Estimates for the rate of strong Gaussian approximation for sums of i.i.d. multidimensional random vectors

The aim of this paper is to derive new optimal bounds for the rate of strong Gaussian approximation of sums of i.i.d. R ^d-valued random variables ξ_j that have finite moments of the form EH (‖ξ_j‖), where H (x) is a monotone function growing not slower than x² and not faster than e^cx. We obtain some generalization and improvements of results of U. Einmahl (1989). Bibliography: 28 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 351, 2007, pp. 141–158.     

On Small Deviations of Series of Weighted Random Variables

Let ξ,ξ ₁,ξ ₂,… be positive i.i.d. random variables, S=∑ _j=1^∞ a(j)ξ _j , where the coefficients a(j)≥0 are such that P(S<∞)=1. We obtain an explicit form of the asymptotics of −ln P(S<x) as x→0 for the following three cases:

Rate of strong Gaussian approximation for sums of i.i.d. multidimensional random vectors

The aim of this paper is to derive new optimal bounds for the rate of strong Gaussian approximation for sums of R ^d -valued random variables ξ _j that have finite moments of the form EH( || x_j || ) EH\left( {\left\| {{\xi_j}} \right\|} \right) where H(x) is a monotone function growing not slower than x ^2+δ and not faster than e ^cx . We generalize some results of U. Einmahl (1989). Bibliography: 44 titles.     

Estimates for the rate of strong approximation in the multidimensional invariance principle

The aim of this paper is to derive simplest consequences of the author's result of the multidimensional invariance principle. We obtain bounds for the rate of strong Gaussian approximation of sums of independent R ^d-valued random variables ξ_j having finite moments of the form EH (‖ξ_j‖), where H (x) is a monotone function growing not slower than x² and not faster than e^cx. A multidimensional version of results of Sakhanenko is obtained. Bibliography: 19 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 339, 2006, pp. 37–53.     

On extremal point distributions in the Euclidean plane

We ask for the maximum σ _n ^γ of Σ _i,j=1 ⁿ ‖x _i-x _j‖^γ, where x ₁,χ,x _n are points in the Euclidean plane R ² with ‖x_i-x_j‖ ≦1 for all 1≦ i,j ≦ n and where ‖.‖^γ denotes the γ-th power of the Euclidean norm, γ ≧ 1. (For γ =1 this question was stated by L. Fejes Tóth in [1].) We calculate the exact value of σ _n ^γ for all γ γ 1,0758χ and give the distributions which attain the maximum σ _n ^γ . Moreover we prove upper bounds for σ _n ^γ for all γ ≧ 1 and calculate the exact value of σ ₄ ^γ for all γ ≧ 1. This revised version was published online in June 2006 with corrections to the Cover Date.     

Transient phenomena for random walks in the absence of the expected value of jumps

Let ξ, ξ₁, ξ₂, ... be independent identically distributed random variables, and S _n :=Σ _j=1 ⁿ ,ξ _j , $ \bar S $ \bar S := sup _n≥0 S _n . If Eξ = −a < 0 then we call transient those phenomena that happen to the distribution $ \bar S $ \bar S as a → 0 and $ \bar S $ \bar S tends to infinity in probability. We consider the case when Eξ fails to exist and study transient phenomena as a → 0 for the following two random walk models:

Upper-Lower Class Tests for Weighted i.i.d. Sequences and Martingales

We study the upper-lower class behavior of weighted sums ∑ _k=1 ⁿ a _k X _k , where X _k are i.i.d. random variables with mean 0 and variance 1. In contrast to Feller’s classical results in the case of bounded X _j , we show that the refined LIL behavior of such sums depends not on the growth properties of (a _n ) but on its arithmetical distribution, permitting pathological behavior even for bounded (a _n ). We prove analogous results for weighted sums of stationary martingale difference sequences. These are new even in the unweighted case and complement the sharp results of Einmahl and Mason obtained in the bounded case. Finally, we prove a general upper-lower class test for unbounded martingales, improving several earlier results in the literature.     

Lower bounds at infinity of solutions of partial differential equations in the exterior of a proper cone

An extension of a classical theorem of Rellich to the exterior of a closed proper convex cone is proved: Let Γ be a closed convex proper cone inR ⁿ and −Γ′ be the antipodes of the dual cone of Γ. Let be a partial differential operator with constant coefficients inR ⁿ, whereQ(ζ)≠0 onR ⁿ−iΓ′ andP _i is an irreducible polynomial with real coefficients. Assume that the closure of each connected component of the set {ζ∈R ⁿ−iΓ′;P _j(ζ)=0, gradP _j(ζ)≠0} contains some real point on which gradP _j≠0 and gradP _j∉Γ∪(−Γ). LetC be an open cone inR ⁿ−Γ containing both normal directions at some such point, and intersecting each normal plane of every manifold contained in {ξ∈R ⁿ;P(ξ)=0}. Ifu∈ℒ′∩L _loc ² (R ⁿ−Γ) and the support ofP(−i∂/∂x)u is contained in Γ, then the condition implies that the support ofu is contained in Γ.     

On the Number of i.i.d. Samples Required to Observe All of the Balls in an Urn

Suppose an urn contains m distinct balls, numbered 1,...,m, and let τ denote the number of i.i.d. samples required to observe all of the balls in the urn. We generalize the partial fraction expansion type arguments used by Pólya (Z Angew Math Mech 10:96–97, 1930) for approximating \mathbbE(t)\mathbb{E}(\tau) in the case of fixed sample sizes to obtain an approximation of \mathbbE(t)\mathbb{E}(\tau) when the sample sizes are i.i.d. random variables. The approximation agrees with that of Sellke (Ann Appl Probab 5(1):294–309, 1995), who made use of Wald’s equation and a Markov chain coupling argument. We also derive a new approximation of \mathbbV(t)\mathbb{V}(\tau), provide an (improved) bound on the error in these approximations, derive a recurrence for \mathbbE(t)\mathbb{E}(\tau), give a new large deviation type result for tail probabilities, and look at some special cases.     

Tail behavior of random sums under consistent variation with applications to the compound renewal risk model

In this paper, we consider the random sums of i.i.d. random variables ξ ₁,ξ ₂,... with consistent variation. Asymptotic behavior of the tail P(ξ₁ + ... + ξ_η > x), where η is independent of ξ ₁,ξ ₂,..., is obtained for different cases of the interrelationships between the tails of ξ ₁ and η. Applications to the asymptotic behavior of the finite-time ruin probability ψ(x,t) in a compound renewal risk model, earlier introduced by Tang et al. (Stat Probab Lett 52, 91–100 (2001)), are given. The asymptotic relations, as initial capital x increases, hold uniformly for t in a corresponding region. These asymptotic results are illustrated in several examples.      

Dilations and Completions for Gabor Systems

Let be a full rank time-frequency lattice in ℝ ^d ×ℝ ^d . In this note we first prove that any dual Gabor frame pair for a Λ-shift invariant subspace M can be dilated to a dual Gabor frame pair for the whole space L ²(ℝ ^d ) when the volume v(Λ) of the lattice Λ satisfies the condition v(Λ)≤1, and to a dual Gabor Riesz basis pair for a Λ-shift invariant subspace containing M when v(Λ)>1. This generalizes the dilation result in Gabardo and Han (J. Fourier Anal. Appl. 7:419–433, [2001]) to both higher dimensions and dual subspace Gabor frame pairs. Secondly, for any fixed positive integer N, we investigate the problem whether any Bessel–Gabor family G(g,Λ) can be completed to a tight Gabor (multi-)frame G(g,Λ)∪(∪ _j=1 ^N G(g _j ,Λ)) for L ²(ℝ ^d ). We show that this is true whenever v(Λ)≤N. In particular, when v(Λ)≤1, any Bessel–Gabor system is a subset of a tight Gabor frame G(g,Λ)∪G(h,Λ) for L ²(ℝ ^d ). Related results for affine systems are also discussed. Communicated by Chris Heil.     

SOME MULTIPLIER THEOREMS FOR ANISOTROPIC HARDY SPACES ——In Memory of Professor Yongsheng Sun

Let A be a symmetric expansive matrix and Hp(Rn) be the anisotropic Hardy space associated with A. For a function m in L∞(Rn), an appropriately chosen function η in Cc∞(Rn) and j ∈ Z define mj(ξ) = m(Ajξ)η(ξ). The authors show that if 0 ＜ p ＜ 1 and (m)j belongs to the anisotropic nonhomogeneous Herz space K11/p-1,p(Rn), then m is a Fourier multiplier from Hp(Rn) to Lp(Rn). For p = 1, a similar result is obtained if the space K10,1(Rn) is replaced by a slightly smaller space K(w).Moreover, the authors show that if 0 ＜ p ≤ 1 and if the sequence {(mj)V} belongs to a certain mixednorm space, depending on p, then m is also a Fourier multiplier from Hp(Rn) to Lp(Rn).     

Asymptotic separation for independent trajectories of Markov processes

We say that n independent trajectories ξ₁(t),…,ξ _n (t) of a stochastic process ξ(t)on a metric space are asymptotically separated if, for some ɛ > 0, the distance between ξ _i (t _i ) and ξ _j (t _j ) is at least ɛ, for some indices i, j and for all large enough t ₁,…,t _n , with probability 1. We prove sufficient conitions for asymptotic separationin terms of the Green function and the transition function, for a wide class of Markov processes. In particular,if ξ is the diffusion on a Riemannian manifold generated by the Laplace operator Δ, and the heat kernel p(t, x, y) satisfies the inequality p(t, x, x) ≤ Ct ^−ν/2 then n trajectories of ξ are asymptotically separated provided . Moreover, if for some α∈(0, 2)then n trajectories of ξ^(α) are asymptotically separated, where ξ^(α) is the α-process generated by −(−Δ)^α/2. Received: 10 June 1999 / Revised version: 20 April 2000 / Published online: 14 December 2000 RID="*" ID="*" Supported by the EPSRC Research Fellowship B/94/AF/1782 RID="**" ID="**" Partially supported by the EPSRC Visiting Fellowship GR/M61573     

Asymptotic normality and efficiency of a weighted correlogram

For a process X(t)=Σ _j=1 ^M g _j (t)ξ _j (), where g_j(t) are nonrandom given functions, is a stationary vector-valued Gaussian process, Eξ_k(t) = 0, and Eξ_k(0) Eξ_l(τ) = r _kl(τ), we construct an estimate for the functions r _kl(τ) on the basis of observations X(t), t ∈ [0, T]. We establish conditions for the asymptotic normality of as T → ∞. We consider the problem of the optimal choice of parameters of the estimate depending on observations. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 7, pp. 937–947, July, 1998.     

Algebraic surfaces with an infinite set of planes of oblique symmetry. II

Suppose that G is an infinite group generated by obliquereflections with respect to hyperplanes in the real spaceE ^m and that theµ _j-planes II^µj = II^dj II^j (j = G(u) -orbits of directions of symmetryu (hyperplanes of symmetry conjugate to vectors II^dj pass through _j-planesII ^j). A complete solution of the problem of the mutual position of three II^j is given. Systems of generatrices of the rings of invariants of a series of groups G are found.Translated from Ukrainskii Geometricheskii Sbornik, No. 34, pp. 42–51, 1991.     

Estimates for the closeness of successive convolutions of multidimensional symmetric distributions

Summary Let ξ₁, ξ₂,... be i.i.d random vectors in ℝ ^k with a common distribution ℒ(ξ_i),... = F, i = 1, 2,.... Let S _n = ξ₁+...+ξ _n . We investigate how small is the difference between ℒ(S _n ) and ℒ(S _{n+ m} ) in the case when ξ _i have symmetric distributions.     

Limsup results and LIL for partial sum processes of a Gaussian random field

Let {ξ _j ; j ∈ ℤ₊ ^d be a centered stationary Gaussian random field, where ℤ₊ ^d is the d-dimensional lattice of all points in d-dimensional Euclidean space ℝ^d, having nonnegative integer coordinates. For each j = (j ₁ , ..., jd) in ℤ₊ ^d , we denote |j| = j ₁ ... j _d and for m, n ∈ ℤ₊ ^d , define S(m, n] = Σ _m<j≤n ζ _j , σ²(|n−m|) = ES ² (m, n], S _n = S(0, n] and S ₀ = 0. Assume that σ(|n|) can be extended to a continuous function σ(t) of t > 0, which is nondecreasing and regularly varying with exponent α at b ≥ 0 for some 0 < α < 1. Under some additional conditions, we study limsup results for increments of partial sum processes and prove as well the law of the iterated logarithm for such partial sum processes. Research supported by NSERC Canada grants at Carleton University, Ottawa     

Intertwining the geodesic flow and the Schr?dinger group on hyperbolic surfaces

We construct an explicit intertwining operator L{\mathcal L} between the Schr?dinger group e^{it \frac\triangle2}{e^{it \frac\triangle2}} and the geodesic flow on certain Hilbert spaces of symbols on the cotangent bundle T*X _Γ of a compact hyperbolic surface X _Γ = Γ\D. We also define Γ-invariant eigendistributions of the geodesic flow PS_{j, k, nj,-nk}{PS_{j, k, \nu_j,-\nu_k}} (Patterson-Sullivan distributions) out of pairs of \triangle{\triangle} -eigenfunctions, generalizing the diagonal case j = k treated in Anantharaman and Zelditch (Ann. Henri Poincaré 8(2):361–426, 2007). The operator L{\mathcal L} maps PS_{j, k, nj,-nk}{PS_{j, k, \nu_j,-\nu_k}} to the Wigner distribution W^G_j,k{W^{\Gamma}_{j,k}} studied in quantum chaos. We define Hilbert spaces H_PS{\mathcal H_{PS}} (whose dual is spanned by {PS_{j, k, nj,-nk}{PS_{j, k, \nu_j,-\nu_k}}}), resp. H_W{\mathcal H_W} (whose dual is spanned by {W^G_j,k}{\{W^{\Gamma}_{j,k}\}}), and show that L{\mathcal L} is a unitary isomorphism from H_W ? H_PS.{\mathcal H_{W} \to \mathcal H_{PS}.}     

Lipschitz selections of set-valued mappings and Helly’s theorem

We prove a Helly-type theorem for the family of all m-dimensional convex compact subsets of a Banach space X. The result is formulated in terms of Lipschitz selections of set-valued mappings from a metric space (M, ρ) into this family. Let M be finite and let F be such a mapping satisfying the following condition: for every subset M′ ⊂ M consisting of at most 2^m+1 points, the restriction F|_M′ of F to M′ has a selection f_M′ (i. e., f_M′(x) ∈ F(x) for all x ∈ M′) satisfying the Lipschitz condition ‖ƒ_M′(x) − ƒ_M′(y)‖_X ≤ ρ(x, y), x, y ∈ M′. Then F has a Lipschitz selection ƒ: M → X such that ‖ƒ(x) − ƒ(y)‖_X ≤ γρ(x,y), x, y ∈ M where γ is a constant depending only on m and the cardinality of M. We prove that in general, the upper bound of the number of points in M′, 2^m+1, is sharp. If dim X = 2, then the result is true for arbitrary (not necessarily finite) metric space. We apply this result to Whitney’s extension problem for spaces of smooth functions. In particular, we obtain a constructive necessary and sufficient condition for a function defined on a closed subset of R ² to be the restriction of a function from the Sobolev space W _∞ ² (R ²).A similar result is proved for the space of functions on R ² satisfying the Zygmund condition.     

The asymptotic distributions of sums of record values for distributions with lognormal-type tails

Let X1,X2,... be a sequence of i.i.d. random variables and let X(1),X(2),... be the associatedrecord value sequence. We focus on the asymptotic distributions of sums of records, Tn=∑nk=1X(k), forX1 ∈ LN(γ). In this case, we find that 2 is a strange point for parameter γ. When γ＞ 2, Tn is asymptoticallynormal, while for 2 ＞γ＞ 1, we prove that Tn cannot converge in distribution to any non-degenerate lawthrough common centralizing and normalizing and log Tn is asymptotically normal.