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Bounty Ended with 200 reputation awarded by Gil Kalai
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Gil, would something like this be a counterexample?

Let $m$ be such that $n=m+\log m$, and think of an $n$-bit input as being a pair $(x,i)$ where $x$ is an m-bit string $(x_1,\ldots ,x_m)$ and $i$ is an integer in the range $1,\ldots,m$ written in binary.

Then we define $f(x,i):= x_1 \otimes \cdots \otimes x_i$$f(x,i):= x_1 \oplus \cdots \oplus x_i$

Now for each $i=1,\ldots,m$ the function f() has $1/m$ correlation with the Fourier character $x_1 \otimes \cdots \otimes x_i$$x_1 \oplus \cdots \oplus x_i$, and so the "level i" has at least a $1/m^2$ fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).

Gil, would something like this be a counterexample?

Let $m$ be such that $n=m+\log m$, and think of an $n$-bit input as being a pair $(x,i)$ where $x$ is an m-bit string $(x_1,\ldots ,x_m)$ and $i$ is an integer in the range $1,\ldots,m$ written in binary.

Then we define $f(x,i):= x_1 \otimes \cdots \otimes x_i$

Now for each $i=1,\ldots,m$ the function f() has $1/m$ correlation with the Fourier character $x_1 \otimes \cdots \otimes x_i$, and so the "level i" has at least a $1/m^2$ fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).

Gil, would something like this be a counterexample?

Let $m$ be such that $n=m+\log m$, and think of an $n$-bit input as being a pair $(x,i)$ where $x$ is an m-bit string $(x_1,\ldots ,x_m)$ and $i$ is an integer in the range $1,\ldots,m$ written in binary.

Then we define $f(x,i):= x_1 \oplus \cdots \oplus x_i$

Now for each $i=1,\ldots,m$ the function f() has $1/m$ correlation with the Fourier character $x_1 \oplus \cdots \oplus x_i$, and so the "level i" has at least a $1/m^2$ fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).

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Suresh Venkat
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Gil, would something like this be a counterexample?

Let m$m$ be such that n=m+log m$n=m+\log m$, and think of an n$n$-bit input as being a pair $(x,i)$ where x$x$ is an m-bit string (x1,...,xm)$(x_1,\ldots ,x_m)$ and i$i$ is an integer in the range 1,...,m$1,\ldots,m$ written in binary.

Then we define f(x,i):= x1 xor ... xor xi$f(x,i):= x_1 \otimes \cdots \otimes x_i$

Now for each i=1,...,m$i=1,\ldots,m$ the function f() has 1/m$1/m$ correlation with the Fourier character x1 xor... xor xi$x_1 \otimes \cdots \otimes x_i$, and so the "level i" has at least a 1/m^2$1/m^2$ fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).

Gil, would something like this be a counterexample?

Let m be such that n=m+log m, and think of an n-bit input as being a pair $(x,i)$ where x is an m-bit string (x1,...,xm) and i is an integer in the range 1,...,m written in binary.

Then we define f(x,i):= x1 xor ... xor xi

Now for each i=1,...,m the function f() has 1/m correlation with the Fourier character x1 xor... xor xi, and so the "level i" has at least a 1/m^2 fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).

Gil, would something like this be a counterexample?

Let $m$ be such that $n=m+\log m$, and think of an $n$-bit input as being a pair $(x,i)$ where $x$ is an m-bit string $(x_1,\ldots ,x_m)$ and $i$ is an integer in the range $1,\ldots,m$ written in binary.

Then we define $f(x,i):= x_1 \otimes \cdots \otimes x_i$

Now for each $i=1,\ldots,m$ the function f() has $1/m$ correlation with the Fourier character $x_1 \otimes \cdots \otimes x_i$, and so the "level i" has at least a $1/m^2$ fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).

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Gil, would something like this be a counterexample?

Let m be such that n=m+log m, and think of an n-bit input as being a pair $(x,i)$ where x is an m-bit string (x1,...,xm) and i is an integer in the range 1,...,m written in binary.

Then we define f(x,i):= x1 xor ... xor xi

Now for each i=1,...,m the function f() has 1/m correlation with the Fourier character x1 xor... xor xi, and so the "level i" has at least a 1/m^2 fraction of the mass. (In fact more, but this should suffice)

f() can be realized in depth-3: put all the XORs in a layer, and then do the "selection" in two layers of ANDs, ORs and NOTs (not counting the NOTs as adding to the depth, as usual).