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A multivariate central limit theorem for weighted sums
P. 21–23.
Ayvazyan S. A., Ulyanov V. V.
We consider the typical behavior of the weighted sums of independent identically distributed random vectors in k-dimensional space. It is shown that in this case the rate of convergence in the multivariate central limit theorem is of order O(1/n) up to logarithmic factor. This extends the one-dimensional Klartag and Sodin result.
Language:
English
Publication based on the results of:
Gnetov F., Konakov V., / Series arXiv "math". 2025. No. 2512.04667.
We establish a central limit theorem, a local limit theorem, and a law of large numbers for a natural
random walk on a symmetric space M of non-compact type and rank one. This class of spaces, which
includes the complex and quaternionic hyperbolic spaces and the Cayley hyperbolic plane, generalizes
the real hyperbolic space Hn. Our approach introduces ...
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Kratz M., Prokopenko E., Extremes 2023 Vol. 26 No. 3 P. 509–544
We build a sharp approximation of the whole distribution of the sum of iid heavy-tailed random vectors, combining mean and extreme behaviors. It extends the so-called ’normex’ approach from a univariate to a multivariate framework. We propose two possible multi-normex distributions, named d-Normex and MRV-Normex. Both rely on the Gaussian distribution for describing the mean behavior, ...
Added: February 20, 2025
Glinskiy V., Artem Logachov, Logachova O. et al., Mathematics 2024 Vol. 12 No. 21 Article 3319
We investigate the asymptotic properties of the plug-in estimator for the Jeffreys divergence, the symmetric variant of the Kullback–Leibler (KL) divergence. This study focuses specifically on the divergence between discrete distributions. Traditionally, estimators rely on two independent samples corresponding to two distinct conditions. However, we propose a one-sample estimator where the condition results from a ...
Added: February 19, 2025
Logachov A.V., Mogulskii A. A., Yambartsev A. A., Siberian Electronic Mathematical Reports 2024 Vol. 21 No. 2 P. 914–926
We obtain a bound for the convergence rate in the central limit theorem for the number of triangles in a heterogeneous Erdos-Renyi graphs. Our approach is reminiscent of Hoeffding decomposition (a common technique in the theory of U-statistics). We show that the centered and normalized number of triangles asymptotically behaves as the normalized sum of ...
Added: February 19, 2025
Ulyanov V. V., Mathematics 2024 Vol. 12 No. 14 Article 2276
In 1733, de Moivre, investigating the limit distribution of the binomial distribution, was the first to discover the existence of the normal distribution and the central limit theorem (CLT). In this review article, we briefly recall the history of classical CLT and martingale CLT, and introduce new directions of CLT, namely Peng’s nonlinear CLT and ...
Added: October 31, 2024
Ulyanov V. V., Ayvazyan S., Springer Proceedings in Mathematics & Statistics 2023 No. 425 P. 225–257
The “typical” asymptotic behavior of the weighted sums of independent random vectors in k-dimensional space is considered. It is shown that in this case the rate of convergence in the multivariate central limit theorem is of order O(1/n). This extends the one-dimensional Klartag and Sodin (2011) result ...
Added: December 1, 2023
Nikita Puchkin, Vladimir Ulyanov, Annales de l'institut Henri Poincare (B) Probability and Statistics 2023 Vol. 59 No. 3 P. 1508–1529
We show that external randomization may enforce the convergence of test statistics to their limiting distributions in particular cases. This results in a sharper inference. Our approach is based on a central limit theorem for weighted sums. We apply our method to a family of rank-based test statistics and a family of phi-divergence test statistics ...
Added: September 3, 2023
Shchegolev A., Управление большими системами: сборник трудов 2023 № 102 С. 5–14
The class of nonlinear Markov processes is characterized by the dependence of the current state of the process on its current distribution in addition to the dependence on the previous state. Due to this feature, these processes are characterized by complex limit behavior and ergodic properties, for which the usual criteria for Markov processes are ...
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Vedenin A., Журнал Средневолжского математического общества 2022 Т. 24 № 3 С. 280–288
This paper is devoted to a new method for constructing approximations to the solution of a parabolic partial differential equation. The Cauchy problem for the heat equation on a straight line with a variable heat conduction coefficient is considered. In this paper, a sequence of functions is constructed that converges to the solution of the ...
Added: May 18, 2023
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
Dragunova K., Гаращенкова А. А., Remizov I., / Series arXiv "math". 2021.
Chernoff approximations are a flexible and powerful tool of functional analysis, which can be used, in particular, to find numerically approximate solutions of some differential equations with variable coefficients. For many classes of equations such approximations have already been constructed, however, the speed of their convergence to the exact solution has not been properly studied. ...
Added: December 16, 2021
Sawada T., Frontiers in Psychology 2021 Vol. 12 Article 762418
This study describes how the conditions in the Central Limit theorem (CLT) are usually not satisfied in empirical Psychological studies by comparing the formulation of the CLT with a common experimental procedure used in empirical Psychological studies. This explains why the CLT cannot assure that the population follows a normal distribution no matter how large ...
Added: November 9, 2021
Aleksandr A. Shchegolev, Random Operators and Stochastic Equations 2022 Vol. 30 No. 3 P. 205–213
In the paper, we study a new rate of convergence estimate for homogeneous discrete-time nonlinear Markov chains based on the Markov-Dobrushin condition. This result generalizes the convergence estimates for any positive number of transition steps. An example of a class such a process provided indicates that such types of estimates considering several transition steps may ...
Added: October 30, 2021
Carlier G., Eichinger K., Kroshnin A., SIAM Journal on Mathematical Analysis 2021 Vol. 53 No. 5 P. 5880–5914
In this paper, we investigate properties of entropy-penalized Wasserstein barycenters introduced in [J. Bigot, E. Cazelles, and N. Papadakis, SIAM J. Math. Anal., 51 (2019), pp. 2261--2285] as a regularization of Wasserstein barycenters [M. Agueh and G. Carlier, SIAM J. Math. Anal., 43 (2011), pp. 904--924]. After characterizing these barycenters in terms of a system of Monge--Ampère ...
Added: October 27, 2021
Bobkov S., Naumov A., Ulyanov V. V., , in: Recent Developments in Stochastic Methods and Applications: ICSM-5, Moscow, Russia, November 23–27, 2020, Selected ContributionsVol. 371.: Springer, 2021. P. 178–189.
Two–sided bounds are constructed for a probability density function of a weighted sum of chi-square variables. Both cases of central and non-central chi-square variables are considered. The upper and lower bounds have the same dependence on the parameters of the sum and differ only in absolute constants. The estimates obtained will be useful, in particular, ...
Added: August 5, 2021
Shatskikh S. Y., Мелкумова Л. Э., , in: CEUR Workshop ProceedingsVol. 1638: ITNT 2016, Information Technology and Nanotechnology.: CEUR-WS.org, 2016. P. 763–768.
The article is devoted to normality assumption in statistical data analysis. It gives a short historical review of the development of scientific views on the normal law and its applications. It also briefly covers normality tests and analyzes possible consequences of using the normality assumption incorrectly. ...
Added: June 8, 2021
Shchegolev A., Управление большими системами: сборник трудов 2021 № 90 С. 36–48
The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the current probability distributions of the process apart from being dependent on the current state. Such processes often act as limits ...
Added: April 21, 2021
Ulyanov V. V., Bobkov S., Danshina M., / Series 21027 "Collaborative Research Centre 1283, Bielefeld University". 2021. No. 21027.
Convergence of order O(1/ √ n) is obtained for the distance in total variation between the Poisson distribution and the distribution of the number of fixed size cycles in generalized random graphs with random vertex weights. The weights are assumed to be independent identically distributed random variables which have a power-law distribution. The proof is ...
Added: March 29, 2021
Bobkov S., Naumov A., Ulyanov V. V., , in: Сборник материалов V-й Международной конференции по стохастическим методам: The 5th International Conference on Stochastic Methods (ICSM5). 23-27 November 2020, Russia, Moscow.: M.: RUDN, 2020. P. 39–42.
Two--sided bounds are constructed for a probability density function of a weighted sum of chi- square variables. Both cases of central and non-central chi-square variables are considered. The upper and lower bounds have the same dependence on the parameters of the sum and differ only in absolute constants. The estimates obtained will be useful, in ...
Added: March 23, 2021
Kroshnin A., Spokoiny V., Suvorikova A., Annals of Applied Probability 2021 Vol. 31 No. 3 P. 1264–1298
n this work we introduce the concept of Bures-Wasserstein barycenter $Q_*$, that is essentially a Fr\'echet mean of some distribution $P$ supported on a subspace of positive semi-definite Hermitian operators $\mathbb{H}_{+}(d)$.
We allow a barycenter to be constrained to some affine subspace of $\mathbb{H}_{+}(d)$ and provide conditions ensuring its existence and uniqueness.
We also investigate convergence and concentration properties ...
Added: October 30, 2020