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The R\'enyi entropy is a generalization of the Shannon entropy and is widely used in mathematical statistics and applied sciences for quantifying the uncertainty in a probability distribution. We consider estimation of the quadratic R\'enyi…

Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product $XY$ is derived. Some basic distributional properties are also derived, including…

We study the isotonic regression estimator over a general countable pre-ordered set. We obtain the limiting distribution of the estimator and study its properties. It is proved that, under some general assumptions, the limiting distribution…

Let $T$ be a random field invariant under the action of a compact group $G$. In the line of previous work we investigate properties of the Fourier coefficients as orthogonality and Gaussianity. In particular we give conditions ensuring that…

We consider the Riemannian random wave model of Gaussian linear combinations of Laplace eigenfunctions on a general compact Riemannian manifold. With probability one with respect to the Gaussian coefficients, we establish that, both for…

Random matrices whose entries come from a stationary Gaussian process are studied. The limiting behavior of the eigenvalues as the size of the matrix goes to infinity is the main subject of interest in this work. It is shown that the…

Random correlation matrices are studied for both theoretical interestingness and importance for applications. The author of [6] is interested in their interpretation as covariance matrices of purely random signals, the authors of [16]…

We give conditions under which a scalar random variable T can be coupled to a random scaling factor $\xi$ such that T and $\xi$T are rendered stochastically independent. A similar result is obtained for random measures. One consequence is a…

We establish some asymptotic expansions for infinite weighted convolution of distributions having regular varying tails. Various applications to statistics and probability are developed.

We provide a detailed derivation of the Karhunen-Lo\`eve expansion of a stochastic process. We also discuss briefly Gaussian processes, and provide a simple numerical study for the purpose of illustration.

We analyze the form of the probability distribution function P_{n}^{(\beta)}(w) of the Schmidt-like random variable w = x_1^2/(\sum_{j=1}^n x^{2}_j/n), where x_j are the eigenvalues of a given n \times n \beta-Gaussian random matrix, \beta…

The main result of this paper is the rate of convergence to Hermite-type distributions in non-central limit theorems. To the best of our knowledge, this is the first result in the literature on rates of convergence of functionals of random…

In this work we present a general derivation of the non-Fickian behavior for the self-diffusion of identically interacting particle systems with excluded mutual passage. We show that the conditional probability distribution of finding a…

Asymptotic expansion of a variation with anticipative weights is derived by the theory of asymptotic expansion for Skorohod integrals having a mixed normal limit. The expansion formula is expressed with the quasi-torsion, quasi-tangent and…

We consider weighted random balls in $\real^d$ distributed according to a random Poisson measure with heavy-tailed intensity and study the asymptotic behaviour of the total weight of some configurations in $\real^d$. This procedure amounts…

We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable $i=1,...,p$ is modelled as a linear process…

We compute the asymptotic eigenvalue distribution of the neural tangent kernel of a two-layer neural network under a specific scaling of dimension. Namely, if $X\in\mathbb{R}^{n\times d}$ is an i.i.d random matrix, $W\in\mathbb{R}^{d\times…

In this note we compare two recent results about the distribution of eigenvalues for semi-classical pseudodifferential operators in two dimensions. For classes of analytic operators A. Melin and the author obtained a complex Bohr-Sommerfeld…

The stochastic properties of variables whose addition leads to $q$-Gaussian distributions $G_q(x)=[1+(q-1)x^2]_+^{1/(1-q)}$ (with $q\in\mathbb{R}$ and where $[f(x)]_+=max\{f(x),0\}$) as limit law for a large number of terms are…

We study properties of distributions of random variables with independent identically distributed symbols of generalized L\"{u}roth series (GLS) expansions (the family of GLS-expansions contains L\"{u}roth expansion and $Q_{\infty}$- and…