# Questions tagged [cumulants]

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13
questions

**1**

vote

**1**answer

108 views

### Is this (somewhat specific) moment problem treated somewhere?

Suppose I have a measure $\mu$ over $\mathbb R_+$ given by its moments $\mu_0,...,\mu_n$, defined as :
$$\mu_k = \int x^{k} \partial\mu(x),\; k \in 1,...,n$$
Using Faà di Bruno's formula, I can ...

**2**

votes

**1**answer

115 views

### Bounds on cumulants in terms of moments

I am interested in finding bounds on cumulants in terms of moments.
For example, this paper alludes to the bound
\begin{align}
|\kappa_n|\le n^n E[|X-E[X]|^n]
\end{align}
where $\kappa_n$ is the $n$-...

**2**

votes

**0**answers

40 views

### Cumulant of functions of weakly dependent random variables

Suppose $X_1,\dots,X_4$ are Gaussian random variables with mean and variance
$$\mathbf E X_i = 0,\quad \mathbf E X_i^2=1.$$
Furthermore suppose that the random variables have a certain weak ...

**3**

votes

**3**answers

410 views

### Logarithm of the Fourier transform?

I've found this paper on the logarithm of the discrete fourier transform which proves that
$$
log F = 1/4 i \pi (I - (1 +i)F + F^2 - (1 - i)F^3)
$$
where $F$ is the unitary discrete Fourier ...

**2**

votes

**0**answers

84 views

### Arithmetic structure of non-zero cumulants

It is known that any non-Gaussian distribution must have infinitely many non-zero cumulants (Marcinkiewicz). I was wondering if something stronger is known about the structure of non-zero cumulants. ...

**1**

vote

**0**answers

104 views

### Existence of a Laplace transform that takes specific values on the integers

The classical Marcinkiewicz theorem (1939) states that if a random variable $X$ has a Laplace transform/characteristic function of the form $\mathbb{E}(e^{tX})=e^{P(t)} $ with $P$ a polynomial, then ...

**4**

votes

**0**answers

80 views

### Random variables whose expectations are cumulants

In my research I stumbled about the following class of random variables: Let $X_0,X_1,\dots$ be random variables on a common probability space with finite moments of all orders. We then define
\...

**3**

votes

**0**answers

64 views

### Finding analytic expressions for the cumulants of a correlated random variable

I am working with cumulants of a distribution. I have an example of how the second cumulant may be simplified from:
$k_2 = p\alpha^2\left\{\left(\sum a_i\right)^2 - 2\sum_{i<j}a_ia_j\left(1-\rho^{...

**0**

votes

**1**answer

129 views

### Can an unskewed distribution be expressed as product of a normal and another distribution?

Let $x$ be a continuous random variable with zero mean and zero skew. What are the conditions under which we can say that $x$ can be expressed as the product $z y$ where $z$ is a standard normal and $...

**7**

votes

**0**answers

151 views

### Joint cumulants of $Z_2^n$ characters

Let $f_{c}:Z_2^n \rightarrow \{-1,1\}$ be the character defined as $f_c(x) = (-1)^{<x,c>}$, where $c,x \in Z_2^n$. It is easy to see that since $f_{c_1}\cdot\ldots\cdot f_{c_k} = f_{c_1 \oplus \...

**3**

votes

**0**answers

247 views

### Is connected correlation/cumulant expansion additive?

Say X is a free field or a Gaussian random variable.
Then I want to analyse the connected correlation, $<(X + a (X^2 - \langle X^2 \rangle))^n>_c$
I think that for $n \geq 4$ there are no ...

**6**

votes

**1**answer

691 views

### cumulant problem

A couple of days after I posted this to stackexchange, no one's answered:
I take the problem of cumulants to be this: given a sequence $(\kappa_1,\kappa_2,\kappa_3,\ldots)$ of real numbers, is it the ...

**2**

votes

**0**answers

386 views

### Generalizations of Gram-Charlier and Edgeworth series?

I am looking for references pertaining to, and/or help in deriving, generalizations of the Gram-Charlier and Edgeworth series for non-Gaussian reference probability distributions.
I would like to ...