相关论文: Cauchy, normal and correlations versus heavy tails

Distributional transformations characterized by equations relating expectations of test functions weighted by a given biasing function on the original distribution to expectations of the test function's higher derivatives with respect to…

The Cauchy problem is studied for very general systems of evolution equations, where the time derivative of solution is written by Fourier multipliers in space and analytic nonlinearity, with no other structural requirement. We construct a…

A distributional route to Gaussianity, associated with the concept of Conservative Mixing Transformations in ensembles of random vector-valued variables, is proposed. This route is completely different from the additive mechanism…

Inspired by Milman's recent observation, we prove that the Gaussian correlation inequality holds for convex sets having the same barycenter, and especially for centered ones. This gives an affirmative answer to the problem proposed by…

Heavy tails are often found in practice, and yet they are an Achilles heel of a variety of mainstream random probability measures such as the Dirichlet process (DP). The first contribution of this paper focuses on characterizing the tails…

The Tracy-Widom distributions are among the most famous laws in probability theory, partly due to their connection with Wigner matrices. In particular, for $A=\frac{1}{\sqrt{n}}(a_{ij})_{1 \leq i,j \leq n} \in \mathbb{R}^{n \times n}$…

In 2017-2020 Jordanova and co-authors investigate probabilities for p-outside values and determine them in many particular cases. They show that these probabilities are closely related to the concept for heavy tails. Tukey's boxplots are…

We give two new simple characterizations of the Cauchy distribution by using the M\"obius and Mellin transforms. They also yield characterizations of the circular Cauchy distribution and the mixture Cauchy model.

Pleijel's inequality is an approximate inversion formula for the Stieltjes transform (or Cauchy integral) of a distribution function on positive semi-axis. It implies a Tauberian theorem due to Malliavin. The proposed analogs of Pleijel's…

We consider $n^2\times n^2$ real symmetric and hermitian matrices $M_n$, which are equal to sum of $m_n$ tensor products of vectors $X^\mu=B(Y^\mu\otimes Y^\mu)$, $\mu=1,\dots,m_n$, where $Y^\mu$ are i.i.d. random vectors from $\mathbb R^n…

We study concentration inequalities for structured weighted sums of random data, including (i) tensor inner products and (ii) sequential matrix sums. We are interested in tail bounds and concentration inequalities for those structured…

This paper is the second chapter of three of the author's undergraduate thesis. In this paper, we consider the random matrix ensemble given by $(d_b, d_w)$-regular graphs on $M$ black vertices and $N$ white vertices, where $d_b \in…

The random variable $1+z_1+z_1z_2+\dots$ appears in many contexts and was shown by Kesten to exhibit a heavy tail distribution. We consider natural extensions of this variable and its associated recursion to $N \times N$ matrices either…

We study the asymptotic spectral distribution of the conjugate kernel random matrix $YY^\top$, where $Y= f(WX)$ arises from a two-layer neural network model. We consider the setting where $W$ and $X$ are random rectangular matrices with…

Heavy-tailed distributions, such as the Cauchy distribution, are acknowledged for providing more accurate models for financial returns, as the normal distribution is deemed insufficient for capturing the significant fluctuations observed in…

The objects of our interest are the so-called $A$-permutations, which are permutations whose cycle length lie in a fixed set $A$. They have been extensively studied with respect to the uniform or the Ewens measure. In this paper, we extend…

The eigenvalue density for members of the Gaussian orthogonal and unitary ensembles follows the Wigner semi-circle law. If the Gaussian entries are all shifted by a constant amount c/Sqrt(2N), where N is the size of the matrix, in the large…

We study the invariant measure of the transport correlator for a chiral Hamiltonian and analyze its properties. The Jacobian of the invariant measure is a function of random phases. Then we distinguish the invariant measure before and after…

Let $X_N$ be an $N\ts N$ random symmetric matrix with independent equidistributed entries. If the law $P$ of the entries has a finite second moment, it was shown by Wigner \cite{wigner} that the empirical distribution of the eigenvalues of…

We consider a family of jointly Gaussian random vectors $\xi_j \in \mathbb{R}^{k_j}$, each standard normal but possibly correlated, and investigate when\[ \mathbb{E}\, F\!\Bigl(B\bigl(|T_{z_1} f_1(\xi_1)|,\dots,|T_{z_n}…