Saddlepoint approximation for moments of random variables

2011 ◽  
Vol 6 (6) ◽  
pp. 1265-1284
Author(s):  
Kai Zhao ◽  
Xue Cheng ◽  
Jingping Yang
Mathematics ◽  
2019 ◽  
Vol 7 (8) ◽  
pp. 727 ◽  
Author(s):  
Dongming Nie ◽  
Saima Rashid ◽  
Ahmet Ocak Akdemir ◽  
Dumitru Baleanu ◽  
Jia-Bao Liu

In this article, we aim to establish several inequalities for differentiable exponentially convex and exponentially quasi-convex mapping, which are connected with the famous Hermite–Hadamard (HH) integral inequality. Moreover, we have provided applications of our findings to error estimations in numerical analysis and higher moments of random variables.


Stats ◽  
2019 ◽  
Vol 2 (1) ◽  
pp. 121-147
Author(s):  
Riccardo Gatto

This article provides a review of the saddlepoint approximation for a M-statistic of a sample of nonnegative random variables with fixed sum. The sample vector follows the multinomial, the multivariate hypergeometric, the multivariate Polya or the Dirichlet distributions. The main objective is to provide a complete presentation in terms of a single and unambiguous notation of the common mathematical framework of these four situations: the simplex sample space and the underlying general urn model. Some important applications are reviewed and special attention is given to recent applications to models of circular data. Some novel applications are developed and studied numerically.


2007 ◽  
Vol 22 (2) ◽  
Author(s):  
Surath Sen ◽  
Elart von Collani

2018 ◽  
Vol 140 (3) ◽  
Author(s):  
Dimitrios I. Papadimitriou ◽  
Zissimos P. Mourelatos

A reliability-based topology optimization (RBTO) approach is presented using a new mean-value second-order saddlepoint approximation (MVSOSA) method to calculate the probability of failure. The topology optimizer uses a discrete adjoint formulation. MVSOSA is based on a second-order Taylor expansion of the limit state function at the mean values of the random variables. The first- and second-order sensitivity derivatives of the limit state cumulant generating function (CGF), with respect to the random variables in MVSOSA, are computed using direct-differentiation of the structural equations. Third-order sensitivity derivatives, including the sensitivities of the saddlepoint, are calculated using the adjoint approach. The accuracy of the proposed MVSOSA reliability method is demonstrated using a nonlinear mathematical example. Comparison with Monte Carlo simulation (MCS) shows that MVSOSA is more accurate than mean-value first-order saddlepoint approximation (MVFOSA) and more accurate than mean-value second-order second-moment (MVSOSM) method. Finally, the proposed RBTO-MVSOSA method for minimizing a compliance-based probability of failure is demonstrated using two two-dimensional beam structures under random loading. The density-based topology optimization based on the solid isotropic material with penalization (SIMP) method is utilized.


2021 ◽  
Vol 5 (1) ◽  
pp. 248-261
Author(s):  
Pingyi Fan ◽  

It is well known that Hoeffding's inequality has a lot of applications in the signal and information processing fields. How to improve Hoeffding's inequality and find the refinements of its applications have always attracted much attentions. An improvement of Hoeffding inequality was recently given by Hertz [<a href="#1">1</a>]. Eventhough such an improvement is not so big, it still can be used to update many known results with original Hoeffding's inequality, especially for Hoeffding-Azuma inequality for martingales. However, the results in original Hoeffding's inequality and its refined version by Hertz only considered the first order moment of random variables. In this paper, we present a new type of Hoeffding's inequalities, where the high order moments of random variables are taken into account. It can get some considerable improvements in the tail bounds evaluation compared with the known results. It is expected that the developed new type Hoeffding's inequalities could get more interesting applications in some related fields that use Hoeffding's results.


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