psi||_2 = ||f||_2$.
Proof of Lemma: The Fourier transform is an isometry of the space $L^2$.  The ($\Leftarrow$) direction is immediate: if $X$ has a density function in $L^2$, then certainly its Fourier transform is in $L^2$.  For ($\Rightarrow$), if $\psi$ is in $L^2$ then it is the Fourier transform of some function $f \in L^2$.  But then $f$ defines the same distribution as $X$, so it is indeed the density function.  $\square$ 
(This is probably a basic result in some probability textbook?)
Proof of Theorem: Let $\psi$ denote the Fourier transform of $X$.  Then the Fourier transform of $X-Y$ is $t \mapsto \psi(t) \psi(-t) = \psi(t) \overline{\psi(t)} = |\psi(t)|^2$.  Let $T_\varepsilon$ denote the "triangle filter" $T_\varepsilon(x) = \varepsilon^{-1} (1 - |x|/\varepsilon)$ for $|x| \le \varepsilon$ and $T_\varepsilon(x) = 0$ otherwise.  It is a standard calculation that $\hat T_\varepsilon(t) = \operatorname{sinc}^2(\pi t \varepsilon)$.  (Here $\operatorname{sinc} x = \tfrac{\sin x}{x}$.)  This is integrable, so we can compute the expected value of $T_\varepsilon$ using the Fourier transform.  We find
$$ \varepsilon^{-1} \mathbb{P}[|X-Y| < \varepsilon] \ge \mathbb{E}[T_\varepsilon(X-Y)] = \int |\psi(t)|^2 \operatorname{sinc}^2(\pi t \varepsilon)\ \text{d}t. $$
The integrand is nonnegative and, as $\varepsilon \to 0$, it converges (pointwise) to its (pointwise) supremum $|\psi(t)|^2$.  So, by an appropriate incantation of the monotone convergence theorem (the one in this comment applies exactly), the integral converges to $\int |\psi(t)|^2\ \text{d}t = ||\psi||_2^2$.  If this is infinite, then also $\lim_{\varepsilon \to 0} \varepsilon^{-1} \mathbb{P}[|X-Y| < \varepsilon] = +\infty$.
Suppose now that $||\psi||_2^2 < \infty$, i.e., $\psi \in L^2$.  Consider the "box filter" $B_\varepsilon$ defined by $B_\varepsilon(x) = (2 \varepsilon)^{-1}$ for $|x| < \varepsilon$ and $B_\varepsilon(x) = 0$ otherwise.  This has $\hat B_\varepsilon(t) = \operatorname{sinc}(2 \pi t \varepsilon)$.  This is bounded and $|\psi|^2$ is integrable.  So we can again compute expected values in Fourier space:
$$ (2\varepsilon)^{-1} \mathbb{P}[|X-Y| < \varepsilon] = \mathbb{E}[B_\varepsilon(X-Y)] = \int |\psi(t)|^2 \operatorname{sinc}(2 \pi t \varepsilon)\ \text{d}t. $$
The integrand converges pointwise to $|\psi(t)|^2$.  We don't have nonnegativity this time, but now we know integrability of the bounding function $|\psi|^2$.  So we can apply the dominated convergence theorem, concluding that
$$ \lim_{\varepsilon \to 0} (2 \varepsilon)^{-1} \mathbb{P}[|X-Y| < \varepsilon] = \int |\psi(t)|^2\ \text{d}t = ||\psi||_2^2. $$
The lemma completes the proof. $\square$