All Questions
13 questions
1
vote
0
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170
views
Asymptotic distribution of L infinity norm of Gaussian random vector
Let $\mathbf{X}_n = (X_{n,1}, \ldots, X_{n,n})$ be a $n$-dimensional random vector with $N_n( \mathbf{0}_n, \boldsymbol{\Sigma}_n )$ distribution. The asymptotic distribution of the $L_\infty$-norm of ...
- 119
1
vote
1
answer
233
views
Hypothesis to guarantee Lindeberg's condition
Imagine to have a set of random variables $\{ X_i \}_{i=1}^{n}$ independent (Non identically distributed). In these scenario, if the Lindeberg's condition hold we can extend the result of the CLT, i.e....
- 305
3
votes
2
answers
505
views
Precise asymptotics for moments of order statistics of normal distribution
Let $X_1, \cdots, X_n \sim N(0,1)$ be i.i.d. normal random variates. I am interested in understanding the first two moments of the quasi-range $X_{(n)}-X_{(n-1)}$ (i.e., the maximum value minus the ...
- 151
3
votes
1
answer
271
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For a random sequence $X_0, X_1, X_2, \ldots$ and $F_n$ the empirical CDF, does $F_n(X_0)$ converge to a uniform random variable?
Let $X_0, X_1, X_2, \ldots$ be a sequence of i.i.d. real-valued random variables on some probability space $(\Omega, \mathcal{F}, \mathbb{P})$ with continuous CDF $F(x)$ and define a sequence of ...
- 277
1
vote
0
answers
103
views
Convergence result on Cornish Fisher expansion of binomial distribution
Since it is known that Cornish Fisher expansion of quantiles does not have guaranteed convergence for all distribution, I wonder specifically if any convergence result is known in literature for CF ...
- 53
2
votes
1
answer
102
views
If signed measures $\mu_n$ are such that $\mu_n\to\mu$ and $\|\mu_n\|\to c\in(0,\infty)$, does $\exp^*(\mu_n)/\|\exp^*(\mu_n)\|$ necessarily converge?
$\newcommand{\R}{\mathbb R}$Let $M$ denote the set of all finite signed measures on a separable Banach space $B$. For any $\mu\in M$, let
\begin{equation*}
\exp^*(\mu):=\sum_{k=0}^\infty\frac{\mu^{...
- 128k
4
votes
1
answer
156
views
When does a gaussian quadratic form converge (in probability) to a constant?
Let $(h_{ij})_{i,j \in \mathbb N}$ be a sequence of real numbers (deterministic) and let $x_1,\ldots,x_n,\ldots$ be a sequence of iid $N(0,1)$ randm variables. For each positive integer $n$, consider ...
- 6,853
2
votes
1
answer
99
views
Convergence of estimator given by a fixed point
Let $X$ be a non-negative random variable with cdf $F$ and define
$$G(s) = E[\max(0,u(X)-sX)],$$ where $u$ is some real function.
Let $s_0$ be the unique fixed point of $G$.
Now let $X_1,\dots,X_t$ ...
- 23
4
votes
1
answer
478
views
Order statistic - Rate of convergence of a p-quantile to the expectation
Fix some $k\in\mathbb N$ and some probability $p\in[0,1]$. Denote with $F_n$ the cdf of the k-th highest oder statistic (i.e. the distribution of the k-th highest draw) of $n$ draws from a uniform ...
- 43
2
votes
1
answer
254
views
Asymptotic rate for the expected value of the square root of sample average
I have iid random variables $X_1, \dots, X_n$ with $X_i \geq 0$, $E[X_i]=1$ and $V[X_i] = \sigma^2$.
Let $S_n = \frac{\sum_{i=1}^n X_i}{n}$.
I'd like to say that $E[\sqrt{S_n}] = 1-O(1/n)$.
My first ...
- 167
6
votes
1
answer
809
views
Probability that a positive integer is in the range of the Euler phi function
Define $f(n) = |\{m : m\le n, \exists k \text{ s.t. }\phi(k) = m\}|$.
Clearly, $f(n)\le \left\lfloor \frac{n}{2}\right\rfloor + 1$ since $\phi(n)$ is even for all $n > 2$.
Is $\limsup_{n\...
- 1,890
9
votes
1
answer
8k
views
Convergence rate of the central limit theorem near the center of the distribution
I'm looking for fast convergence rates for the central limit theorem - when we are not near the tails of the distribution.
Specifically, from the general convergence rates stated in the Berry–Esseen ...
- 968
1
vote
1
answer
231
views
Asymptotic behaviour of a mean
Fix $x>0$ and $c\in\mathbb{N}$. Let $f(x):=\frac{c}{4c-2+2x^2}$ and
$$m_N(x):=\frac{1}{N} \sum_{i=0}^{f(x)N} \log(\frac{c N}{2}-i(2c-1))$$
I'm pretty sure $m_N(x)\to\infty$ as $N\to\infty$.
I ...
- 293