相关论文: On distributions determined by their upward, space…

We provide an elementary proof for a theorem due to Petz and R\'effy which states that for a random $n\times n$ unitary matrix with distribution given by the Haar measure on the unitary group U(n), the upper left (or any other) $k\times k$…

Under the separability assumption on the augmented density, a distribution function can be always constructed for a spherical population with the specified density and anisotropy profile. Then, a question arises, under what conditions the…

The following MW--problem was posed independently by Janusz Matkowski and Jacek Weso{\l}owski in different forms in 1985 and 2009, respectively: Are there increasing and continuous functions $\varphi\colon [0,1]\to [0,1]$, distinct from the…

We formulate necessary and sufficient conditions for an arbitrary discrete probability distribution to factor according to an undirected graphical model, or a log-linear model, or other more general exponential models. This result…

Let $X$ be a real-valued random variable with distribution function $F$. Set $X_1,\dots, X_m$ to be independent copies of $X$ and let $F_m$ be the corresponding empirical distribution function. We show that there are absolute constants…

In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investigate the Wiener-Hopf factorization for time-inhomogeneous…

We study the decay of convolution powers of probability measures without second moment but satisfying some weaker finite moment condition. For any locally compact unimodular group G and any positive function $\rho:G \rightarrow…

Standard large deviation estimates or the use of the Hubbard-Stratonovich transformation reduce the analysis of the distribution of the overlap parameters essentially to that of an explicitly known random function $\Phi_{N,\b}$ on $\R^M$.…

The paper aims at finding widely and smoothly defined nonparametric location and scatter functionals. As a convenient vehicle, maximum likelihood estimation of the location vector m and scatter matrix S of an elliptically symmetric t…

Let $\mu$ be an even measure on the real line $\mathbb{R}$ such that $$c_1 \int_{\mathbb{R}}|f|^2\,dx \le \int_{\mathbb{R}}|f|^2\,d\mu \le c_2\int_{\mathbb{R}}|f|^2\,dx$$ for all functions $f$ in the Paley-Wiener space $\mathrm{PW}_{a}$. We…

The weighted entropy $H^{\rm w}_\phi (X)=H^{\rm w}_\phi (f)$ of a random variable $X$ with values $x$ and a probability-mass/density function $f$ is defined as the mean value ${\mathbb E} I^{\rm w}_\phi(X)$ of the weighted information…

For a spectrally negative positive self-similar Markov process with an a.s. finite overall supremum we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization at the maximum of the absorption time at zero, the…

We study a generalization of the Wigner function to arbitrary tuples of hermitian operators, which is a distribution uniquely characterized by the property that the marginals for all linear combinations of the given operators agree with the…

Let $X_1,..., X_n$ be i.i.d.\ copies of a random variable $X=Y+Z,$ where $ X_i=Y_i+Z_i,$ and $Y_i$ and $Z_i$ are independent and have the same distribution as $Y$ and $Z,$ respectively. Assume that the random variables $Y_i$'s are…

This paper studies estimation of and inference on a distribution function $F$ that is concave on the nonnegative half line and admits a density function $f$ with potentially unbounded support. When $F$ is strictly concave, we show that the…

In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…

For probability measures $\mu,\nu$ and $\rho$ define the cost functionals \begin{align*} C(\mu,\rho):=\sup_{\pi\in \Pi(\mu,\rho)} \int \langle x,y\rangle\, \pi(dx,dy),\quad C(\nu,\rho):=\sup_{\pi\in \Pi(\nu,\rho)} \int \langle x,y\rangle\,…

We present a class of positive discrete random variables extending the Conway--Maxwell-Poisson distribution. This class emerges in a natural way from an application in queueing theory and contains distributions exhibiting quite different…

Let $(X,\mu)$ be a standard probability space. An automorphism $T$ of $(X,\mu)$ has the weak Pinsker property if for every $\varepsilon > 0$ it has a splitting into a direct product of a Bernoulli shift and an automorphism of entropy less…

Let $n\geq 1$, $K>0$, and let $X=(X_1,X_2,\dots,X_n)$ be a random vector in $\mathbb{R}^n$ with independent $K$--subgaussian components. We show that for every $1$--Lipschitz convex function $f$ in $\mathbb{R}^n$ (the Lipschitzness with…