Related papers: A note on Stein equation for weighted sums of inde…
In this paper, we address the problem of estimating a covariance matrix of a multivariate Gaussian distribution, relative to a Stein loss function, from a decision theoretic point of view. We investigate the case where the covariance matrix…
Applying the standard weighted mean formula, [sum_i {n_i sigma^{-2}_i}] / [sum_i {sigma^{-2}_i}], to determine the weighted mean of data, n_i, drawn from a Poisson distribution, will, on average, underestimate the true mean by ~1 for all…
Let $Z$ be a standard normal random variable and let $H_n$ denote the $n$-th Hermite polynomial. In this note, we obtain Stein equations for the random variables $H_3(Z)$ and $H_4(Z)$, which represents a first step towards developing…
We build upon recent advances on the distributional aspect of Stein's method to propose a novel and flexible technique for computing Stein operators for random variables that can be written as products of independent random variables. We…
We present an entropy comparison result concerning weighted sums of independent and identically distributed random variables.
In this note a two sided bound on the tail probability of sums of independent, and either symmetric or nonnegative, random variables is obtained. We utilize a recent result by Lata{\l}a on bounds on moments of such sums. We also give a new…
A new class of distributional transformations is introduced, characterized by equations relating function weighted expectations of test functions on a given distribution to expectations of the transformed distribution on the test function's…
Two--sided bounds are constructed for a probability density function of a weighted sum of chi-square variables. Both cases of central and non-central chi-square variables are considered. The upper and lower bounds have the same dependence…
Due to the existence of multiple stationary distributions, we study the stability and instability of a stationary distribution for distribution dependent stochastic differential equations. This note is devoted to the instability of a…
Stein's method is used to approximate sums of discrete and locally dependent random variables by a centered and symmetric Binomial distribution. Under appropriate smoothness properties of the summands, the same order of accuracy as in the…
We take some first steps in providing a synthetic theory of distributions. In particular, we are interested in the use of distribution theory as foundation, not just as tool, in the study of the wave equation.
The aim of this paper is to establish Hoeffding and Bernstein type concentration inequalities for weighted sums of exchangeable random variables. A special case is the i.i.d. setting, where random variables are sampled independently from…
We study an approximation method of stationary characters of a two-dimensional Markov chain via the Stein method. For this purpose, innovative methods are developed to estimate the moments of the Markov chain, as well as the solution to the…
In this paper, we study the weighted sums of multiple t-values and of multiple t-star values at even arguments. Some general weighted sum formulas are given, where the weight coefficients are given by (symmetric) polynomials of the…
Unbiased risk estimation, \`a la Stein, is studied for infinitely divisible laws with finite second moment.
We give the cumulative distribution functions, the expected values, and the moments of weighted lattice polynomials when regarded as real functions of independent random variables. Since weighted lattice polynomial functions include…
Two modifications of the chi square test for comparing usual(unweighted) and weighted histograms and two weighted histograms are proposed. Numerical examples illustrate an application of the tests for the histograms with different…
We present a general method for handling problems that ask for the equidistribution of solutions to equations involving $m^2+n^2$, and illustrate it by considering $p+m^2+n^2=N$.
We use a Stein identity to define a new class of parametric distributions which we call ``independent additive weighted bias distributions.'' We investigate related $L^2$-type discrepancy measures, empirical versions of which not only…
The "marginal" distributions for measurable coordinate and spin projection is introduced. Then, the analog of the Pauli equation for spin-1/2 particle is obtained for such probability distributions instead of the usual wave functions. That…