Independent Random Variables Research Articles

Sums of Independent Circular Random Variables and Maximum Likelihood Circular Uniformity Tests Based on Nonnegative Trigonometric Sums Distributions

The sum of independent circular uniformly distributed random variables is also circular uniformly distributed. In this study, it is shown that a family of circular distributions based on nonnegative trigonometric sums (NNTS) is also closed under summation. Given the flexibility of NNTS circular distributions to model multimodality and skewness, these are good candidates for use as alternative models to test for circular uniformity to detect different deviations from the null hypothesis of circular uniformity. The circular uniform distribution is a member of the NNTS family, but in the NNTS parameter space, it corresponds to a point on the boundary of the parameter space, implying that the regularity conditions are not satisfied when the parameters are estimated by using the maximum likelihood method. Two NNTS tests for circular uniformity were developed by considering the standardised maximum likelihood estimator and the generalised likelihood ratio. Given the nonregularity condition, the critical values of the proposed NNTS circular uniformity tests were obtained via simulation and interpolated for any sample size by the fitting of regression models. The validity of the proposed NNTS circular uniformity tests was evaluated by generating NNTS models close to the circular uniformity null hypothesis.

A Deterministic Chaos-Model-Based Gaussian Noise Generator

The abilities of quantitative description of noise are restricted due to its origin, and only statistical and spectral analysis methods can be applied, while an exact time evolution cannot be defined or predicted. This emphasizes the challenges faced in many applications, including communication systems, where noise can play, on the one hand, a vital role in impacting the signal-to-noise ratio, but possesses, on the other hand, unique properties such as an infinite entropy (infinite information capacity), an exponentially decaying correlation function, and so on. Despite the deterministic nature of chaotic systems, the predictability of chaotic signals is limited for a short time window, putting them close to random noise. In this article, we propose and experimentally verify an approach to achieve Gaussian-distributed chaotic signals by processing the outputs of chaotic systems. The mathematical criterion on which the main idea of this study is based on is the central limit theorem, which states that the sum of a large number of independent random variables with similar variances approaches a Gaussian distribution. This study involves more than 40 mostly three-dimensional continuous-time chaotic systems (Chua’s, Lorenz’s, Sprott’s, memristor-based, etc.), whose output signals are analyzed according to criteria that encompass the probability density functions of the chaotic signal itself, its envelope, and its phase and statistical and entropy-based metrics such as skewness, kurtosis, and entropy power. We found that two chaotic signals of Chua’s and Lorenz’s systems exhibited superior performance across the chosen metrics. Furthermore, our focus extended to determining the minimum number of independent chaotic signals necessary to yield a Gaussian-distributed combined signal. Thus, a statistical-characteristic-based algorithm, which includes a series of tests, was developed for a Gaussian-like signal assessment. Following the algorithm, the analytic and experimental results indicate that the sum of at least three non-Gaussian chaotic signals closely approximates a Gaussian distribution. This allows for the generation of reproducible Gaussian-distributed deterministic chaos by modeling simple chaotic systems.

Discrete search stability for a hidden target on M-intervals with a known probabilistic distributed effort

We consider a discrete search problem to detect a hidden target on one of the [Formula: see text]-intersected real lines at the origin. The target position is a vector of independent random variables with a known multivariate probability distribution that is symmetric around the origin. From the available information about the probability of the target, we can consider one bounded interval as a search space on each line. To maximize the detection probability, we divide each interval into a number of small subintervals. Some subintervals have low target probabilities; thus, we delete them and distribute their probabilities among the searched subintervals. The problem has a discrete version where each line contains a set of independent search subintervals. The search effort is bounded by a normal distribution. More than obtaining the maximum detection probability, we also need to get the minimum search effort to detect the target. After studying the stability of the minimum search effort, we present an illustrative example to show the effectiveness of our model.

Diophantine conditions in the law of the iterated logarithm for lacunary systems

AbstractIt is a classical observation that lacunary function systems exhibit many properties which are typical for systems of independent random variables. However, it had already been observed by Erdős and Fortet in the 1950s that probability theory’s limit theorems may fail for lacunary sums $$\sum f(n_k x)$$ ∑ f ( n k x ) if the sequence $$(n_k)_{k \ge 1}$$ ( n k ) k ≥ 1 has a strong arithmetic “structure”. The presence of such structure can be assessed in terms of the number of solutions $$k,\ell $$ k , ℓ of two-term linear Diophantine equations $$a n_k - b n_\ell = c$$ a n k - b n ℓ = c . As the first author proved with Berkes in 2010, saving an (arbitrarily small) unbounded factor for the number of solutions of such equations compared to the trivial upper bound, rules out pathological situations as in the Erdős–Fortet example, and guarantees that $$\sum f(n_k x)$$ ∑ f ( n k x ) satisfies the central limit theorem (CLT) in a form which is in accordance with true independence. In contrast, as shown by the first author, for the law of the iterated logarithm (LIL) the Diophantine condition which suffices to ensure “truly independent” behavior requires saving this factor of logarithmic order. In the present paper we show that, rather surprisingly, saving such a logarithmic factor is actually the optimal condition in the LIL case. This result reveals the remarkable fact that the arithmetic condition required of $$(n_k)_{k \ge 1}$$ ( n k ) k ≥ 1 to ensure that $$\sum f(n_k x)$$ ∑ f ( n k x ) shows “truly random” behavior is a different one at the level of the CLT than it is at the level of the LIL: the LIL requires a stronger arithmetic condition than the CLT does.

Multiplier subsample bootstrap for statistics of time series

Block-based bootstrap, block-based subsampling and multiplier bootstrap are three common nonparametric tools for statistical inference under dependent observations. Combining the ideas of those three, a novel resampling approach, the multiplier subsample bootstrap (MSB), is proposed. Instead of generating a resample from the observations, the MSB imitates the statistic by weighting the block-based subsample statistics with independent standard Gaussian random variables. Given the asymptotic normality of the statistic, the bootstrap validity is established under some mild moment conditions. Involving the idea of MSB, the other resampling approach, the hybrid multiplier subsampling periodogram bootstrap (HMP), is developed for mimicking frequency-domain spectral mean statistics in the paper. A simulation study demonstrates that both the MSB and HMP achieve good performance.

Conditional Beta Approximation: Two Applications

Suppose that X,Y are two independent positive continuous random variables. Let P=\frac{X}{X+Y} and Z=X+Y. If X, Y have gamma distributions with the same scale parameter, then P distribution will be beta and P,\ Z are independent.  In the case that the distributions of these two variables are not gamma, the P distribution is well approximated by the beta distribution. However, P,\ Z are dependent. According to matching moment method, it is necessary to compute the moments of conditional distribution for beta fitting. In this paper, some new methods for computing moments of conditional distribution of P given Z are proposed. First of all, it is suggested to consider the regression method. Then Monte Carlo simulation is advised. The Bayesian posterior distribution of P is suggested. Applications of differential equations are also reviewed. These results are applied in two applications namely variance change point detection and winning percentage of gambling game are proposed. The probability of change in variance in a sequence of variables, as a leading indicator of possible change, is proposed. Similarly, the probability of winning in a sequential gambling framework is proposed. The optimal time to exit of gambling game is proposed. A game theoretic approach to problem of optimal exit time is proposed. In all cases, beta approximations are proposed. Finally, a conclusion section is also given.

The intransitive dice kernel: $$\frac{\mathbbm {1}_{x\ge y}-\mathbbm {1}_{x\le y}}{4} - \frac{3(x-y)(1+xy)}{8}$$

AbstractAnswering a pair of questions of Conrey, Gabbard, Grant, Liu, and Morrison, we prove that a triplet of dice drawn from the multiset model are intransitive with probability $$1/4+o(1)$$ 1 / 4 + o ( 1 ) and the probability a random pair of dice tie tends toward $$\alpha n^{-1}$$ α n - 1 for an explicitly defined constant $$\alpha $$ α . This extends and sharpens the recent results of Polymath regarding the balanced sequence model. We further show the distribution of larger tournaments converges to a universal tournamenton in both models. This limit naturally arises from the discrete spectrum of a certain skew-symmetric operator (given by the kernel in the title acting on $$L^2([-1,1])$$ L 2 ( [ - 1 , 1 ] ) ). The limit exhibits a degree of symmetry and can be used to prove that, for instance, the limiting probability that $$A_i$$ A i beats $$A_{i+1}$$ A i + 1 for $$1\le i\le 4$$ 1 ≤ i ≤ 4 and that $$A_5$$ A 5 beats $$A_1$$ A 1 is $$1/32+o(1)$$ 1 / 32 + o ( 1 ) . Furthermore, the limiting tournamenton has range contained in the discrete set $$\{0,1\}$$ { 0 , 1 } . This proves that the associated tournamenton is non-quasirandom in a dramatic fashion, vastly extending work of Cornacchia and Hązła regarding the continuous analogue of the balanced sequence model. The proof is based on a reduction to conditional central limit theorems (related to work of Polymath), the use of a “Poissonization” style method to reduce to computations with independent random variables, and the systematic use of switching-based arguments to extract cancellations in Fourier estimates when establishing local limit-type estimates.

Robust estimation of a regression function in exponential families

We observe n pairs of independent (but not necessarily i.i.d.) random variables X1=(W1,Y1),…,Xn=(Wn,Yn) and tackle the problem of estimating the conditional distributions Qi⋆(wi) of Yi given Wi=wi for all i∈{1,…,n}. Even though these might not be true, we base our estimator on the assumptions that the data are i.i.d. and the conditional distributions of Yi given Wi=wi belong to a one parameter exponential family Q¯ with parameter space given by an interval I. More precisely, we pretend that these conditional distributions take the form Qθ(wi)∈Q¯ for some θ that belongs to a VC-class Θ¯ of functions with values in I. For each i∈{1,…,n}, we estimate Qi⋆(wi) by a distribution of the same form, i.e. Qθ̂(wi)∈Q¯, where θ̂=θ̂(X1,…,Xn) is a well-chosen estimator with values in Θ¯. We establish non-asymptotic exponential inequalities for the upper deviations of a Hellinger-type distance between the true conditional distributions of the data and the estimated one based on the exponential family Q¯ and the class of functions Θ¯ we chose. We show that our estimation strategy is robust to model misspecification, contamination and the presence of outliers. Besides, when the data are truly i.i.d., the exponential family Q¯ is suitably parametrized and the conditional distributions Qi⋆(wi) of the form Qθ⋆(wi)∈Q¯ for some unknown Hölderian function θ⋆ with values in I, we prove that the estimator θ̂ of θ⋆ is minimax (up to a logarithmic factor). Finally, we provide an algorithm for calculating θ̂ when Θ¯ is a VC-class of functions of low or moderate dimension and we carry out a simulation study to compare its performance to that of the MLE and median-based estimators. The proof of our main result relies on an upper bound, with explicit numerical constants, on the expectation of the supremum of an empirical process over a VC-subgraph class. This bound can be of independent interest.

Limit theorems for a class of processes generalizing the U-empirical process

In this paper, we develop theory and tools for studying U-processes, a natural higher-order generalization of the empirical processes. We introduce a class of random discrete U-measures that generalize the empirical U-measure. We establish a Glivenko-Cantelli and a Donsker theorem under conditions on entropy numbers prevalent in the theory of empirical processes. These results are proved under some standard structural conditions on the Vapnik-Chervonenkis classes of functions and some mild conditions on the model. The uniform limit theorems discussed in this paper are key tools for many further developments involving empirical process techniques. Our results are applied to prove the asymptotic normality of Liu's simplicial median. We conclude this paper by extending Anscombe's central limit theorem to encompass randomly stopped U-processes, building upon its application to randomly stopped sums of independent random variables.

Density and Correlation in a Random Sequential Adsorption Model

We consider the random sequential adsorption process on the one- dimensional lattice with nearest-neighbor exclusion. In this model, each site s 2 Z starts empty and a particle will be deposited in it at time ts, where (ts)s2Z is a sequence of independent random variables uniformly distributed on the interval [0; 1]. The site will be occupied if both of its neighbors are vacant. Analytical expressions for the density of occupied sites and the pair correlation function, for all time t, are well-established and have been obtained through methods such as generating functions and differential equations. In this study, we present a method based on probabilistic arguments for the calculation of these expressions.

Total variation distance and compound poisson approximations for random sums

We derive new upper bounds for the total variation distance between compound Poisson distributions as well as between a random sum and a compound Poisson distribution, and as a result we also obtain upper bounds for the total variation distance between compound Poisson distributions and a sum of independent random variables. These bounds are generalizations and refinements of some well-known bounds in the literature. We also derive upper bounds for the total variation distance between negative binomial distributions of order k and between the negative binomial distributions of order k and compound Poisson distributions. Upper bounds for the total variation distances between the number of success runs of length k in binary Markovian trials and its limiting distributions for several enumeration schemes, are also given.

Some properties of convex and increasing convex orders under Archimedean copula

Abstract In this paper, the ordering properties of convex and increasing convex orders of the dependent random variables are studied. Some closure properties of the convex and increasing convex orders under independent random variables are extended to the dependent random variables under the Archimedean copula. Two applications are provided to illustrate our results.

Cosmic topology. Part IIa. Eigenmodes, correlation matrices, and detectability of orientable Euclidean manifolds

If the Universe has non-trivial spatial topology, observables depend on both the parameters of the spatial manifold and the position and orientation of the observer. In infinite Euclidean space, most cosmological observables arise from the amplitudes of Fourier modes of primordial scalar curvature perturbations. Topological boundary conditions replace the full set of Fourier modes with specific linear combinations of selected Fourier modes as the eigenmodes of the scalar Laplacian. We present formulas for eigenmodes in orientable Euclidean manifolds with the topologies E 1–E 6, E 11, E 12, E 16, and E 18 that encompass the full range of manifold parameters and observer positions, generalizing previous treatments. Under the assumption that the amplitudes of primordial scalar curvature eigenmodes are independent random variables, for each topology we obtain the correlation matrices of Fourier-mode amplitudes (of scalar fields linearly related to the scalar curvature) and the correlation matrices of spherical-harmonic coefficients of such fields sampled on a sphere, such as the temperature of the cosmic microwave background (CMB). We evaluate the detectability of these correlations given the cosmic variance of the observed CMB sky. We find that topologies where the distance to our nearest clone is less than about 1.2 times the diameter of the last scattering surface of the CMB give a correlation signal that is larger than cosmic variance noise in the CMB. This implies that if cosmic topology is the explanation of large-angle anomalies in the CMB, then the distance to our nearest clone is not much larger than the diameter of the last scattering surface. We argue that the topological information is likely to be better preserved in three-dimensional data, such as will eventually be available from large-scale structure surveys.

Wind-resistant reliability assessment of a super-high tower crane considering the randomness and correlation of turbulent spectral parameters

The need for wind-sensitive super-high tower cranes during the construction of high-rise structures has been growing, which makes it critical to assess the wind-resistant reliability of cranes. The accuracy of assessment is dominated by the refined simulation of real stochastic wind fields, which is usually based on the deterministic turbulent spectra including fixed spectral parameters. However, it might cause significant errors to estimate extreme responses of structures. Therefore, a simulation method for stochastic wind fields considering the randomness and correlation of turbulent spectral parameters is proposed in this study. The random functions of correlated spectral parameters are constructed based on several independent elementary random variables. A novel simulation method for stochastic wind fields involving the established random turbulent spectral functions is utilized to generate fluctuating wind samples at the Ma'anshan Yangtze River (MYR) Bridge site. In combination with the probability density evolution method, the stochastic response analysis and reliability assessment of wind-induced vibration of the crane are addressed. Results prove the effectiveness of the proposed approach in depicting probabilistic properties of real wind fields. Meanwhile, the wind-resistant comfort reliability of the tower crane is higher when considering the randomness and correlation of turbulent spectral parameters.

On Poisson Approximation

AbstractThe problem of evaluating the accuracy of Poisson approximation to the distribution of a sum of independent integer-valued random variables has attracted a lot of attention in the past six decades. Among authors who contributed to the topic are Prokhorov, Kolmogorov, LeCam, Shorgin, Barbour, Hall, Deheuvels, Pfeifer, Roos, and many others. From a practical point of view, the problem has important applications in insurance, reliability theory, extreme value theory, etc. From a theoretical point of view, the topic provides insights into Kolmogorov’s problem concerning the accuracy of approximation of the distribution of a sum of independent random variables by infinitely divisible laws. The task of establishing an estimate of the accuracy of Poisson approximation with a correct (the best possible) constant at the leading term remained open for decades. We present a solution to that problem in the case where the accuracy of approximation is evaluated in terms of the point metric. We generalise and sharpen the corresponding inequalities established by preceding authors. A new result is established for the intensively studied topic of compound Poisson approximation to the distribution of a sum of integer-valued r.v.s.

On the stochastic bifurcations regarding random iterations of polynomials of the form

Abstract In this paper, we consider random iterations of polynomial maps $z^{2} + c_{n}$ , where $c_{n}$ are complex-valued independent random variables following the uniform distribution on the closed disk with center c and radius r. The aim of this paper is twofold. First, we study the (dis)connectedness of random Julia sets. Here, we reveal the relationships between the bifurcation radius and connectedness of random Julia sets. Second, we investigate the bifurcation of our random iterations and give quantitative estimates of bifurcation parameters. In particular, we prove that for the central parameter $c = -1$ , almost every random Julia set is totally disconnected with much smaller radial parameters r than expected. We also introduce several open questions worth discussing.

Explosion and non-explosion for the continuous-time frog model

We consider the continuous-time frog model on Z. At time t=0, there are η(x) particles at x∈Z, each of which is represented by a random variable. In particular, (η(x))x∈Z is a collection of independent random variables with a common distribution μ, μ(Z+)=1, Z+≔N∪{0}, N={1,2,3,…}. The particles at the origin are active, all other ones being assumed as dormant, or sleeping, hence not active. Active particles perform a simple symmetric continuous-time random walk in Z (that is, a random walk with exp(1)-distributed jump times and jumps −1 and 1, each with probability 1/2), independently of all other particles. Sleeping particles stay still until the first arrival of an active particle to their location; upon arrival they become active and start their own simple random walks. Different sets of conditions are given ensuring explosion, respectively non-explosion, of the continuous-time frog model. Our results show in particular that if μ is the distribution of eYlnY with a non-negative random variable Y satisfying EY<∞, then a.s. no explosion occurs. On the other hand, if a∈(0,1) and μ is the distribution of eX, where P{X≥t}=t−a, t≥1, then explosion occurs a.s. The proof relies on a certain type of comparison to a percolation model which we call totally asymmetric discrete inhomogeneous Boolean percolation.

Conditional Strong Law of Large Numbers under G-Expectations

In this paper, we investigate two types of the conditional strong law of large numbers with a new notion of conditionally independent random variables under G-expectation which are related to the symmetry G-function. Our limit theorem demonstrates that the cluster points of empirical averages fall within the bounds of the lower and upper conditional expectations with lower probability one. Moreover, for conditionally independent random variables with identical conditional distributions, we show the existence of two cluster points of empirical averages that correspond to the essential minimum and essential maximum expectations, respectively, with G-capacity one.

Shrinkage priors for isotonic probability vectors and binary data modeling, with applications to dose-response modeling.

Motivated by the need to model dose-response or dose-toxicity curves in clinical trials, we develop a new horseshoe-based prior for Bayesian isotonic regression modeling a binary outcome against an ordered categorical predictor, where the probability of the outcome is assumed to be monotonically non-decreasing with the predictor. The set of differences between outcome probabilities in consecutive categories of the predictor is equipped with a multivariate prior having support over simplex. The Dirichlet distribution, which can be derived from a normalized sum of independent gamma-distributed random variables, is a natural choice of prior, but using mathematical and simulation-based arguments, we show that the resulting posterior is prone to underflow and other numerical instabilities, even under simple data configurations. We propose an alternative prior based on horseshoe-type shrinkage that is numerically more stable. We show that this horseshoe-based prior is not subject to the numerical instability seen in the Dirichlet/gamma-based prior and that the horseshoe-based posterior can estimate the underlying true curve more efficiently than the Dirichlet-based one. We demonstrate the use of this prior in a model predicting the occurrence of radiation-induced lung toxicity in lung cancer patients as a function of dose delivered to normal lung tissue. Our methodology is implemented in the R package isotonicBayes and therefore suitable for use in the design of dose-finding studies or other dose-response modeling contexts.

Asymptotic Duration for Optimal Multiple Stopping Problems

We study the asymptotic duration of optimal stopping problems involving a sequence of independent random variables that are drawn from a known continuous distribution. These variables are observed as a sequence, where no recall of previous observations is permitted, and the objective is to form an optimal strategy to maximise the expected reward. In our previous work, we presented a methodology, borrowing techniques from applied mathematics, for obtaining asymptotic expressions for the expectation duration of the optimal stopping time where one stop is permitted. In this study, we generalise further to the case where more than one stop is permitted, with an updated objective function of maximising the expected sum of the variables chosen. We formulate a complete generalisation for an exponential family as well as the uniform distribution by utilising an inductive approach in the formulation of the stopping rule. Explicit examples are shown for common probability functions as well as simulations to verify the asymptotic calculations.