Understanding the Negative Binomial Multiplicity Fluctuations in Relativistic
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Arxiv:2004.02679V2 [Math.OA] 17 Jul 2020
THE FREE TANGENT LAW WIKTOR EJSMONT AND FRANZ LEHNER Abstract. Nevanlinna-Herglotz functions play a fundamental role for the study of infinitely divisible distributions in free probability [11]. In the present paper we study the role of the tangent function, which is a fundamental Herglotz-Nevanlinna function [28, 23, 54], and related functions in free probability. To be specific, we show that the function tan z 1 ´ x tan z of Carlitz and Scoville [17, (1.6)] describes the limit distribution of sums of free commutators and anticommutators and thus the free cumulants are given by the Euler zigzag numbers. 1. Introduction Nevanlinna or Herglotz functions are functions analytic in the upper half plane having non- negative imaginary part. This class has been thoroughly studied during the last century and has proven very useful in many applications. One of the fundamental examples of Nevanlinna functions is the tangent function, see [6, 28, 23, 54]. On the other hand it was shown by by Bercovici and Voiculescu [11] that Nevanlinna functions characterize freely infinitely divisible distributions. Such distributions naturally appear in free limit theorems and in the present paper we show that the tangent function appears in a limit theorem for weighted sums of free commutators and anticommutators. More precisely, the family of functions tan z 1 x tan z ´ arises, which was studied by Carlitz and Scoville [17, (1.6)] in connection with the combinorics of tangent numbers; in particular we recover the tangent function for x 0. In recent years a number of papers have investigated limit theorems for“ the free convolution of probability measures defined by Voiculescu [58, 59, 56]. -
Simulation of Moment, Cumulant, Kurtosis and the Characteristics Function of Dagum Distribution
264 IJCSNS International Journal of Computer Science and Network Security, VOL.17 No.8, August 2017 Simulation of Moment, Cumulant, Kurtosis and the Characteristics Function of Dagum Distribution Dian Kurniasari1*,Yucky Anggun Anggrainy1, Warsono1 , Warsito2 and Mustofa Usman1 1Department of Mathematics, Faculty of Mathematics and Sciences, Universitas Lampung, Indonesia 2Department of Physics, Faculty of Mathematics and Sciences, Universitas Lampung, Indonesia Abstract distribution is a special case of Generalized Beta II The Dagum distribution is a special case of Generalized Beta II distribution. Dagum (1977, 1980) distribution has been distribution with the parameter q=1, has 3 parameters, namely a used in studies of income and wage distribution as well as and p as shape parameters and b as a scale parameter. In this wealth distribution. In this context its features have been study some properties of the distribution: moment, cumulant, extensively analyzed by many authors, for excellent Kurtosis and the characteristics function of the Dagum distribution will be discussed. The moment and cumulant will be survey on the genesis and on empirical applications see [4]. discussed through Moment Generating Function. The His proposals enable the development of statistical characteristics function will be discussed through the expectation of the definition of characteristics function. Simulation studies distribution used to empirical income and wealth data that will be presented. Some behaviors of the distribution due to the could accommodate both heavy tails in empirical income variation values of the parameters are discussed. and wealth distributions, and also permit interior mode [5]. Key words: A random variable X is said to have a Dagum distribution Dagum distribution, moment, cumulant, kurtosis, characteristics function. -
A Guide on Probability Distributions
powered project A guide on probability distributions R-forge distributions Core Team University Year 2008-2009 LATEXpowered Mac OS' TeXShop edited Contents Introduction 4 I Discrete distributions 6 1 Classic discrete distribution 7 2 Not so-common discrete distribution 27 II Continuous distributions 34 3 Finite support distribution 35 4 The Gaussian family 47 5 Exponential distribution and its extensions 56 6 Chi-squared's ditribution and related extensions 75 7 Student and related distributions 84 8 Pareto family 88 9 Logistic ditribution and related extensions 108 10 Extrem Value Theory distributions 111 3 4 CONTENTS III Multivariate and generalized distributions 116 11 Generalization of common distributions 117 12 Multivariate distributions 132 13 Misc 134 Conclusion 135 Bibliography 135 A Mathematical tools 138 Introduction This guide is intended to provide a quite exhaustive (at least as I can) view on probability distri- butions. It is constructed in chapters of distribution family with a section for each distribution. Each section focuses on the tryptic: definition - estimation - application. Ultimate bibles for probability distributions are Wimmer & Altmann (1999) which lists 750 univariate discrete distributions and Johnson et al. (1994) which details continuous distributions. In the appendix, we recall the basics of probability distributions as well as \common" mathe- matical functions, cf. section A.2. And for all distribution, we use the following notations • X a random variable following a given distribution, • x a realization of this random variable, • f the density function (if it exists), • F the (cumulative) distribution function, • P (X = k) the mass probability function in k, • M the moment generating function (if it exists), • G the probability generating function (if it exists), • φ the characteristic function (if it exists), Finally all graphics are done the open source statistical software R and its numerous packages available on the Comprehensive R Archive Network (CRAN∗). -
An Alternative Discrete Skew Logistic Distribution
An Alternative Discrete Skew Logistic Distribution Deepesh Bhati1*, Subrata Chakraborty2, and Snober Gowhar Lateef1 1Department of Statistics, Central University of Rajasthan, 2Department of Statistics, Dibrugarh University, Assam *Corresponding Author: [email protected] April 7, 2016 Abstract In this paper, an alternative Discrete skew Logistic distribution is proposed, which is derived by using the general approach of discretizing a continuous distribution while retaining its survival function. The properties of the distribution are explored and it is compared to a discrete distribution defined on integers recently proposed in the literature. The estimation of its parameters are discussed, with particular focus on the maximum likelihood method and the method of proportion, which is particularly suitable for such a discrete model. A Monte Carlo simulation study is carried out to assess the statistical properties of these inferential techniques. Application of the proposed model to a real life data is given as well. 1 Introduction Azzalini A.(1985) and many researchers introduced different skew distributions like skew-Cauchy distribu- tion(Arnold B.C and Beaver R.J(2000)), Skew-Logistic distribution (Wahed and Ali (2001)), Skew Student's t distribution(Jones M.C. et. al(2003)). Lane(2004) fitted the existing skew distributions to insurance claims data. Azzalini A.(1985), Wahed and Ali (2001) developed Skew Logistic distribution by taking f(x) to be Logistic density function and G(x) as its CDF of standard Logistic distribution, respectively and obtained arXiv:1604.01541v1 [stat.ME] 6 Apr 2016 the probability density function(pdf) as 2e−x f(x; λ) = ; −∞ < x < 1; −∞ < λ < 1 (1 + e−x)2(1 + e−λx) They have numerically studied cdf, moments, median, mode and other properties of this distribution. -
Lecture 2: Moments, Cumulants, and Scaling
Lecture 2: Moments, Cumulants, and Scaling Scribe: Ernst A. van Nierop (and Martin Z. Bazant) February 4, 2005 Handouts: • Historical excerpt from Hughes, Chapter 2: Random Walks and Random Flights. • Problem Set #1 1 The Position of a Random Walk 1.1 General Formulation Starting at the originX� 0= 0, if one takesN steps of size�xn, Δ then one ends up at the new position X� N . This new position is simply the sum of independent random�xn), variable steps (Δ N � X� N= Δ�xn. n=1 The set{ X� n} contains all the positions the random walker passes during its walk. If the elements of the{ setΔ�xn} are indeed independent random variables,{ X� n then} is referred to as a “Markov chain”. In a MarkovX� chain,N+1is independentX� ofnforn < N, but does depend on the previous positionX� N . LetPn(R�) denote the probability density function (PDF) for theR� of values the random variable X� n. Note that this PDF can be calculated for both continuous and discrete systems, where the discrete system is treated as a continuous system with Dirac delta functions at the allowed (discrete) values. Letpn(�r|R�) denote the PDF�x forn. Δ Note that in this more general notation we have included the possibility that�r (which is the value�xn) of depends Δ R� on. In Markovchain jargon,pn(�r|R�) is referred to as the “transition probability”X� N fromto state stateX� N+1. Using the PDFs we just defined, let’s return to Bachelier’s equation from the first lecture. -
STAT 830 Generating Functions
STAT 830 Generating Functions Richard Lockhart Simon Fraser University STAT 830 — Fall 2011 Richard Lockhart (Simon Fraser University) STAT 830 Generating Functions STAT 830 — Fall 2011 1 / 21 What I think you already have seen Definition of Moment Generating Function Basics of complex numbers Richard Lockhart (Simon Fraser University) STAT 830 Generating Functions STAT 830 — Fall 2011 2 / 21 What I want you to learn Definition of cumulants and cumulant generating function. Definition of Characteristic Function Elementary features of complex numbers How they “characterize” a distribution Relation to sums of independent rvs Richard Lockhart (Simon Fraser University) STAT 830 Generating Functions STAT 830 — Fall 2011 3 / 21 Moment Generating Functions pp 56-58 Def’n: The moment generating function of a real valued X is tX MX (t)= E(e ) defined for those real t for which the expected value is finite. Def’n: The moment generating function of X Rp is ∈ ut X MX (u)= E[e ] defined for those vectors u for which the expected value is finite. Formal connection to moments: ∞ k MX (t)= E[(tX ) ]/k! Xk=0 ∞ ′ k = µk t /k! . Xk=0 Sometimes can find power series expansion of MX and read off the moments of X from the coefficients of tk /k!. Richard Lockhart (Simon Fraser University) STAT 830 Generating Functions STAT 830 — Fall 2011 4 / 21 Moments and MGFs Theorem If M is finite for all t [ ǫ,ǫ] for some ǫ> 0 then ∈ − 1 Every moment of X is finite. ∞ 2 M isC (in fact M is analytic). ′ k 3 d µk = dtk MX (0). -
Skellam Type Processes of Order K and Beyond
Skellam Type Processes of Order K and Beyond Neha Guptaa, Arun Kumara, Nikolai Leonenkob a Department of Mathematics, Indian Institute of Technology Ropar, Rupnagar, Punjab - 140001, India bCardiff School of Mathematics, Cardiff University, Senghennydd Road, Cardiff, CF24 4AG, UK Abstract In this article, we introduce Skellam process of order k and its running average. We also discuss the time-changed Skellam process of order k. In particular we discuss space-fractional Skellam process and tempered space-fractional Skellam process via time changes in Poisson process by independent stable subordinator and tempered stable subordinator, respectively. We derive the marginal proba- bilities, L´evy measures, governing difference-differential equations of the introduced processes. Our results generalize Skellam process and running average of Poisson process in several directions. Key words: Skellam process, subordination, L´evy measure, Poisson process of order k, running average. 1 Introduction Skellam distribution is obtained by taking the difference between two independent Poisson distributed random variables which was introduced for the case of different intensities λ1, λ2 by (see [1]) and for equal means in [2]. For large values of λ1 + λ2, the distribution can be approximated by the normal distribution and if λ2 is very close to 0, then the distribution tends to a Poisson distribution with intensity λ1. Similarly, if λ1 tends to 0, the distribution tends to a Poisson distribution with non- positive integer values. The Skellam random variable is infinitely divisible since it is the difference of two infinitely divisible random variables (see Prop. 2.1 in [3]). Therefore, one can define a continuous time L´evy process for Skellam distribution which is called Skellam process. -
Moments & Cumulants
ECON-UB 233 Dave Backus @ NYU Lab Report #1: Moments & Cumulants Revised: September 17, 2015 Due at the start of class. You may speak to others, but whatever you hand in should be your own work. Use Matlab where possible and attach your code to your answer. Solution: Brief answers follow, but see also the attached Matlab program. Down- load this document as a pdf, open it, and click on the pushpin: 1. Moments of normal random variables. This should be review, but will get you started with moments and generating functions. Suppose x is a normal random variable with mean µ = 0 and variance σ2. (a) What is x's standard deviation? (b) What is x's probability density function? (c) What is x's moment generating function (mgf)? (Don't derive it, just write it down.) (d) What is E(ex)? (e) Let y = a + bx. What is E(esy)? How does it tell you that y is normal? Solution: (a) The standard deviation is the (positive) square root of the variance, namely σ if σ > 0 (or jσj if you want to be extra precise). (b) The pdf is p(x) = (2πσ2)−1=2 exp(−x2=2σ2): (c) The mgf is h(s) = exp(s2σ2=2). (d) E(ex) is just the mgf evaluated at s = 1: h(1) = eσ2=2. (e) The mfg of y is sy s(a+bx) sa sbx sa hy(s) = E(e ) = E(e ) = e E(e ) = e hx(bs) 2 2 2 2 = esa+(bs) σ =2 = esa+s (bσ) =2: This has the form of a normal random variable with mean a (the coefficient of s) and variance (bσ)2 (the coefficient of s2=2). -
On the Bivariate Skellam Distribution Jan Bulla, Christophe Chesneau, Maher Kachour
On the bivariate Skellam distribution Jan Bulla, Christophe Chesneau, Maher Kachour To cite this version: Jan Bulla, Christophe Chesneau, Maher Kachour. On the bivariate Skellam distribution. 2012. hal- 00744355v1 HAL Id: hal-00744355 https://hal.archives-ouvertes.fr/hal-00744355v1 Preprint submitted on 22 Oct 2012 (v1), last revised 23 Oct 2013 (v2) HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Noname manuscript No. (will be inserted by the editor) On the bivariate Skellam distribution Jan Bulla · Christophe Chesneau · Maher Kachour Submitted to Journal of Multivariate Analysis: 22 October 2012 Abstract In this paper, we introduce a new distribution on Z2, which can be viewed as a natural bivariate extension of the Skellam distribution. The main feature of this distribution a possible dependence of the univariate components, both following univariate Skellam distributions. We explore various properties of the distribution and investigate the estimation of the unknown parameters via the method of moments and maximum likelihood. In the experimental section, we illustrate our theory. First, we compare the performance of the estimators by means of a simulation study. In the second part, we present and an application to a real data set and show how an improved fit can be achieved by estimating mixture distributions. -
A CURE for Noisy Magnetic Resonance Images: Chi-Square Unbiased Risk Estimation
SUBMITTED MANUSCRIPT 1 A CURE for Noisy Magnetic Resonance Images: Chi-Square Unbiased Risk Estimation Florian Luisier, Thierry Blu, and Patrick J. Wolfe Abstract In this article we derive an unbiased expression for the expected mean-squared error associated with continuously differentiable estimators of the noncentrality parameter of a chi- square random variable. We then consider the task of denoising squared-magnitude magnetic resonance image data, which are well modeled as independent noncentral chi-square random variables on two degrees of freedom. We consider two broad classes of linearly parameterized shrinkage estimators that can be optimized using our risk estimate, one in the general context of undecimated filterbank transforms, and another in the specific case of the unnormalized Haar wavelet transform. The resultant algorithms are computationally tractable and improve upon state-of-the-art methods for both simulated and actual magnetic resonance image data. EDICS: TEC-RST (primary); COI-MRI, SMR-SMD, TEC-MRS (secondary) Florian Luisier and Patrick J. Wolfe are with the Statistics and Information Sciences Laboratory, Harvard University, Cambridge, MA 02138, USA (email: fl[email protected], [email protected]) Thierry Blu is with the Department of Electronic Engineering, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong (e-mail: [email protected]). arXiv:1106.2848v1 [stat.AP] 15 Jun 2011 This work was supported by the Swiss National Science Foundation Fellowship BELP2-133245, the US National Science Foundation Grant DMS-0652743, and the General Research Fund CUHK410209 from the Hong Kong Research Grant Council. August 20, 2018 DRAFT SUBMITTED MANUSCRIPT 2 I. -
Handbook on Probability Distributions
R powered R-forge project Handbook on probability distributions R-forge distributions Core Team University Year 2009-2010 LATEXpowered Mac OS' TeXShop edited Contents Introduction 4 I Discrete distributions 6 1 Classic discrete distribution 7 2 Not so-common discrete distribution 27 II Continuous distributions 34 3 Finite support distribution 35 4 The Gaussian family 47 5 Exponential distribution and its extensions 56 6 Chi-squared's ditribution and related extensions 75 7 Student and related distributions 84 8 Pareto family 88 9 Logistic distribution and related extensions 108 10 Extrem Value Theory distributions 111 3 4 CONTENTS III Multivariate and generalized distributions 116 11 Generalization of common distributions 117 12 Multivariate distributions 133 13 Misc 135 Conclusion 137 Bibliography 137 A Mathematical tools 141 Introduction This guide is intended to provide a quite exhaustive (at least as I can) view on probability distri- butions. It is constructed in chapters of distribution family with a section for each distribution. Each section focuses on the tryptic: definition - estimation - application. Ultimate bibles for probability distributions are Wimmer & Altmann (1999) which lists 750 univariate discrete distributions and Johnson et al. (1994) which details continuous distributions. In the appendix, we recall the basics of probability distributions as well as \common" mathe- matical functions, cf. section A.2. And for all distribution, we use the following notations • X a random variable following a given distribution, • x a realization of this random variable, • f the density function (if it exists), • F the (cumulative) distribution function, • P (X = k) the mass probability function in k, • M the moment generating function (if it exists), • G the probability generating function (if it exists), • φ the characteristic function (if it exists), Finally all graphics are done the open source statistical software R and its numerous packages available on the Comprehensive R Archive Network (CRAN∗). -
Asymptotic Theory for Statistics Based on Cumulant Vectors with Applications
UC Santa Barbara UC Santa Barbara Previously Published Works Title Asymptotic theory for statistics based on cumulant vectors with applications Permalink https://escholarship.org/uc/item/4c6093d0 Journal SCANDINAVIAN JOURNAL OF STATISTICS, 48(2) ISSN 0303-6898 Authors Rao Jammalamadaka, Sreenivasa Taufer, Emanuele Terdik, Gyorgy H Publication Date 2021-06-01 DOI 10.1111/sjos.12521 Peer reviewed eScholarship.org Powered by the California Digital Library University of California Received: 21 November 2019 Revised: 8 February 2021 Accepted: 20 February 2021 DOI: 10.1111/sjos.12521 ORIGINAL ARTICLE Asymptotic theory for statistics based on cumulant vectors with applications Sreenivasa Rao Jammalamadaka1 Emanuele Taufer2 György H. Terdik3 1Department of Statistics and Applied Probability, University of California, Abstract Santa Barbara, California For any given multivariate distribution, explicit formu- 2Department of Economics and lae for the asymptotic covariances of cumulant vectors Management, University of Trento, of the third and the fourth order are provided here. Gen- Trento, Italy 3Department of Information Technology, eral expressions for cumulants of elliptically symmetric University of Debrecen, Debrecen, multivariate distributions are also provided. Utilizing Hungary these formulae one can extend several results currently Correspondence available in the literature, as well as obtain practically Emanuele Taufer, Department of useful expressions in terms of population cumulants, Economics and Management, University and computational formulae in terms of commutator of Trento, Via Inama 5, 38122 Trento, Italy. Email: [email protected] matrices. Results are provided for both symmetric and asymmetric distributions, when the required moments Funding information exist. New measures of skewness and kurtosis based European Union and European Social Fund, Grant/Award Number: on distinct elements are discussed, and other applica- EFOP3.6.2-16-2017-00015 tions to independent component analysis and testing are considered.