相关论文: Yule's "nonsense correlation" solved: Part II

The time series with periodic behavior, such as the periodic autoregressive (PAR) models belonging to the class of the periodically correlated processes, are present in various real applications. In the literature, such processes were…

Given $\pi \in S_n$, let $Z_{n,k}(\pi)=\sum_{1\leq i_1<\dots<i_k\leq n} \mathbf{1}(\{ \pi_{i_1}<\dots<\pi_{i_k}\}$ denote the number of increasing subsequences of length $k$. Consider the "generalized Ulam problem," studying the…

For each $n\ge 1$, let $X_{n,1},\ldots,X_{n,N_n}$ be real random variables and $S_n=\sum_{i=1}^{N_n}X_{n,i}$. Let $m_n\ge 1$ be an integer. Suppose $(X_{n,1},\ldots,X_{n,N_n})$ is $m_n$-dependent, $E(X_{ni})=0$, $E(X_{ni}^2)<\infty$ and…

Let p_n denote the persistence probability that the first n iterated partial sums of integrable, zero-mean, i.i.d. random variables X_k, are negative. We show that p_n is bounded above up to universal constant by the square root of the…

In 1948 Hoeffding devised a nonparametric test that detects dependence between two continuous random variables X and Y, based on the ranking of n paired samples (Xi,Yi). The computation of this commonly-used test statistic takes O(n log n)…

Let $\left\{X^{1}_k\right\}_{k=1}^{\infty}, \left\{X^{2}_k\right\}_{k=1}^{\infty}, \cdots, \left\{X^{d}_k\right\}_{k=1}^{\infty}$ be $d$ independent sequences of Bernoulli random variables with success-parameters $p_1, p_2, \cdots, p_d$…

A basic result is that the sample variance for i.i.d. observations is an unbiased estimator of the variance of the underlying distribution (see for instance Casella and Berger (2002)). But what happens if the observations are neither…

When the causal relationship between X and Y is specified by a structural equation, the causal effect of X on Y is the expected rate of change of Y with respect to changes in X, when all other variables are kept fixed. This causal effect is…

In this thesis, which is supervised by Dr. David Penman, we examine random interval graphs. Recall that such a graph is defined by letting $X_{1},\ldots X_{n},Y_{1},\ldots Y_{n}$ be $2n$ independent random variables, with uniform…

Recurrence plots provide a graphical representation of the recurrent patterns in a timeseries, the quantification of which is a relatively new field. Here we derive analytical expressions which relate the values of key statistics, notably…

Measuring dependence between two events, or equivalently between two binary random variables, amounts to expressing the dependence structure inherent in a $2\times 2$ contingency table in a real number between $-1$ and $1$. Countless such…

We consider a probability distribution depending on a real parameter $x$. As functions of $x$, the R\'enyi entropy and the Tsallis entropy can be expressed in terms of the associated index of coincidence $S(x)$. We establish recurrence…

Let S_i be a random walk with standard exponential increments. We call \sum_{i=1}^k S_i its k-step area. The random variable V = \inf_{k \ge 1} \frac{2}{k(k+1)} \sum_{i=1}^k S_i plays important role in the study of so-called one-dimensional…

The selection of a specific statistical distribution is seldom a simple problem. One strategy consists in testing different distributions (normal, lognormal, Weibull, etc.), and selecting the one providing the best fit to the observed data…

We present a basis for studying questions of cause and effect in statistics which subsumes and reconciles the models proposed by Pearl, Robins, Rubin and others, and which, as far as mathematical notions and notation are concerned, is…

Distance correlation is a measure of dependence between two paired random vectors or matrices of arbitrary, not necessarily equal, dimensions. Unlike Pearson correlation, the population distance correlation coefficient is zero if and only…

We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particular, we do not assume that the distribution function is…

An information-theoretic development is given for the problem of compound Poisson approximation, which parallels earlier treatments for Gaussian and Poisson approximation. Let $P_{S_n}$ be the distribution of a sum $S_n=\Sumn Y_i$ of…

A surprising result of Pillai and Meng (2016) showed that a transformation $\sum_{j=1}^n w_j X_j/Y_j$ of two iid centered normal random vectors, $(X_1,\ldots, X_n)$ and $(Y_1,\ldots, Y_n)$, $n>1$, for any weights $0\leq w_j\leq 1$, $…

Measuring the (causal) direction and strength of dependence between two variables (events), Xi and Xj , is fundamental for all science. Our survey of decades-long literature on statistical dependence reveals that most assume symmetry in the…