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## Cramér type large deviations for trimmed L-statistics

Probability and Mathematical Statistics. 2017. Vol. 37. No. 1. P. 101-118.

Gribkova N.

In this paper, we propose a new approach to the investigation of asymptotic properties of trimmed L-statistics and we apply it to the Cramér type large deviation problem. Our results can be compared with those in Callaert et al. (1982) – the first and, as far as we know, the single article where some results on probabilities of large deviations for the trimmed L-statistics were obtained, but under some strict and unnatural conditions. Our approach is to approximate the trimmed L-statistic by a non-trimmed L-statistic (with smooth weight function) based on Winsorized random variables. Using this method, we establish the Cramér type large deviation results for the trimmed L-statistics under quite mild and natural conditions.

Gribkova N., Mathematical Methods of Statistics 2016 Vol. 25 No. 4 P. 313-322

We establish Cramér type moderate deviation results for heavy trimmed L-statistics; we obtain our results under a very mild smoothness condition on the inversion F −1 (F is the underlying distribution function of i.i.d. observations) near two points, where trimming occurs, we assume also some smoothness of weights of the L-statistic. Our results complement previous work on Cramér type large deviations ...

Added: February 28, 2020

Nadezhda Gribkova, Communications in Statistics-Theory and Method 2017 Vol. 46 No. 23 P. 11918-11932

In this article, we establish Cramér-type moderate deviation results for (intermediate) trimmed means Tn = n− 1∑n − mni = kn + 1Xi: n, where Xi: n's are the order statistics corresponding to the first n observations in a sequence X1, X2, … of independent identically distributed random variables with F. We consider two cases of intermediate and heavy trimming. In the former case, when max (αn, βn) → 0 (αn = kn/n, βn = mn/n) and ...

Added: February 28, 2020

Pechersky E., Pirogov S. A., Schütz G. M. et al., Moscow Mathematical Journal 2019 Vol. 19 No. 1 P. 107-120

We study a class of random processes on N particles which can be interpreted as stochastic model of luminescence. Each particle can stay in one of two states: Excited state or ground state. Any particle at ground state is excited with a constant rate (pumping). The number of excited particles decreases by means of photon emission through ...

Added: December 5, 2020

Panov V., / Cornell University. Series arXiv "math". 2017. No. 1703.10463.

In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the case when both the mixing coefficient and the truncation level depend on the number of summands. The aim of this research is to characterize the limiting distributions ...

Added: March 31, 2017

Bufetov A. I., Mkrtchyan S., Scherbina M. et al., / Cornell University. Series math "arxiv.org". 2013. No. 1301.0342.

We show that beta ensembles in Random Matrix Theory with generic real analytic potential have the asymptotic equipartition property. In addition, we prove a Central Limit Theorem for the density of the eigenvalues of these ensembles. ...

Added: February 21, 2013

Nikitin Y. Y., Ragozin I. A., Vestnik St. Petersburg University: Mathematics 2019 Vol. 52 No. 2 P. 169-177

The logistic family of distributions belongs to the class of important families in the theory of probability and mathematical statistics. However, the goodness-of-fit tests for the composite hypothesis of belonging to the logistic family with unknown location parameter against the general alternatives have not been sufficiently explored. We propose two new goodness-of-fit tests: the integral ...

Added: October 1, 2019

Pavel Pyatov, Povolotsky A. M., Rittenberg V., Journal of Statistical Mechanics: Theory and Experiment 2018 Vol. 2018 No. 053107 P. 1-26

We study the large deviation functions for two quantities characterizing the avalanche dynamics in the Raise and Peel model: the number of tiles removed by avalanches and the number of global avalanches extending through the whole system. To this end, we exploit their connection to the groundstate eigenvalue of the XXZ model with twisted boundary ...

Added: July 17, 2018

Bobkov S., Ulyanov V. V., Theory of Probability and Its Applications 2022 Vol. 66 No. 4 P. 537-549

We give a short overview of the results related to the refined forms of the central limit theorem, with a focus on independent integer-valued random variables (r.v.'s). In the independent and non-identically distributed (non-i.i.d.) case, an approximation is then developed for the distribution of the sum by means of the Chebyshev--Edgeworth correction containing the moments ...

Added: February 22, 2022

Nikitin Ya. Yu., Ahsanullah M., Dordrecht, L., Heidelberg, NY : Springer, 2015

We use the characterization of distribution symmetry in terms of order statistics in order to obtain new tests of symmetry based on U-empirical distribution functions. We calculate their limiting distributions and large deviations and explore their local Bahadur efficiency against location alternatives which turns out to be rather high. ...

Added: April 14, 2015

Goetze F., Naumov A.A., Tikhomirov A., Bernoulli: a journal of mathematical statistics and probability 2017 Vol. 23 No. 4B P. 3067-3113

In this paper we consider the product of two independent random matrices X^(1) and X^(2). Assume that X_{jk}^{(q)},1\le j,k \le n,q=1,2,, are i.i.d. random variables with \EX_{jk}^{q}=0, VarX_{jk}^{(q)}=1/ Denote by s_1(W),…,s_n(W) the singular values of W:=n^{-1}X^(1)X^(2). We prove the central limit theorem for linear statistics of the squared singular values s_1^2(W),…,s_n^2(W) showing that the limiting variance depends on \kappa_4:=\E(X_{11}^{(1)})^4−3. ...

Added: April 28, 2018

Pechersky E. A., Pirogov S. A., Schütz G. M. et al., Theoretical and Mathematical Physics 2019 Vol. 198 No. 1 P. 118-128

We consider a system of N identical independent Markov processes, each taking values 0 or 1. The system describes the stochastic dynamics of an ensemble of two-level atoms. The atoms are exposed to a photon flux. Under the photon flux action, each atom changes its state with some rates either from its ground state (state 0) to the excited ...

Added: December 5, 2020

Chebotarev A., Долгопрудный : Физтех-полиграф, 2010

Предисловие.
Теория вероятностей возникла в XVI--XVII веках как раздел математики, объясняющий причины выигрыша или проигрыша в азартных играх. Участие знаменитых ученых потребовалось для анализа игровых стратегий и объяснения ряда фактов отнюдь не очевидных с точки зрения здравого смысла. Вероятностные методы описания окружающей реальности остаются актуальными и сейчас, более того, сложность рассматриваемых систем достигла планетарного масштаба. Стохастические ...

Added: December 28, 2013

И. А. Рагозин, Записки научных семинаров ПОМИ РАН 2020 Т. 495 С. 237-249

In this paper we construct two new goodness-of-fit tests for Pareto Itype distribution family with an arbitrary shape-parameter λ, based on anew characterization. We describe their limit distributions, calculate thelocal Bahadur efficiencies under close alternatives and provide asymptoticcomparison of our test statistics. ...

Added: December 14, 2020

Yanovich Y., Proceedings of Machine Learning Research 2017 Vol. 60 P. 18-38

In many applications, the real high-dimensional data occupy only a very small part in the high dimensional ‘observation space’ whose intrinsic dimension is small. The most popular model of such data is Manifold model which assumes that the data lie on or near an unknown manifold (Data Manifold, DM) of lower dimensionality embedded in an ...

Added: June 15, 2017

Nikitin Y. Y., Volkova K. Y., Mathematical Methods of Statistics 2016 Vol. 25 No. 1 P. 54-66

We build new tests of composite hypothesis of exponentiality which are functionals of U-empirical measures and which are closely related and inspired by some special property of exponential law. We study limiting distributions, large deviations and asymptotic efficiency of new tests. Most favorable alternatives are described. Finally we reject using our test the hypothesis on ...

Added: March 23, 2016

Nikitin Y. Y., Petrov V. V., Zaitsev A. Y. et al., Vestnik of the St. Petersburg University: Mathematics 2018 Vol. 51 No. 2 P. 201-232

This is the first in a series of reviews devoted to the scientific achievements of the Leningrad–St. Petersburg school of probability and statistics in the period from 1947 to 2017. It is devoted to limit theorems for sums of independent random variables—a traditional subject for St. Petersburg. It refers to the classical limit theorems: the ...

Added: October 1, 2019

Mariani M., Zambotti L., Advances in Applied Probability 2016 Vol. 48 No. 3 P. 648-671

A large deviations principle is established for the joint law of the empirical measure and the flow measure of a Markov renewal process on a finite graph. We do not assume any bound on the arrival times, allowing heavy-tailed distributions. In particular, the rate function is in general degenerate (it has a nontrivial set of ...

Added: December 10, 2017

Nikitin Y. Y., Volkova K. Y., Journal of Mathematical Sciences 2014 Vol. 199 No. 2 P. 130-138

We construct and study new goodness-of-fit tests for the power distribution based on the Puri-Rubin characterization and using U-empirical distribution functions. We describe their limiting distributions and large deviations. Next we find their local Bahadur efficiency for common alternatives and study the conditions of local optimality. ...

Added: February 10, 2015

Кибзун А., Goryainova E. R., Наумов А. В., М. : Физматлит, 2014

Учебник предназначен для начального ознакомления с основами теории вероятностей и математической статистики и развития навыков решения практических задач.
Большое внимание уделено краткости изложения полного курса «Теории вероятностей и математической статистики», состоящего из теоретического и практического материала. Структура изложения максимально приближена к лекционным и практическим занятиям. Книга может одновременно играть роль учебника, задачника и справочника.
Учебник предназначен для ...

Added: December 18, 2014

Mariani M., Probability Theory and Related Fields 2010 Vol. 147 No. 3–4 P. 607-648

Large deviations principles for a family of scalar 1 + 1 dimensional conservative stochastic PDEs (viscous conservation laws) are investigated, in the limit of jointly vanishing noise and viscosity. A first large deviations principle is obtained in a space of Young measures. The associated rate functional vanishes on a wide set, the so-called set of measure-valued solutions ...

Added: December 4, 2017

Bressaud X., Bufetov A.I., Hubert P., Proceedings of the London Mathematical Society 2014 Vol. 109 No. 2 P. 483-522

Deviation of ergodic sums is studied for substitution dynamical systems with a matrix that admits eigenvalues of modulus 1. The functions γ we consider are the corresponding eigenfunctions. In Theorem 1.1, we prove that the limit inferior of the ergodic sums (n,γ(x_0)+⋯+γ(x_{n−1})) n∈N is bounded for every point x in the phase space. In Theorem ...

Added: October 23, 2014

Molchanov S., Whitmeyer J., Applicable Analysis 2015

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Added: June 22, 2016

Molchanov S., Panov V., Stochastics-An International Journal of Probability and Stochastic Processes 2019 Vol. 91 No. 5 P. 754-772

In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. More precisely, the distribution of the energy levels is assumed to be a mixture of two normal distributions, one of which is standard normal, ...

Added: November 19, 2018

Поляк Б. Т., Tremba A., Хлебников М. В. et al., Автоматика и телемеханика 2015 № 6 С. 18-41

Исследования переходных режимов в линейных системах при ненулевых начальных условиях были начаты еще в 1948 г. в пионерской работе А.А. Фельдбаума [1]. Однако затем эта линия исследований не получила должного развития; под переходными процессами в основном понимались реакции системы на единичный скачок при нулевых начальных условиях. Существенным прорывом стала статья Р.Н. Измайлова [2], где показана ...

Added: October 18, 2015