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.     

相关序的进一步研究

Let (X1,X2,…,Xn) and (Y1,Y2,…Yn) be real random vectors with the same marginal distributions,if (X1,X2,…,Xn)≤c(Y1,Y2,…Yn), it is showed in this paper that ∑i=1^n Xi≤cx∑i=1^n Yi and max1≤k≤n∑i=1^k Xi≤icx max1≤k≤n∑i=1^k Yi hold. Based on this fact,a more general comparison theorem is obtained.     

Exact laws for sums of ratios of order statistics from the Pareto distribution

Consider independent and identically distributed random variables {X _nk, 1 ≤ k ≤ m, n ≤ 1} from the Pareto distribution. We select two order statistics from each row, X _n(i) ≤ X _n(j), for 1 ≤ i < j ≤ = m. Then we test to see whether or not Laws of Large Numbers with nonzero limits exist for weighted sums of the random variables R _ij = X _n(j)/X _n(i).     

A characteristic property of spheres

Summary We prove: Let S be a closed n-dimensional surface in an(n+1)-space of constant curvature (n ≥ 2); k₁ ≥ ... ≥ k_n denote its principle curvatures. Let φ(ξ₁, ..., ξ_n) be such that . Then if φ(k₁, ..., k_n)=const on S and S is subject to some additional general conditions (those(II ₀) or(II) n^o 1), S is a sphere. To Enrico Bompiani on his scientific Jubilee     

Two Paths Joining Given Vertices in 2k-Edge-Connected Graphs

Let k≥2 be an integer and G = (V(G), E(G)) be a k-edge-connected graph. For X⊆V(G), e(X) denotes the number of edges between X and V(G) − X. Let {s_i, t_i}⊆X_i⊆V(G) (i=1,2) and X₁∩X₂=∅. We here prove that if k is even and e(X_i)≤2k−1 (i=1,2), then there exist paths P₁ and P₂ such that P_i joins s_i and t_i, V(P_i)⊆X_i (i=1,2) and G − E(P₁∪P₂) is (k−2)-edge-connected (for odd k, if e(X₁)≤2k−2 and e(X₂)≤2k−1, then the same result holds [10]), and we give a generalization of this result and some other results about paths not containing given edges.     

The limit space Cc(X,Y) and the connected components of X and Y

Let X and Y be limit spaces (in the sense of FISCHER). For f ? C(X, Y), let [f] denote the subset of C(X, Y), where the maps take the connected components of X into those of Y quite analogously to f. The subspace [f] of the continuous convergence space C_c(X, Y) is written as a product II C_c(X_i, Y_k(i)), where X_i runs through the components of X and Y_k(i) always is the component of Y which contains the set f(X_i). Sufficient conditions for the representation C_c(X, Y) = Σ [f] are given (in terms of the spaces X and Y). Some applications on limit homeomorphism groups are included.     

Invariants for an adjoint action of classical groups

Let H=Sp(n) or H=O(n); and char K≠2 in the orthogonal case. We prove that an invariant algebra K[M(n)^m]^H is generated by elements σ_i(Y_j1..._j2, where every matrix Y_i either is X_i or the (symplectic) transpose of X_i. Supported by RFFR grant No. 98-01-00932. Translated fromAlgebra i Logika, Vol. 38, No. 5, pp. 549–584, September–October, 1999.     

Universal PI-algebras and algebras of generic matrices

Let Ω[ξ] denote the polynomial algebra (with 1) in commutative indeterminates {ie65-1}, 1 ≦i, j ≦n, 1 ≦k < ∞, over a commutative ring Ω. Thealgebra of generic matrices Ω [Y] is defined to be the Ω-subalgebra ofM _n (Ω[ξ]) generated by the matricesY _k=({ie65-2}), 1 ≦i, j ≦n, 1 ≦k < ∞. This algebra has been studied extensively by Amitsur and by Procesi in particular Amitsur has used it to construct a finite dimensional, central division algebra Ω (Y) which is not a crossed product. In this paper we shall prove, for Ω a domain, that Ω(Y) has exponentn in the Brauer group (Amitsur may already know this fact); consequently, for Ω an infinite field andn a multiple of 4, iff(X ₁, …,X _m) is a polynomial linear in all theX _i but one (similar to Formanek’s central polynomials for matrix rings) andf ² is central forM _n (Ω), thenf is central forM _n (Ω). (The existence of a polynomial not central forM _n (Ω), but whose square is central forM _n(Ω) is equivalent to every central division algebra of degreen containing a quadratic extension of its center; well-known theory immediately shows this is the case of 4‖n and 8χn.) Also, information is obtained about Ω(Y) for arbitary Ω, most notably that the Jacobson radical is the set of nilpotent elements. Partial support for this work was provided by National Science Foundation grant NSF-GP 33591.     

A characterization of limiting distributions of estimators in an autoregressive process

Summary Let the random variablesX ₁,X ₂, ...,X _n be generated by the first-order autoregressive modelX _i =θX _i−1 +e _i wheree _i ,i=1, 2, ...,n, are i.i.d. random variables with mean zero, variance σ², and with unspecified density functiong(·). In the present paper we obtain a characterization of limiting distributions of nonparametric and parametric estimators of θ as well as a local asymptotic minimax bound of the risks of estimators.     

On Projections of Semi-Algebraic Sets Defined by Few Quadratic Inequalities

Let S⊂ℝ ^k+m be a compact semi-algebraic set defined by P ₁≥0,…,P _ℓ ≥0, where P _i ∈ℝ[X ₁,…,X _k ,Y ₁,…,Y _m ], and deg (P _i )≤2, 1≤i≤ℓ. Let π denote the standard projection from ℝ ^k+m onto ℝ ^m . We prove that for any q>0, the sum of the first q Betti numbers of π(S) is bounded by (k+m) ^{O(q ℓ)}. We also present an algorithm for computing the first q Betti numbers of π(S), whose complexity is . For fixed q and ℓ, both the bounds are polynomial in k+m. The author was supported in part by an NSF Career Award 0133597 and a Sloan Foundation Fellowship.     

Principal bundles whose restrictions to a curve are isomorphic

Let X be a normal projective variety defined over an algebraically closed field k. Let |O _X (1)| be a very ample invertible sheaf on X. Let G be an affine algebraic group defined over k. Let E _G and F _G be two principal G-bundles on X. Then there exists an integer n > > 0 (depending on E _G and F _G ) such that if the restrictions of E _G and F _G to a curve C ∈ |O _X (n)| are isomorphic, then they are isomorphic on all of X.     

Co-monotone allocations,Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion

For every integrable allocation (X ₁,X ₂, ...,X _n ) of a random endowmentY= _i ^=1/n X _i amongn agents, there is another allocation (X ₁*,X ₂*, ...,X _n *) such that for every 1in,X _i * is a nondecreasing function ofY (or, (X ₁*,X ₂*, ...,X _n *) areco-monotone) andX _i * dominatesX _i by Second Degree Dominance.If (X ₁*,X ₂*, ...,X _n *) is a co-monotone allocation ofY= _i ^=1/n X _i *, then for every 1in, Y is more dispersed thanX _i * in the sense of the Bickel and Lehmann stochastic order.To illustrate the potential use of this concept in economics, consider insurance markets. It follows that unless the uninsured position is Bickel and Lehmann more dispersed than the insured position, the existing contract can be improved so as to raise the expected utility of both parties, regardless of their (concave) utility functions.     

Order of magnitude bounds for expectations of Δ2-functions of generalized random bilinear forms

Let Φ be a symmetric function, nondecreasing on [0,∞) and satisfying a Δ₂ growth condition, (X ₁,Y ₁), (X ₂,Y ₂),…,(X _n ,Y _n ) be arbitrary independent random vectors such that for any given i either Y _i =X _i or Y _i is independent of all the other variates. The purpose of this paper is to develop an approximation of

On symmetric basic sequences in lorentz sequence spaces II

It is shown that if {y _n} is a block of type I of a symmetric basis {x _n} in a Banach spaceX, then {y _n} is equivalent to {x _n} if and only if the closed linear span [y _n] of {y _n} is complemented inX. The result is used to study the symmetric basic sequences of the dual space of a Lorentz sequence spaced(a, p). Let {x _n,f _n} be the unit vector basis ofd(a, p), for 1≤p<+∞. It is shown that every infinite-dimensional subspace ofd(a, p) (respectively, [f _n] has a complemented subspace isomorphic tol _p (respectively,l _q, 1/p+1/q=1 when 1<p<+∞ andc ₀ whenp=1) and numerous other results on complemented subspaces ofd(a, p) and [f _n] are obtained. We also obtain necessary and sufficient conditions such that [f _n] have exactly two non-equivalent symmetric basic sequences. Finally, we exhibit a Banach spaceX with symmetric basis {x _n} such that every symmetric block basic sequence of {x _n} spans a complemented subspace inX butX is not isomorphic to eitherc ₀ orl _p, 1≤p<+∞.     

The Johnson–Lindenstrauss Lemma Almost Characterizes Hilbert Space, But Not Quite

Let X be a normed space that satisfies the Johnson–Lindenstrauss lemma (J–L lemma, in short) in the sense that for any integer n and any x ₁,…,x _n ∈X, there exists a linear mapping L:X→F, where F⊆X is a linear subspace of dimension O(log n), such that ‖x _i −x _j ‖≤‖L(x _i )−L(x _j )‖≤O(1)⋅‖x _i −x _j ‖ for all i,j∈{1,…,n}. We show that this implies that X is almost Euclidean in the following sense: Every n-dimensional subspace of X embeds into Hilbert space with distortion 2^2O(log*n)2^{2^{O(\log^{*}n)}} . On the other hand, we show that there exists a normed space Y which satisfies the J–L lemma, but for every n, there exists an n-dimensional subspace E _n ⊆Y whose Euclidean distortion is at least 2^Ω(α(n)), where α is the inverse Ackermann function.     

Banach spaces of operators that are complemented in their biduals

Let [A, a] be a normed operator ideal. We say that [A, a] is boundedly weak*-closed if the following property holds: for all Banach spaces X and Y, if T: X → Y** is an operator such that there exists a bounded net (T _i ) _i∈I in A(X, Y) satisfying lim _i 〈y*, T _i x y*〉 for every x ∈ X and y* ∈ Y*, then T belongs to A(X, Y**). Our main result proves that, when [A, a] is a normed operator ideal with that property, A(X, Y) is complemented in its bidual if and only if there exists a continuous projection from Y** onto Y, regardless of the Banach space X. We also have proved that maximal normed operator ideals are boundedly weak*-closed but, in general, both concepts are different.      

On the fluctuations of independent copies of moving maxima

Let {X_n, n1} be a sequence of independent random variables (r.v.'s) with a common distribution function (d.f.) F. Define the moving maxima Y_k(n)=max(X_n−k(n)+1,X_n−k(n)+2,…,X_n), where {k(n), n1} is a sequence of positive integers. Let Y_k(n)¹ and Y_k(n)² be two independent copies of Y_k(n). Under certain conditions on F and k(n), the set of almost sure limit points of the vector consisting of properly normalised Y_k(n)¹ and Y_k(n)² is obtained.     

Marcinkiewicz multiplier theorem for the Weyl functional calculus

Let {X _j , Y _j , T : 1 ≤ j ≤ n} be a basis satisfying the commutation relation for the Heisenberg Lie algebra . Then we obtain a multi-parameter Marcinkiewicz multiplier theorem for the operator defined by m(X ₁,..., X _n , Y ₁,..., Y _n , T).     

On a problem of spencer

LetX ₁, ...,X _n be events in a probability space. Let ϱ_i be the probabilityX _i occurs. Let ϱ be the probability that none of theX _i occur. LetG be a graph on [n] so that for 1 ≦i≦n X _i is independent of ≈X _j ‖(i, j)∉G≈. Letf(d) be the sup of thosex such that if ϱ₁, ..., ϱ _n ≦x andG has maximum degree ≦d then ϱ>0. We showf(1)=1/2,f(d)=(d−1) ^d−1 d ^−d ford≧2. Hence df(d)=1/e. This answers a question posed by Spencer in [2]. We also find a sharp bound for ϱ in terms of the ϱ _i andG.