English

A forgotten Theorem of Schoenberg on one-sided integral averages

Classical Analysis and ODEs 2019-02-05 v2 Statistics Theory Statistics Theory

Abstract

Let f:RRf:\mathbb{R} \rightarrow \mathbb{R} be a function for which we want to take local averages. Assuming we cannot look into the future, the 'average' at time tt can only use f(s)f(s) for sts \leq t. A natural way to do so is via a weight ϕ\phi and g(t)=0f(ts)ϕ(s)ds. g(t) = \int_{0}^{\infty}{f(t-s) \phi(s) ds}. We would like that (1) constant functions, f(t)\mboxconstf(t) \equiv \mbox{const}, are mapped to themselves and (2) ϕ\phi to be monotonically decreasing (the more recent past should weigh more heavily than the distant past). Moreover, we want that (3) if f(t)f(t) crosses a certain threshold nn times, then g(t)g(t) should not cross the same threshold more than nn times (if f(t)f(t) is the outside wind speed and crosses the Tornado threshold at two points in time, we would like the averaged wind speed to cross the Tornado threshold at most twice). A Theorem implicit in the work of Schonberg is that these three conditions characterize a unique weight that is given by the exponential distribution ϕ(s)=λeλs\mboxforsomeλ>0. \phi(s) = \lambda^{} e^{-\lambda s} \qquad \mbox{for some} \quad \lambda > 0.

Keywords

Cite

@article{arxiv.1901.04953,
  title  = {A forgotten Theorem of Schoenberg on one-sided integral averages},
  author = {Stefan Steinerberger},
  journal= {arXiv preprint arXiv:1901.04953},
  year   = {2019}
}