Functions of elementary random variables and their application to system reliability

Summary LetX ₁,...,X _n be elementary random variables, i.e. random variables taking only finitely many values in . Then for an arbitray functionf(X ₁,...,X _n ) inX ₁,...,X _n a unique polynomial representation with the aid of Lagrange polynomials is given. This easily yields the moments as well as the distribution off(X ₁,...,X _n ) by terms of finitely many moments of the variablesX ₁,...,X _n . For n=1 a necessary and sufficient condition results thatm numbers are the firstm moments of a random variable takingm+1 different values. As an application of random functionsf(X ₁,...,X _n ) the reliability of technical systems with three states is treated.

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Zusammenfassung X ₁, ...,X _n seien elementare Zufallsvariable, d. h., Zufallsvariable, die nur endlich viele reelle Werte annehmen. Mit Hilfe von Lagrangepolynomen wird für eine beliebige Funktionf(X₁,...,X _n ) eine eindeutige polynomiale Darstellung angegeben. Daraus ergeben sich leicht die Momente wie auch die Verteilung von f(X₁,...,X _n ), ausgedrückt durch die Momente der VariablenX ₁,...,X _n . Fürn=1 erhält man eine notwendige und hinreichende Bedingung, daßm Zahlen die erstenm Momente einer Zufallsvariablen sind, diem+1 verschiedene Werte annimmt. Als Anwendung wird die Zuverlässigkeit eines technischen Systems mit drei Zuständen behandelt.

     

Subsets of a Hilbert space,having finite hausdorff dimension

Let X₂, X₂ be Hilbert spaces, X₂ X₁, X₂ is dense in X₁, the imbedding is compact,m X₂, dim_H ⁱ m and h⁽ⁱ⁾(m) are the Hausdorff dimension and the limit capacity (information dimension) of the setm with respect to the metrics of the spaces X_i (i=1, 2). Two examples are constructed. 1) An example of a setm bounded in X₂, such that: a) h⁽¹⁾(m) < (and, consequently, dim_H ¹ m); b)m cannot be covered by a countable collection of sets, compact in X₂ (and, consequently, dim_H ² m=). 2) an Example of a setm, compact in X₂, such that h⁽¹⁾(m) < and h⁽²⁾(m)=.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 163, pp. 154–165, 1987.     

On the existence of automorphisms with simple Lebesgue spectrum

It is shown that ifT is a measure preserving automorphism on a probability space (Ω,B, m) which admits a random variable X₀ with mean zero such that the stochastic sequence X₀ o T_n,n ε ℤ is orthonormal and spans L₀ ²(Ω,B,m), then for any integerk ≠ 0, the random variablesX o T^nk,n ε ℤ generateB modulom.     

Spectral Density for Third Order Cumulants under Strong Mixing Conditions

If X{X_v: v ^d} is a strictly stationary random field, with X₀ bounded and expressible as a sum of indicator functions satisfying certain conditions, if the mixing coefficient α(s) is summable over ^d (that, is, ∑_m m^d−1α(m)<∞), and if a mixing condition involving three sets is satisfied, then the third order cumulant Cum(X_a, X_b, X_c) of X has a continuous spectral density. We do not begin with the assumption that the cumulants are absolutely summable.     

Hypothesis testing for the common mean of two normal distributions in the presence of an indifference zone

Summary LetX ₁,...,X _m andY _t,...,Y be independent, random samples from populations which are N(θ,σ _x ² ) and N(θ,σ _y ² ), respectively, with all parameters unknown. In testingH ₀:θ=0 againstH ₁:θ≠0, thet-test based upon either sample is known to be admissible in the two-sample setting. If, however, one testsH ₀ againstH ₁:|θ|≧ε>0, with ε arbitrary, our main results show: (i) the construction of a test which is better than the particulart-test chosen, (ii) eacht-test is admissible under the invariance principle with respect to the group of scale changes, and (iii) there does not exist a test which simultaneously is better than botht-tests.     

Robust M-estimators of location vectors

Let X₁,…,X_n be i.i.d. random vectors in R^m, let θεR^m be an unknown location parameter, and assume that the restriction of the distribution of X₁−θ to a sphere of radius d belongs to a specified neighborhood of distributions spherically symmetric about 0. Under regularity conditions on and d, the parameter θ in this model is identifiable, and consistent M-estimators of θ (i.e., solutions of Σ_i=1ⁿψ(|X_i− |)(X_i− )=0) are obtained by using “re-descenders,” i.e., ψ's wh satisfy ψ(x)=0 for x≥c. An iterative method for solving for is shown to produce consistent and asymptotically normal estimates of θ under all distributions in . The following asymptotic robustness problem is considered: finding the ψ which is best among the re-descenders according to Huber's minimax variance criterion.     

Convergence in Distribution of Products of I.I.D. Nonnegative Matrices

Let (X _i) be a sequence of m × m i.i.d. stochastic matrices with distribution . Then ⁿ is the distribution of X _n X _n–1 ...X ₁. Simple sufficient conditions for the weak convergence of ( ⁿ ) are presented here. An extremely simple (and verifiable) necessary and sufficient condition is provided for m= 3. The method for m= 3 works for m> 3 even though calculations are more involved for higher values of m. We also discuss the purity of the limit distribution for m2.     

Entropy and<Emphasis Type="Italic">σ</Emphasis>-algebra equivalence of certain random walks on random sceneries

LetX=X ₀,X ₁,…be a stationary sequence of random variables defining a sequence space Σ with shift mapσ and let (T _t, Ω) be an ergodic flow. Then the endomorphismT _X(x, ω)=(σ(x),T _{x 0}(ω)) is known as a random walk on a random scenery. In [4], Heicklen, Hoffman and Rudolph proved that within the class of random walks on random sceneries whereX is an i.i.d. sequence of Bernoulli-(1/2, 1/2) random variables, the entropy ofT _t is an isomorphism invariant. This paper extends this result to a more general class of random walks, which proves the existence of an uncountable family of smooth maps on a single manifold, no two of which are measurably isomorphic. This research was sustained in part by fellowship support from the National Physical Science Consortium and the National Security Agency.     

Products of random varibles depending on a random walk

LetX=(X _n ) _n0 denote an irreducible random walk (ergodic in the sense of [7]) on a compact metrizable abelian groupG. In this paper we characterize completely the limit distributions of the productsY _n =X ₀...X _n . In particular we find necessary and sufficient conditions forX and/orG to imply that the products are asymptotically equidistributed in the mean, i. e. {im171-1} holds for all open,m _G -regular subsetsA ofG (m _G : normalized Haar measure).—For example ifG is monothetic and connected or ifX is asymptotically equidistributed (not merely in the mean) then the products are asymptotically equidistributed in the mean.Dedicated to Prof. Dr. L. Schmetterer on his 60^th Birthday     

Checking the adequacy of the multivariate semiparametric location shift model

Let X,X₁,…,X_m,…, Y,Y₁,…,Y_n,… be independent d-dimensional random vectors, where the X_j are i.i.d. copies of X, and the Y_k are i.i.d. copies of Y. We study a class of consistent tests for the hypothesis that Y has the same distribution as X+μ for some unspecified . The test statistic L is a weighted integral of the squared modulus of the difference of the empirical characteristic functions of and Y₁,…,Y_n, where is an estimator of μ. An alternative representation of L is given in terms of an L²-distance between two nonparametric density estimators. The finite-sample and asymptotic null distribution of L is independent of μ. Carried out as a bootstrap or permutation procedure, the test is asymptotically of a given size, irrespective of the unknown underlying distribution. A large-scale simulation study shows that the permutation procedure performs better than the bootstrap.     

Superbranching processes and projections of random Cantor sets

We study sequences (X ₀, X ₁, ...) of random variables, taking values in the positive integers, which grow faster than branching processes in the sense that , for m, n0, where the X _n (m, i) are distributed as X _n and have certain properties of independence. We prove that, under appropriate conditions, X _n ^1/n almost surely and in L ¹, where =sup E(X _n )^1/n . Our principal application of this result is to study the Lebesgue measure and (Hausdorff) dimension of certain projections of sets in a class of random Cantor sets, being those obtained by repeated random subdivisions of the M-adic subcubes of [0, 1] ^d . We establish a necessary and sufficient condition for the Lebesgue measure of a projection of such a random set to be non-zero, and determine the box dimension of this projection.Work done partly whilst visiting Cornell University with the aid of a Fulbright travel grant     

Error Bounds for Asymptotic Expansion of the Conditional Variance of the Scale Mixtures of the Multivariate Normal Distribution

Let X= A ^1/2 G be a scale mixture of a multivariate normal distribution with X, G ⁿ , Gis a multivariate normal vector, and A is a positive random variable independent of the multivariate random vector G. This study presents asymptotic results of the conditional variance-covariance, Cov(X ₂|X ₁), X ₁ ^m , m < n, under some moment expressions. A new representation form is also presented for conditional expectation of the scale variable on the random vector X ₁ ^m , m < n. Both the asymptotic expression and the representation are manageable and in computable form. Finally, an example is presented to illustrate how the computations are carried out.     

A characterization based on the equidistribution of the first two spacings of record values

Summary For a sequence {X _n:n=0, 1, 2,...} of i.i.d. discrete random variables let X ₀ denote the zeroeth record value and X _L(1), the first record value. It is shown that X ₀ and X _L(1) –X ₀ are identically distributed if and only if X ₀ has the geometric distribution over the lattice k :k=1, 2,... for some >0.     

On the equivalence of three potential principles for right Markov processes

Summary We examine three of the principles of probabilistic potential theory in a nonclassical setting. These are: (i) the bounded maximum principle, (ii) the positive definiteness of the energy (of measures of bounded potential), and (iii) the condition that each semipolar set is polar. These principles are known to be equivalent in the context of two Markov processes in strong duality, when excessive functions are lower semicontinuous. We show that when the principles are appropriately formulated their equivalence persists in the wider context of a Borel right Markov processX with distinguished excessive measurem. We make no duality hypotheses andm need not be a reference measure. Our main tools are the stationary process (Y, Q _m) associated withX andm, and a correspondence between potentials U and certain random measures over (Y, Q _m).Research supported in part by NSF Grant 8419377     

Hoeffding's inequalities: A counterexample

A sequence : ₀ satisfiesHoeffding's inequality of order n if wheneverX ₁,...,X _n are independent nonnegative integer-valued elementary random variables and are independent identically distributed nonnegative integer-valued elementary random variables, the common distribution of which is the average of those ofX ₁,...,X _n. We show that for each integerm greater than 2 there exists a sequence satisfying Hoeffding's inequality of every order greater thanm but not that of orderm. This answers a question raised by Berg, Christensen, and Ressel.     

Asymptotic relation for the density of a multidimensional random evolution with rare poisson switchings

A symmetric random evolution X(t) = (X ₁ (t), …, X _m (t)) controlled by a homogeneous Poisson process with parameter λ > 0 is considered in the Euclidean space ℝ ^m , m ≥ 2. We obtain an asymptotic relation for the transition density p(x, t), t > 0, of the process X(t) as λ → 0 and describe the behavior of p(x, t) near the boundary of the diffusion domain in spaces of different dimensions. Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 60, No. 12, pp. 1631 – 1641, December, 2008.     

Asymptotic Distribution of Extremes of Randomly Indexed Random Variables

Let {X _n} be a sequence of i.i.d. random variables and let {_k} be a sequence of random indexes. We study the problem of the existence of non-degenerated asymptotic distribution for min{X ₁,..., X _n}.     

Minimal graded free resolutions for monomial curves in 𝔸4 defined by almost arithmetic sequences

Let m = (m₀, m₁, m₂, n) be an almost arithmetic sequence, i.e., a sequence of positive integers with gcd(m₀, m₁, m₂, n) = 1, such that m₀ < m₁ < m₂ form an arithmetic progression, n is arbitrary and they minimally generate the numerical semigroup Γ =m₀? +m₁? +m₂? +n?. Let k be a field. The homogeneous coordinate ring k[Γ] of the affine monomial curve parametrically defined by X₀ = t^m₀, X₁ = t^m₁, X₂ = t^m₂, Y = tⁿ is a graded R-module, where R is the polynomial ring k[X₀, X₁, X₂, Y] with the grading degX_i: = m_i, degY: = n. In this paper, we construct a minimal graded free resolution for k[Γ].     

Perfect matchings in random s-uniform hypergraphs

Let E = {X₁, X₂…, X_m} where the X_i ? V for 1 ≤ i ≤ m are distinct. The hypergraph G = (V, E) is said to be s-uniform if |X₁| = s for 1 ≤ i ≤ m. A set of edges M = {X_i : i ? I } is a perfect matching if (i) i ≠ j ? I implies X_i ∩ X_i = 0, and (ii) ∪_i?I X_i = V. In this article we consider the question of whether a random s-uniform hypergraph contains a perfect matching. Let s ≥ 3 be fixed and m/n^4/3 → ∞. We show that an s-uniform hypergraph with m edges chosen uniformly from [74] contains a perfect matching with high probability. This improves an earlier result of Schmidt and Shamir who showed that m/n^3/2 → ∞ suffices. © 1995 John Wiley & Sons, Inc.     

SOME LIMIT PROPERTIES OF LOCAL TIME FOR RANDOM WALK

Let X,X1,X2 be i. i. d. random variables with EX^2＋δ〈∞ （for some δ〉0）. Consider a one dimensional random walk S={Sn}n≥0, starting from S0 =0. Let ζ＊ （n）=supx∈zζ（x,n）,ζ（x,n） =#{0≤k≤n：[Sk]=x}. A strong approximation of ζ（n） by the local time for Wiener process is presented and the limsup type and liminf-type laws of iterated logarithm of the maximum local time ζ＊（n） are obtained. Furthermore,the precise asymptoties in the law of iterated logarithm of ζ＊（n） is proved.