Related papers: A Note on the Existence of the Multivariate Gamma …

We derive exact statistical properties of a class of recursive fragmentation processes. We show that introducing a fragmentation probability 0<p<1 leads to a purely algebraic size distribution in one dimension, P(x) ~ x^{-2p}. In d…

This note examines linear combinations of multi-indexed sequences and derives the multivariate generating function of such a linear combination in terms of the original sequence's m.g.f. Applications include finding distributions and…

This article provides a general expression for infinitely divisible multivariate gamma distributions defined by their Laplace transforms, as well as the conditional Laplace transform of infinitely divisible multivariate gamma…

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

Several representations of the exact cdf of the sum of squares of n independent gamma-distributed random variables Xi are given, in particular by a series of gamma distribution functions. Using a characterization of the gamma distribution…

This paper presents a set of Stata commands and Mata functions to evaluate different distributional quantities of the multivariate normal distribution, and a particular type of non-central multivariate t distribution. Specifically, their…

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal…

We study the value distribution of diagonal forms in k variables and degree d with random real coefficients and positive integer variables, normalized so that mean spacing is one. We show that the l-correlation of almost all such forms is…

Let $Y(n, p)$ denote the probability space of random 2-dimensional simplicial complexes in the Linial--Meshulam model, and let $Y \sim Y(n, p)$ denote a random complex chosen according to this distribution. In a paper of Cohen, Costa,…

We are concerned with the general problem of proving the existence of joint distributions of two discrete random variables $M$ and $N$ subject to infinitely many constraints of the form $\mathbb{P}\left(M=i,N=j\right)=0$. In particular, the…

Consider $k$ independent random samples from $p$-dimensional multivariate normal distributions. We are interested in the limiting distribution of the log-likelihood ratio test statistics for testing for the equality of $k$ covariance…

We study a class of unbalanced constant-differentials P\'olya processes on white and blue balls. We show that the number of white balls, the number of blue balls, and the total number of balls, when appropriately scaled, all converge in…

In this paper, joint limit distributions of maxima and minima on independent and non-identically distributed bivariate Gaussian triangular arrays is derived as the correlation coefficient of $i$th vector of given $n$th row is the function…

For real $a>0$, let $X_a$ denote a random variable with the gamma distribution with parameters $a$ and $1$. Then $\mathsf P(X_a-a>c)$ is increasing in $a$ for each real $c\ge0$; non-increasing in $a$ for each real $c\le-1/3$; and…

We show that the limiting minimal eigenvalue distributions for a natural generalization of Gaussian sample-covariance structures (the "beta ensembles") are described by the spectrum of a random diffusion generator. By a Riccati…

In this paper, the study of bivariate generalised beta type I and II distributions is extended to the complex matrix variate case, for which the corresponding density functions are found. In addition, for complex bimatrix variate beta type…

We introduce the notion of p*-values (p*-variables), which generalizes p-values (p-variables) in several senses. The new notion has four natural interpretations: operational, probabilistic, Bayesian, and frequentist. A main example of a…

The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional…

In this article, we propose a new class of consistent tests for $p$-variate normality. These tests are based on the characterization of the standard multivariate normal distribution, that the Hessian of the corresponding cumulant generating…

For arbitrary two probability measures on real d-space with given means and variances (covariance matrices), we provide lower bounds for their total variation distance. In the one-dimensional case, a tight bound is given.