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Решение квантильных дифференциальных уравнений Пфаффа при отсутствии полной интегрируемости
Вестник Самарского государственного университета. Естественнонаучная серия. 2012. Т. 94. № 3/1. С. 20–39.
Мелкумова Л. Э., Шатских С. Я.
The present work deals with quantile Pfaffian differential equations which are constructed using two-dimensional conditional quantiles of multidimensional probability distributions. As it was shown in [3] in case when the initial probability distributions have reproducible conditional quantiles this kind of Pfaffian equations is completely integrable and the integral manifold is the conditional quantile of maximum dimension. In this paper we discuss properties of integral manifolds of maximum possible dimension for quantile Pfaffian equations which are not completely integrable. Manifolds of this type are described in terms of conditional quantiles of intermediate dimensions.
Keywords: первые интегралысмеси распределенийfirst integralsconditional quantile reproducibilityвоспроизводимость условных квантилейPfaffian equationквантильное дифференциальное уравнениедифференциальное уравнение Пфаффаmultidimensional probability distributionsDarboux class of differential 1-formsmanifolds of maximum dimensionsmixture distributionsмногомерные вероятностные распределениякласс Дарбурешения максимальной размерности
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In this paper we propose an idea to use a certain property of multivariate probability distributions, that we call the conditional quan- tile reproducibility, to decrease the amount of observations required to construct a statistical estimate of a n-dimensional conditional quantile of the distribution. For the class of probability distributions, satisfying to this property, we ...
Added: June 8, 2021
Мелкумова Л. Э., Известия высших учебных заведений. Математика 2020 № 11 С. 29–45
It is known that when a multivariate probability distribution has a “big” conditional quantile that is fully reproducible when narrowed to uni-variate quantiles, then the respective quantile differential equation is completely integrable. Yet the converse is not true in general. In this paper, we show that, provided that certain conditions are satisfied, from the given ...
Added: June 8, 2021
Мелкумова Л. Э., Шатских С. Я., Теория вероятностей и ее применения 2021 Т. 66 № 1 С. 196–208
We give an equivalent definition of the conditional quantile reproducibility property for multivariate probability distributions using the concept of copula. Based on this definition, we establish a connection between the conditional quantile reproducibility property and the simplifying assumption from the simplified pair copula construction. Additionally, we show that the conditional quantile reproducibility is preserved when ...
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Added: September 8, 2019