Related papers: Sharp variance-entropy comparison for nonnegative …
We give a necessary and sufficient condition for symmetric infinitely divisible distribution to have Gaussian component. The result can be applied to approximation the distribution of finite sums of random variables. Particularly, it shows…
Individual random trajectories of stochastic processes are often analyzed by using quadratic forms such as time averaged (TA) mean square displacement (MSD) or velocity auto-correlation function (VACF). The appropriate quadratic form is…
In this paper, we compare two variances of maxima of $N$ standard Gaussian random variables. One is a sequence of $N$ i.i.d. standard Gaussians, and the other one is $N$ standard Gaussians with covariances $\sigma_{1,2}=\rho \in(0,1)$ and…
We analyze the quality of the gaussian approximation to linear combinations of n independent, identically-distributed random variables with finite fourth moments. It turns out that there exist universal, simple linear combinations that…
Motivated by the entropy computations relevant to the evaluation of decrease in entropy in bit reset operations, the authors investigate the deficit in an entropic inequality involving two independent random variables, one continuous and…
Let $\mathsf{N}_{\rm d}\left[X\right]=\frac{1}{2\pi {\rm e}}{\rm e}^{2\mathsf{H}\left[X\right]}$ denote the entropy power of the discrete random variable $X$ where $\mathsf{H}\left[X\right]$ denotes the discrete entropy of $X$. In this…
An integral over the interval $(0,\pi)$ is given for the cumulative distribution function of a sum of independent gamma random variables with different scale and shape parameters. The cumulative distribution function of a positive definite…
A modified gamma kernel should not be automatically preferred to the standard gamma kernel, especially for univariate convex densities with a pole at the origin. In the multivariate case, multiple combined gamma kernels, defined as a…
In this paper, we introduce weighted fractional generalized cumulative past entropy of a nonnegative absolutely continuous random variable with bounded support. Various properties of the proposed weighted fractional measure are studied.…
We consider the extreme eigenvalues of the sample covariance matrix $Q=YY^*$ under the generalized elliptical model that $Y=\Sigma^{1/2}XD.$ Here $\Sigma$ is a bounded $p \times p$ positive definite deterministic matrix representing the…
We propose a new \textit{quadratic programming-based} method of approximating a nonstandard density using a multivariate Gaussian density. Such nonstandard densities usually arise while developing posterior samplers for unobserved…
We consider a strictly hyperbolic, genuinely nonlinear system of conservation laws in one space dimension. A sharp decay estimate is proved for the positive waves in an entropy weak solution. The result is stated in terms of a partial…
We establish an asymptotic formula for the weighted quantum variance of dihedral Maass forms on $\Gamma_0(D) \backslash \mathbb H$ in the large eigenvalue limit, for certain fixed $D$. As predicted in the physics literature, the resulting…
We consider random polynomials of the form $G_n(z):= \sum_{|\alpha|\leq n} \xi^{(n)}_{\alpha}p_{n,\alpha}(z)$ where $\{\xi^{(n)}_{\alpha}\}_{|\alpha|\leq n}$ are i.i.d. (complex) random variables and $\{p_{n,\alpha}\}_{|\alpha|\leq n}$ form…
We study asymptotic probabilities of attaining the maximum in heterogeneous Gaussian samples. In the two-group setting, the first sample has variance $1$ and size $n_1$, while the second has variance $\sigma^2>1$ and size $n_2$. We…
We derive sharp upper and lower bounds for the pointwise concentration function of the maximum statistic of $d$ identically distributed real-valued random variables. Our first main result places no restrictions either on the common marginal…
Given a sample of independent and identically distributed random variables, a novel nonparametric maximum entropy method is presented to estimate the underlying continuous univariate probability density function (pdf). Estimates are found…
The Gaussian correlation inequality (GCI) for symmetrical n-rectangles is improved if the absolute components have a joint cumulative distribution (cdf) which is MTP2 (multivariate totally positive of order 2). Inequalities of the here…
We consider the distribution of the sum and the maximum of a collection of independent exponentially distributed random variables. The focus is laid on the explicit form of the density functions (pdf) of non-i.i.d. sequences. Those are…
Let $M_n$ be the maximum of $n$ zero-mean gaussian variables $X_1,..,X_n$ with covariance matrix of minimum eigenvalue $\lambda$ and maximum eigenvalue $\Lambda$. Then, for $n \ge 70$, $$\Pr\{M_n \ge \lambda \left (2 \log n - 2.5 - \log(2…