相关论文: Relations between the first four moments
Suppose $(X_t)_{t \in T}$ is a Gaussian process indexed by some arbitrary set $T:$ the random variable $\sup_{t \in T}{X_t}$ can be very intricate and bounding its expectation is a natural step towards understanding it. Sudakov-Fernique…
Abstract Contextuality is a property of systems of random variables. The identity of a random variable in a system is determined by its joint distribution with all other random variables in the same context. When context changes, a variable…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
We evaluate asymptotically the negative first moment at points larger than $1/2$ of the family of quadratic twists of automorphic $L$-functions using multiple Dirichlet series under the generalized Riemann hypothesis and the…
Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…
We study the eigenvalues of the covariance matrix $\frac{1}{n}M^*M$ of a large rectangular matrix $M=M_{n,p}=(\zeta_{ij})_{1\leq i\leq p;1\leq j\leq n}$ whose entries are i.i.d. random variables of mean zero, variance one, and having finite…
Continuous Time Random Maxima (CTRM) are a generalization of classical extreme value theory: Instead of observing random events at regular intervals in time, the waiting times between the events are also random variables with arbitrary…
We derive optimal dimension independent constants in the classical Khintchine inequality between the $p$th and fourth moment for $p\ge 4$. As an application we deduce stability estimates for the Khintchine inequality between the $p$th and…
We study the effects of rounding on the moments of random variables. Specifically, given a random variable $X$ and its rounded counterpart $\operatorname{rd}(X)$, we study $|\mathbb{E}[X^k] - \mathbb{E}[\operatorname{rd}(X)^{k}]|$ for…
We give a concentration inequality based on the premise that random variables take values within a particular region. The concentration inequality guarantees that, for any sequence of correlated random variables, the difference between the…
This article investigates sharp comparison of moments for various classes of random variables appearing in a geometric context. In the first part of our work we find the optimal constants in the Khintchine inequality for random vectors…
Let $I$ and $J$ be two intervals, and let $f, g: I \rightarrow \mathbb{R}$. If for any points $a$ and $b$ in $I$ and any positive numbers $p$ and $q$ such that $p + q = 1$, we have \begin{align} \nonumber p f(a) + q f(b) + g(pa + qb) \in J,…
We recall the definition and the properties of a moment sequence and recall that all real sequences that have a finite rank of its Hankel matrix (see definition in the sequel) satisfy a homogeneous linear equation with constant…
We extend a general result showing that the asymptotic behavior of high moments, factorial or standard, of random variables, determines the asymptotically normality, from the one dimensional to the multidimensional setting. This approach…
The bounds for absolute moments of order statistics are established. Let $X_1,\dots ,X_n$ be independent identically distributed real-valued random variables and let $X_{1:n}\le \dots \le X_{n:n}$ be the corresponding order statistics. The…
The four moment theorem asserts, roughly speaking, that the joint distribution of a small number of eigenvalues of a Wigner random matrix (when measured at the scale of the mean eigenvalue spacing) depends only on the first four moments of…
In this note we put forward a conjecture on the average optimal length for bipartite matching with a finite number of elements where the different lengths are independent one from the others and have an exponential distribution.
In the context of stability of the extremes of a random variable X with respect to a positive integer valued random variable N we discuss the cases (i) X is exponential (ii) non-geometric laws for N (iii) identifying N for the stability of…
We discuss a conjecture about comparability of weak and strong moments of log-concave random vectors and show the conjectured inequality for unconditional vectors in normed spaces with a bounded cotype constant.
Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process $X(t),t\in \mathbb{R}^d$ and extend the harmonic mean formula for general stochastically continuous $X$. We…