Rearrangements of Gaussian fields

The monotone rearrangement of a function is the non-decreasing function with the same distribution. The convex rearrangement of a smooth function is obtained by integrating the monotone rearrangement of its derivative. This operator can be applied to regularizations of a stochastic process to measure quantities of interest in econometrics.A multivariate generalization of these operators is proposed, and the almost sure convergence of rearrangements of regularized Gaussian fields is given. For the fractional Brownian field or the Brownian sheet approximated on a simplicial grid, it appears that the limit object depends on the orientation of the simplices.     

Large deviations and exponential decay for the magnetization in a Gaussian random field

Summary. We consider a continuous model for transverse magnetization of spins diffusing in a homogeneous Gaussian random longitudinal field , where is the coupling constant giving the intensity of the random field. In this setting, the transverse magnetization is given by the formula , where is the standard process of Brownian motion and is the covariance function of the original random field . We use large deviation techniques to show that the limit exists. We also determine the small behavior of the rate and show that it is indeed decaying as conjectured in the physics literature. Received: 30 June 1995 / In revised form: 26 January 1996     

SOME CENTRAL LIMIT THEOREMS FOR SUPER BROWNIAN MOTION

The author proves a central limit theorem for the critical super Brownian motion, which leads to a Gaussian random field. In the transient case the limitingfield is the same as that obtained by Dawson (1977). In the recurrent case it is aspatially uniform field. The author also give a central limit theorem for the weightedoccupation time of the super Brownian motion with underlying dimension numberd 3, completing the results of Iscoe (1986).     

A CLT concerning critical points of random functions on a Euclidean space

We prove a central limit theorem concerning the number of critical points in large cubes of an isotropic Gaussian random function on a Euclidean space.     

Almost sure central limit theorems on the Wiener space

In this paper, we study almost sure central limit theorems for sequences of functionals of general Gaussian fields. We apply our result to non-linear functions of stationary Gaussian sequences. We obtain almost sure central limit theorems for these non-linear functions when they converge in law to a normal distribution.     

On almost sure limit inferior for B-valued stochastic processes and applications

Summary A criterion on almost sure limit inferior for the increments of B-valued stochastic processes is presented. Applications to processes of independent increments and to Gaussian processes with stationary increments are given. In particular, an exact limit inferior bound is established for increments of infinite series of independent Ornstein-Uhlenbeck processes.Work supported by an NSERC Canada grant at Carleton UniversityWork supported by the Fok Yingtung Education Foundation of China     

Functional limit theorems for generalized quadratic variations of Gaussian processes

In this paper, we establish functional convergence theorems for second order quadratic variations of Gaussian processes which admit a singularity function. First, we prove a functional almost sure convergence theorem, and a functional central limit theorem, for the process of second order quadratic variations, and we illustrate these results with the example of the fractional Brownian sheet (FBS). Second, we do the same study for the process of localized second order quadratic variations, and we apply the results to the multifractional Brownian motion (MBM).     

On Kendall-Ressel and related distributions

We delineate a connection of Kendall-Ressel and related laws with the lower real branch of Lambert W function. A characterization of the canonical member of Kendall-Ressel class is found. The Letac-Mora interpretation of the reciprocity of two specific NEFs is extended by considering two related reproductive EDMs. A local limit theorem on gamma convergence for the reproductive back-shifted Kendall-Ressel EDM is derived. Each member of this EDM is self-decomposable and unimodal, but not strongly unimodal. The coefficient of variation, skewness and kurtosis of each representative of this EDM are higher than the corresponding measures for the members of gamma and inverse Gaussian EDMs. An integral representation for the lower real branch of Lambert W function is given.     

Fluctuations of shapes of large areas under paths of random walks

Summary We discuss statistical properties of random walks conditioned by fixing a large area under their paths. We prove the functional central limit theorem (invariance principle) for these conditional distributions. The limiting Gaussian measure coincides with the conditional probability distribution of certain timenonhomogeneous Gaussian random process obtained by an integral transformation of the white noise. From the point of view of statistical mechanics the studied problem is the problem of describing the fluctuations of the phase boundary in the one-dimensional SOS-model.     

On Toeplitz type quadratic functionals of stationary Gaussian processes

Summary A central limit theorem for Toeplitz type quadratic functionals of a stationary Gaussian processX(t),t, is proved, generalizing the result of Avram [1] for discrete time processes. The result is applied to the problem of nonparametric estimation of linear functionals of an unknown spectral density function. We give some upper bounds for the minimax mean square risk of the nonparametric estimators, similar to those by Ibragimov and Has'minskii [12] for a probability density function.     

Spatially homogeneous random evolutions

Spatially homogeneous random evolutions arise in the study of the growth of a population in a spatially homogeneous random environment. The random evolution is obtained as the solution of a bilinear stochastic evolution equation. The main results are concerned with the asymptotic behavior of the solution for large times. In particular, conditions for the existence of a stationary random field are established. Furthermore space-time renormalization limit theorems are obtained which lead to either Gaussian or non-Gaussian generalized processes depending on the case under consideration.     

A local limit theorem for a transient chaotic walk in a frozen environment

This paper studies particle propagation in a one-dimensional inhomogeneous medium where the laws of motion are generated by chaotic and deterministic local maps. Assuming that the particle’s initial location is random and uniformly distributed, this dynamical system can be reduced to a random walk in a one-dimensional inhomogeneous environment with a forbidden direction. Our main result is a local limit theorem which explains in detail why, in the long run, the random walk’s probability mass function does not converge to a Gaussian density, although the corresponding limiting distribution over a coarser diffusive space scale is Gaussian.     

The class of tenable zero-balanced Pólya urns with an initially dominant subset of colors

In Kholfi and Mahmoud (2011) the class of tenable irreducible nondegenerate zero-balanced Pólya urn schemes is introduced and its asymptotic behavior in various phases is studied. In the absence of an initially dominant subset of colors, the counts of balls of all the colors satisfy multivariate central limit theorems. It is reported there that the case of an initially dominant subset of colors poses challenges requiring finer asymptotic analysis. In the present investigation we follow up on this. Indeed, we characterize noncritical cases with an initially dominant subset of colors in which not all ball counts satisfy one multivariate central limit theorem, but rather a subset of the ball counts satisfies a singular multivariate central limit theorem. The rest of the cases are critical, in which all the ball counts satisfy a multivariate central limit theorem, but under a different scaling. However, for these critical cases the Gaussian phases are delayed considerably.     

Nonparametric estimation of the local Hurst function of multifractional Gaussian processes

A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a multidimensional central limit theorem for this estimator are established. Similar results are obtained for a refinement of the generalized quadratic variations (QV) estimator. The example of the multifractional Brownian motion is studied in detail. A simulation study is included showing that the IR-estimator is more accurate than the QV-estimator.     

Gaussian fields and Gaussian sheets with generalized Cauchy covariance structure

Two types of Gaussian processes, namely the Gaussian field with generalized Cauchy covariance (GFGCC) and the Gaussian sheet with generalized Cauchy covariance (GSGCC) are considered. Some of the basic properties and the asymptotic properties of the spectral densities of these random fields are studied. The associated self-similar random fields obtained by applying the Lamperti transformation to GFGCC and GSGCC are studied.     

On the limit distribution of the correlogram of a stationary Gaussian process with weak decrease in correlation

An example of the non-Gaussian limit distribution of the statistical estimate of the correlation function of a stationary Gaussian process with unbounded spectral density (or with a nonintegrable correlation function) is given.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 45, No. 12, pp. 1635–1641, December, 1993.     

Gaussian approximation of local empirical processes indexed by functions

Summary. An extended notion of a local empirical process indexed by functions is introduced, which includes kernel density and regression function estimators and the conditional empirical process as special cases. Under suitable regularity conditions a central limit theorem and a strong approximation by a sequence of Gaussian processes are established for such processes. A compact law of the iterated logarithm (LIL) is then inferred from the corresponding LIL for the approximating sequence of Gaussian processes. A number of statistical applications of our results are indicated. Received: 11 January 1995/In revised form: 12 July 1996     

Scaling limits for point random fields

If X is a point random field on $\text{R}$^d then convergence in distribution of the renormalization C_λ|X_λ ? α_λ| as λ → ∞ to generalized random fields is examined, where C_λ > 0, α_λ are real numbers for λ > 0, and X_λ(f) = λ^?dX(f_λ) for $\text{f}{}_{\mathrm{\lambda }}\text{(x) = f(}\text{x}\text{λ}\text{)}$. If such a scaling limit exists then C_λ = λ^θg(λ), where g is a slowly varying function, and the scaling limit is self-similar with exponent θ. The classical case occurs when $\text{θ =}\text{d}\text{2}$ and the limit process is a Gaussian white noise. Scaling limits of subordinated Poisson (doubly stochastic) point random fields are calculated in terms of the scaling limit of the environment (driving random field). If the exponent of the scaling limit is $\text{θ =}\text{d}\text{2}$ then the limit is an independent sum of the scaling limit of the environment and a Gaussian white noise. If $\text{θ <}\text{d}\text{2}$ the scaling limit coincides with that of the environment while if $\text{θ >}\text{d}\text{2}$ the limit is Gaussian white noise. Analogous results are derived for cluster processes as well.     

A Renormalization Group Method by Harmonic Extensions and the Classical Dipole Gas

In this paper, we develop a new renormalization group method, which is based on conditional expectations and harmonic extensions, to study functional integrals of small perturbations of Gaussian fields. In this new method, one integrates Gaussian fields inside domains at all scales conditioning on the fields outside these domains, and by the variation principle solves local elliptic problems. It does not rely on an a priori decomposition of the Gaussian covariance. We apply this method to the model of classical dipole gas on the lattice, and show that the scaling limit of the generating function with smooth test functions is the generating function of the renormalized Gaussian free field.     

Limit distributions of random matrices

We study limit distributions of independent random matrices as well as limit joint distributions of their blocks under normalized partial traces composed with classical expectation. In particular, we are concerned with the ensemble of symmetric blocks of independent Hermitian random matrices which are asymptotically free, asymptotically free from diagonal deterministic matrices, and whose norms are uniformly bounded almost surely. This class contains symmetric blocks of unitarily invariant Hermitian random matrices whose asymptotic distributions are compactly supported probability measures on the real line. Our approach is based on the concept of matricial freeness which is a generalization of freeness in free probability. We show that the associated matricially free Gaussian operators provide a unified framework for studying the limit distributions of sums and products of independent rectangular random matrices, including non-Hermitian Gaussian matrices and matrices of Wishart type.