Penultimate limiting forms in extreme value theory

Summary Let {X _n}_n≧1 be a sequence of independent, identically distributed random variables. If the distribution function (d.f.) ofM _n=max (X ₁,…,X _n), suitably normalized with attraction coefficients {α_n}_n≧1(α_n>0) and {b _n}_n≧1, converges to a non-degenerate d.f.G(x), asn→∞, it is of interest to study the rate of convergence to that limit law and if the convergence is slow, to find other d.f.'s which better approximate the d.f. of(M _n−b_n)/a_n thanG(x), for moderaten. We thus consider differences of the formF ⁿ(a_nx+b_n)−G(x), whereG(x) is a type I d.f. of largest values, i.e.,G(x)≡Λ(x)=exp (-exp(−x)), and show that for a broad class of d.f.'sF in the domain of attraction of Λ, there is a penultimate form of approximation which is a type II [Ф _α(x)=exp (−x^−α), x>0] or a type III [Ψ _α(x)= exp (−(−x)^α), x<0] d.f. of largest values, much closer toF ⁿ(a_nx+b_n) than the ultimate itself.     

A rigidity result for highest order local cohomology modules

Let M be a finitely generated faithful module over a noetherian ring R of dimension d < ￥ \infty and let \mathfrak a \subseteqq R {\mathfrak a} \subseteqq R be an ideal. We describe the (finite) set Supp_R(H_{\mathfrak a}^d (M)) = Ass_R(H_{\mathfrak a}^d (M)) \textrm{Supp}_R(H_{\mathfrak a}^d (M)) = \textrm{Ass}_R(H_{\mathfrak a}^d (M)) of primes associated to the highest local cohomology module H_{\mathfrak a}^d (M) H_{\mathfrak a}^d (M) in terms of the local formal behaviour of \mathfrak a {\mathfrak a} . If R is integral and of finite type over a field, Supp_R(H_{\mathfrak a}^d (M)) \textrm{Supp}_R(H_{\mathfrak a}^d (M)) is the set of those closed points of X = Spec(R) whose fibre under the normalization morphism n: X￠? X \nu : X' \rightarrow X contains points which are isolated in n^-1(Spec(R/\mathfrak a)) \nu^{-1}(\textrm{Spec}(R/{\mathfrak a})) .     

Diameters of finite upper half plane graphs

Let GF(q) be a finite field of q elements. Let G denote the group of matrices M(x, y) = (^{y x}_{0 1}) over GF(q) with y ≠ 0. Fix an irreducible polynomial For each a ϵ GF(q), let X_a be the graph whose vertices are the q² − q elements of G, with two vertices M(x, y), M(v, w) joined by an edge if and only if The graphs X_a with a ϵ/ {0, t² − 4n} are (q + 1)-regular connected graphs which have received recent attention, as they've been shown to be Ramanujan graphs. We determine the diameter of these graphs X_a. © 1996 John Wiley & Sons, Inc.     

On samples of independent random vectors in spaces of infinitely increasing dimension

We study the asymptotic behavior of a set of random vectors ξ_i, i = 1,..., m, whose coordinates are independent and identically distributed in a space of infinitely increasing dimension. We investigate the asymptotics of the distribution of the random vectors, the consistency of the sets M _m⁽ⁿ⁾ = ξ₁,..., ξ_m and X _n^λ = x ∈ X _n: ρ(x) ≤ λn, and the mutual location of pairs of vectors. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 12, pp. 1706–1711, December, 1998.     

Spectral Criteria of Abstract Sequences; Application to Difference Equations

We suppose that M is a closed subspace of l ^∞(J, X), the space of all bounded sequences {x(n)} _n?J ? X, where J ? {Z⁺,Z} and X is a complex Banach space. We define the M-spectrum σ_M (u) of a sequence u ? l ^∞(J,X). Certain conditions will be supposed on both M and σ_M (u) to insure the existence of u ? M. We prove that if u is ergodic, such that σ_M (u,) is at most countable and, for every λ ? σ_M (u), the sequence e^?iλnu(n) is ergodic, then u ? M. We apply this result to the operator difference equationu(n + 1) = Au(n) + ψ(n), n ? J,and to the infinite order difference equation Σ ^r _k=1 a_k (u(n + k) ? u(n)) + Σ _{s ? Z}?(n ? s)u(s) = h(n), n?J, where ψ?l ^∞(Z,X) such that ψ| _J ? M, A is the generator of a C ₀-semigroup of linear bounded operators {T(t)} _t>0 on X, h ? M, ? ? l ¹(Z) and a_k ?C. Certain conditions will be imposed to guarantee the existence of solutions in the class M.     

On the convergence of optimum stratifications for empiric distribution function in univariate case

Summary Let {X _n },n=1,2,..., be a sequence of independent random variables distributed according to a distribution functionF(x) with finite variance,F _n (x) be the empiric distribution function ofX ₁,...,X _n for eachn, andφ _(n) ^* andφ ^* be optimum stratifications corresponding toF _n (x) andF(x) respectively. It is shown in this paper thatφ _(a) ^* tends almost surely toφ ^* under a suitable criterion. Institute of Statistical Mathematics     

Equidistribution of sparse sequences on nilmanifolds

We study equidistribution properties of nil-orbits (b ⁿ x) _n∈ℕ when the parameter n is restricted to the range of some sparse sequence that is not necessarily polynomial. For example, we show that if X = G/Γ is a nilmanifold, b ∈ G is an ergodic nilrotation, and c ∈ ℝ \ ℤ is positive, then the sequence $ (b^{[n^c ]} x)_{n \in \mathbb{N}} $ (b^{[n^c ]} x)_{n \in \mathbb{N}} is equidistributed in X for every x ∈ X. This is also the case when n ^c is replaced with a(n), where a(t) is a function that belongs to some Hardy field, has polynomial growth, and stays logarithmically away from polynomials, and when it is replaced with a random sequence of integers with sub-exponential growth. Similar results have been established by Boshernitzan when X is the circle.     

The limiting angle of certain riemannian brownian motions

Let M be a Cartan-Hadamard manifold of dimension d ≧ 3, let p ? M and x = exp {r(x)θ(x)} be geodesic polar coordinates with pole p and let X be the Brownian motion on M. Let Sect_M(x) denote the sectional curvature of any plane section in M_x. We prove that for each c > 2, there is a 0 < β < 1 such that if - L²r(x)^2β ≦ Sect_M(x) ≦ -cr(x)^?2 for all x in the complement of a compact set, then lim_{t → ∞} θ(X_t) exists a.s. and defines a nontrivial invariant random variable. The Dirichlet problem at infinity and a conjecture of Greene and Wu are also discussed.     

The occurrence of large values in stationary sequences

Summary A direct proof is given of the Tanny (1974) result that for certain non-decreasing sequences a _n , it is true that lim supa _n ^–1 X _n = 0 or + with probability one for all ergodic stationary sequences X _n . The condition on a _n is shown to be necessary. For all non-decreasing a _n and stationary X _n , lim sup a _n ^–1 X _n= lim sup a _n ^–1 X _–n a.s. Similar continuous-time theorems are also given.This research supported in part by the Natural Sciences and Engineering Research Council of Canada     

On measure concentration for separately Lipschitz functions in product spaces

Let M _n = X ₁ + ⋯ + X _n be a martingale with bounded differences X _m = M _m − M _m −1 such that ℙ{a _m − σ _m ≤ X _m ≤ a _m + σ _m } = 1 with nonrandom nonnegative σ _m and σ(X ₁, …, X _m −1)-measurable random variables a _m . Write σ ² = σ ₁ ² + ⋯ + σ _n ² . Let I(x) = 1 − Φ(x), where Φ is the standard normal distribution function. We prove the inequalities

Robust estimation in the linear model with asymmetric error distributions

In the linear model X^{n × 1} = C^{n × p}θ^{p × 1} + E^{n × 1}, Huber's theory of robust estimation of the regression vector θ^{p × 1} is adapted for two models for the partially specified common distribution F of the i.i.d. components of the error vector E^{n × 1}. In the first model considered, the restriction of F to a set [−a₀, b₀] is a standard normal distribution contaminated, with probability , by an unknown distribution symmetric about 0. In the second model, the restriction of F to [−a₀, b₀] is completely specified (and perhaps asymmetrical). In both models, the distribution of F outside the set [−a₀, b₀] is completely unspecified. For both models, consistent and asymptotically normal M-estimators of θ^{p × 1} are constructed, under mild regularity conditions on the sequence of design matrices {C^{n × p}}. Also, in both models, M-estimators are found which minimize the maximal mean-squared error. The optimal M-estimators have influence curves which vanish off compact sets.     

Arithmetic of semigroups of series in multiplicative systems

We study the arithmetic of a semigroup M_P\mathcal{M}_{\mathcal{P}} of functions with operation of multiplication representable in the form f(x) = ?_{n = 0}^￥ a_nc_n(x)    ( a_n 3 0,?_{n = 0}^￥ a_n = 1 ) f(x) = \sum\nolimits_{n = 0}^\infty {{a_n}{\chi_n}(x)\quad \left( {{a_n} \ge 0,\sum\nolimits_{n = 0}^\infty {{a_n} = 1} } \right)} , where { c_n }_{n = 0}^￥ \left\{ {{\chi_n}} \right\}_{n = 0}^\infty is a system of multiplicative functions that are generalizations of the classical Walsh functions. For the semigroup M_P\mathcal{M}_{\mathcal{P}}, analogs of the well-known Khinchin theorems related to the arithmetic of a semigroup of probability measures in R ⁿ are true. We describe the class I₀(M_P)I_0(\mathcal{M}_{\mathcal{P}}) of functions without indivisible or nondegenerate idempotent divisors and construct a class of indecomposable functions that is dense in M_P\mathcal{M}_{\mathcal{P}} in the topology of uniform convergence.     

Almost sure central limit theorem for partial sums and maxima

Let X, X₁, X₂, … be i.i.d. random variables with nondegenerate common distribution function F, satisfying EX = 0, EX² = 1. Let X_i and M_n = max{X_i, 1 ≤ i ≤ n }. Suppose there exists constants a_n > 0, b_n ∈ R and a nondegenrate distribution G (y) such that Then, we have almost surely, where f (x, y) denotes the bounded Lipschitz 1 function and Φ(x) is the standard normal distribution function (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Stability of Doob—Meyer Decomposition Under Extended Convergence

In what follows, we consider the relation between Aldous‘s extended convergence and weak convergence of filtrations. We prove that, for a sequence (X^n) of Ft^n )-special semimartingales, with canonical decomposition X^n =M^n A^n, if the extended convergence (X^n,F.^n)→(X,T. ) holds with a quasi-left continuous (Ft)-special semimartingale X = M A, then, under an additional assumption of uniform integrability,we get the convergence in probability under the Skorokhod topology: M^n↑P→M and A^n↑P→ A.     

Weakly Associated Prime Filtration

Let R be a (not necessarily Noetherian) commutative ring and let M be a (not necessarily finitely generated) R-module. We characterize the modules with only finitely many weakly associated primes as those modules M admitting a chain 0 = M ₀ M ₁ ... M _n = M of submodules together with prime ideals p₁, p₂,...,p _n such that the set of weakly associated primes of M _i /M _i-1 is equal to {p _i } for all 1 i n. Let M = gr_a(M) = _n0a ⁿ M/a ⁿ⁺¹ M be the corresponding graded module over the graded ring R = gr_a(R) = _n0a ⁿ /a ⁿ⁺¹. It is shown that the union of the set of weakly associated primes of.....     

On almost sure max-limit theorems of complete and incomplete samples from stationary sequences

Let M _n denote the partial maximum of a strictly stationary sequence (X _n ). Suppose that some of the random variables of (X _n ) can be observed and let [(M)\tilde]_n\tilde M_n stand for the maximum of observed random variables from the set {X ₁, ..., X _n }. In this paper, the almost sure limit theorems related to random vector ([(M)\tilde]_n\tilde M_n , M _n ) are considered in terms of i.i.d. case. The related results are also extended to weakly dependent stationary Gaussian sequence as its covariance function satisfies some regular conditions.     

Two properties of sequence of vector measures on effect algebras

Let (L,⊕,0,1) be an effect algebra and let X be a Banach space. A function μ : L → X is called a vector measure if μ(a ⊕ b) = μ(a) + μ(b) whenever a⊥b in L. The function μ is said to be s-bounded if lim n→∞μ(a n ) = 0 in X for any orthogonal sequence (a n ) n∈N in L. In this paper, we introduce two properties of sequence of s-bounded vector measures and give some results on these properties.     

Asymptotic Behavior of the Maximum of Sums of I.I.D. Random Variables along Monotone Blocks

Let {X_i, Y_i}_i=1,2,... be an i.i.d. sequence of bivariate random vectors with P(Y₁ = y) = 0 for all y. Put M_n(j) = max_0≤k≤n-j (X_k+1 + ... X_k+j)I_k,j, where I_k,k+j = I{Y_k+1 < ⋯ < Y_k+j} denotes the indicator function for the event in brackets, 1 ≤ j ≤ n. Let L_n be the largest index l ≤ n for which I_k,k+l = 1 for some k = 0, 1, ..., n - l. The strong law of large numbers for “the maximal gain over the longest increasing runs,” i.e., for M_n(L_n) has been recently derived for the case where X₁ has a finite moment of order 3 + ε, ε > 0. Assuming that X₁ has a finite mean, we prove for any a = 0, 1, ..., that the s.l.l.n. for M(L_n - a) is equivalent to EX ₁ ^3+a I{X₁ > 0} < ∞. We derive also some new results for the a.s. asymptotics of L_n. Bibliography: 5 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 311, 2004, pp. 179–189.     

Differentiable and analytic families of continuous martingales in manifolds with connection

Summary.  We prove that the derivative of a differentiable family X _t (a) of continuous martingales in a manifold M is a martingale in the tangent space for the complete lift of the connection in M, provided that the derivative is bicontinuous in t and a. We consider a filtered probability space (Ω,(ℱ _t )_{0≤ t ≤1}, ℙ) such that all the real martingales have a continuous version, and a manifold M endowed with an analytic connection and such that the complexification of M has strong convex geometry. We prove that, given an analytic family a↦L(a) of random variable with values in M and such that L(0)≡x ₀∈M, there exists an analytic family a↦X(a) of continuous martingales such that X ₁(a)=L(a). For this, we investigate the convexity of the tangent spaces T ^{( n )} M, and we prove that any continuous martingale in any manifold can be uniformly approximated by a discrete martingale up to a stopping time T such that ℙ(T<1) is arbitrarily small. We use this construction of families of martingales in complex analytic manifolds to prove that every ℱ₁-measurable random variable with values in a compact convex set V with convex geometry in a manifold with a C ¹ connection is reachable by a V-valued martingale. Received: 14 March 1996/In revised form: 12 November 1996     

Limit distributions for the maxima of stationary Gaussian processes

Let {X_n} be a stationary Gaussian sequence with E{X₀} = 0, {X²₀} = 1 and E{X₀X_n} = rⁿ_n Let c_n = (2ln n)^{$\text{built1}\text{2}$}, b_n = c_n? $\text{1}\text{2}$c^-1_n ln(4π ln n), and set M_n = max_{0 ?k?n}X_k. A classical result for independent normal random variables is that

$\text{P[c}{}_{\mathrm{n}}\text{(M}{}_{\mathrm{n}}\text{?b}{}_{\mathrm{n}}\text{)?x]→exp[-e}{}^{\mathrm{-x}}\text{] as n → ∞ for all x.}$

Berman has shown that (1) applies as well to dependent sequences provided r_nlnn = o(1). Suppose now that {r_n} is a convex correlation sequence satisfying r_n = o(1), (r_nlnn)^-1 is monotone for large n and o(1). Then

$\text{P[r}{}_{\mathrm{n}}{}^{\mathrm{<mtext>-1</mtext><mtext>2</mtext>}}\text{(M}{}_{\mathrm{n}}\text{? (1?r}{}_{\mathrm{n}}\text{)}{}^{\mathrm{<mtext>1</mtext><mtext>2</mtext>}}\text{b}{}_{\mathrm{n}}\text{)?x] → Ф(x)}$

for all x, where Ф is the normal distribution function. While the normal can thus be viewed as a second natural limit distribution for {M_n}, there are others. In particular, the limit distribution is given below when r_n is (sufficiently close to) γ/ln n. We further exhibit a collection of limit distributions which can arise when r_n decays to zero in a nonsmooth manner. Continuous parameter Gaussian processes are also considered. A modified version of (1) has been given by Pickands for some continuous processes which possess sufficient asymptotic independence properties. Under a weaker form of asymptotic independence, we obtain a version of (2).