scholarly journals d-records in geometrically distributed random variables

2006 ◽  
Vol Vol. 8 ◽  
Author(s):  
Helmut Prodinger
Keyword(s):  
Geometric Distribution ◽  
Random Variables ◽  
Random Permutations ◽  
Weak Model ◽  
Asymptotic Formulae ◽  
International Audience

International audience We study d-records in sequences generated by independent geometric random variables and derive explicit and asymptotic formulæ for expectation and variance. Informally speaking, a d-record occurs, when one computes the d-largest values, and the variable maintaining it changes its value while the sequence is scanned from left to right. This is done for the "strict model," but a "weak model" is also briefly investigated. We also discuss the limit q → 1 (q the parameter of the geometric distribution), which leads to the model of random permutations.

scholarly journals A combinatorial and probabilistic study of initial and end heights of descents in samples of geometrically distributed random variables and in permutations

2007 ◽  
Vol Vol. 9 no. 1 (Analysis of Algorithms) ◽  
Author(s):  
Guy Louchard ◽  
Helmut Prodinger
Keyword(s):  
Geometric Distribution ◽  
Analysis Of Algorithms ◽  
Markov Chain Model ◽  
Random Variables ◽  
Discrete Distributions ◽  
Chain Model ◽  
Initial Height ◽  
Probabilistic Study ◽  
International Audience ◽  
Expected Values

Analysis of Algorithms International audience In words, generated by independent geometrically distributed random variables, we study the lth descent, which is, roughly speaking, the lth occurrence of a neighbouring pair ab with a>b. The value a is called the initial height, and b the end height. We study these two random variables (and some similar ones) by combinatorial and probabilistic tools. We find in all instances a generating function Ψ(v,u), where the coefficient of vjui refers to the jth descent (ascent), and i to the initial (end) height. From this, various conclusions can be drawn, in particular expected values. In the probabilistic part, a Markov chain model is used, which allows to get explicit expressions for the heights of the second descent. In principle, one could go further, but the complexity of the results forbids it. This is extended to permutations of a large number of elements. Methods from q-analysis are used to simplify the expressions. This is the reason that we confine ourselves to the geometric distribution only. For general discrete distributions, no such tools are available.

scholarly journals Compositions and samples of geometric random variables with constrained multiplicities

2010 ◽  
Vol DMTCS Proceedings vol. AN,... (Proceedings) ◽  
Author(s):  
Margaret Archibald ◽  
Arnold Knopfmacher ◽  
Toufik Mansour
Keyword(s):  
Positive Integer ◽  
Geometric Distribution ◽  
Random Variables ◽  
Related Case ◽  
Forbidden Set ◽  
International Audience ◽  
Nous Examinons ◽  
Independent Identically Distributed

International audience We investigate the probability that a random composition (ordered partition) of the positive integer $n$ has no parts occurring exactly $j$ times, where $j$ belongs to a specified finite $\textit{`forbidden set'}$ $A$ of multiplicities. This probability is also studied in the related case of samples $\Gamma =(\Gamma_1,\Gamma_2,\ldots, \Gamma_n)$ of independent, identically distributed random variables with a geometric distribution. Nous examinons la probabilité qu'une composition faite au hasard (une partition ordonnée) du nombre entier positif $n$ n'a pas de parties qui arrivent exactement $j$ fois, où $j$ appartient à une série interdite, finie et spécifiée $A$ de multiplicités. Cette probabilité est aussi étudiée dans le cas des suites $\Gamma =(\Gamma_1,\Gamma_2,\ldots,\Gamma_n)$ de variables aléatoires identiquement distribuées et indépendantes avec une distribution géométrique.

scholarly journals Samples of geometric random variables with multiplicity constraints

2006 ◽  
Vol DMTCS Proceedings vol. AG,... (Proceedings) ◽  
Author(s):  
Margaret Archibald ◽  
Arnold Knopfmacher
Keyword(s):  
Geometric Distribution ◽  
Random Variables ◽  
Fixed Integer ◽  
Forbidden Set ◽  
International Audience ◽  
Independent Identically Distributed

International audience We investigate the probability that a sample $\Gamma=(\Gamma_1,\Gamma_2,\ldots,\Gamma_n)$ of independent, identically distributed random variables with a geometric distribution has no elements occurring exactly $j$ times, where $j$ belongs to a specified finite $\textit{'forbidden set'}$ $A$ of multiplicities. Specific choices of the set $A$ enable one to determine the asymptotic probabilities that such a sample has no variable occuring with multiplicity $b$, or which has all multiplicities greater than $b$, for any fixed integer $b \geq 1$.

scholarly journals Random Permutations, Non-Decreasing Subsequences and Statistical Independence

Symmetry ◽  
2020 ◽  
Vol 12 (9) ◽  
pp. 1415
Author(s):  
Jesús E. García ◽  
Verónica A. González-López
Keyword(s):  
Random Variables ◽  
Continuous Data ◽  
Random Permutations ◽  
Statistical Independence ◽  
Independence Test ◽  
Independence Tests ◽  
Present Procedure ◽  
Longest Increasing Subsequence

In this paper, we show how the longest non-decreasing subsequence, identified in the graph of the paired marginal ranks of the observations, allows the construction of a statistic for the development of an independence test in bivariate vectors. The test works in the case of discrete and continuous data. Since the present procedure does not require the continuity of the variables, it expands the proposal introduced in Independence tests for continuous random variables based on the longest increasing subsequence (2014). We show the efficiency of the procedure in detecting dependence in real cases and through simulations.

The log-normal approximation in financial and other computations

2004 ◽  
Vol 36 (03) ◽  
pp. 747-773 ◽  
Author(s):  
Daniel Dufresne
Keyword(s):  
Brownian Motion ◽  
Explicit Formula ◽  
Normal Approximation ◽  
Random Variables ◽  
Exact Distribution ◽  
Financial Mathematics ◽  
Asian Options ◽  
Basket Options ◽  
Asymptotic Formulae ◽  
Log Normal

Sums of log-normals frequently appear in a variety of situations, including engineering and financial mathematics. In particular, the pricing of Asian or basket options is directly related to finding the distributions of such sums. There is no general explicit formula for the distribution of sums of log-normal random variables. This paper looks at the limit distributions of sums of log-normal variables when the second parameter of the log-normals tends to zero or to infinity; in financial terms, this is equivalent to letting the volatility, or maturity, tend either to zero or to infinity. The limits obtained are either normal or log-normal, depending on the normalization chosen; the same applies to the reciprocal of the sums of log-normals. This justifies the log-normal approximation, much used in practice, and also gives an asymptotically exact distribution for averages of log-normals with a relatively small volatility; it has been noted that all the analytical pricing formulae for Asian options perform poorly for small volatilities. Asymptotic formulae are also found for the moments of the sums of log-normals. Results are given for both discrete and continuous averages. More explicit results are obtained in the case of the integral of geometric Brownian motion.

scholarly journals Random permutations and their discrepancy process

2007 ◽  
Vol DMTCS Proceedings vol. AH,... (Proceedings) ◽  
Author(s):  
Guillaume Chapuy
Keyword(s):  
Computational Biology ◽  
Symmetric Group ◽  
Gaussian Process ◽  
Brownian Bridge ◽  
Random Permutation ◽  
Partial Sums ◽  
Random Permutations ◽  
New Process ◽  
International Audience

International audience Let $\sigma$ be a random permutation chosen uniformly over the symmetric group $\mathfrak{S}_n$. We study a new "process-valued" statistic of $\sigma$, which appears in the domain of computational biology to construct tests of similarity between ordered lists of genes. More precisely, we consider the following "partial sums": $Y^{(n)}_{p,q} = \mathrm{card} \{1 \leq i \leq p : \sigma_i \leq q \}$ for $0 \leq p,q \leq n$. We show that a suitable normalization of $Y^{(n)}$ converges weakly to a bivariate tied down brownian bridge on $[0,1]^2$, i.e. a continuous centered gaussian process $X^{\infty}_{s,t}$ of covariance: $\mathbb{E}[X^{\infty}_{s,t}X^{\infty}_{s',t'}] = (min(s,s')-ss')(min(t,t')-tt')$.

scholarly journals The distribution of ascents of size $d$ or more in samples of geometric random variables

2005 ◽  
Vol DMTCS Proceedings vol. AD,... (Proceedings) ◽  
Author(s):  
Charlotte Brennan ◽  
Arnold Knopfmacher
Keyword(s):  
Nonnegative Integer ◽  
Random Variables ◽  
Limiting Distribution ◽  
Geometric Probability ◽  
International Audience ◽  
The Mean ◽  
Mean Variance

International audience We consider words or strings of characters $a_1a_2a_3 \ldots a_n$ of length $n$, where the letters $a_i \in \mathbb{Z}$ are independently generated with a geometric probability $\mathbb{P} \{ X=k \} = pq^{k-1}$ where $p+q=1$. Let $d$ be a fixed nonnegative integer. We say that we have an ascent of size $d$ or more if $a_{i+1} \geq a_i+d$. We determine the mean, variance and limiting distribution of the number of ascents of size $d$ or more in a random geometrically distributed word.

scholarly journals On Some Densities in the Set of Permutations

10.37236/372 ◽  
2010 ◽  
Vol 17 (1) ◽  
Author(s):  
Eugenijus Manstavičius
Keyword(s):  
Saddle Point ◽  
Cycle Length ◽  
Random Variables ◽  
Point Method ◽  
Saddle Point Method ◽  
Asymptotic Density ◽  
Independent Random Variables ◽  
Random Permutations ◽  
Set Of Permutations

The asymptotic density of random permutations with given properties of the $k$th shortest cycle length is examined. The approach is based upon the saddle point method applied for appropriate sums of independent random variables.

scholarly journals Note on the weighted internal path length of b-ary trees

2007 ◽  
Vol Vol. 9 no. 1 (Analysis of Algorithms) ◽  
Author(s):  
Ludger Rüschendorf ◽  
Eva-Maria Schopp
Keyword(s):  
Limit Theorem ◽  
Continuous Time ◽  
Path Length ◽  
Analysis Of Algorithms ◽  
Random Variables ◽  
Time Parameter ◽  
Recursive Sequences ◽  
International Audience

Analysis of Algorithms International audience In a recent paper Broutin and Devroye (2005) have studied the height of a class of edge-weighted random trees.This is a class of trees growing in continuous time which includes many wellknown trees as examples. In this paper we derive a limit theorem for the internal path length for this class of trees.For the proof we extend a limit theorem in Neininger and Rüschendorf (2004) to recursive sequences of random variables with continuous time parameter.

scholarly journals The first descent in samples of geometric random variables and permutations

2006 ◽  
Vol Vol. 8 ◽  
Author(s):  
Arnold Knopfmacher ◽  
Helmut Prodinger
Keyword(s):  
Random Variables ◽  
Random Permutation ◽  
International Audience

International audience For words of length n, generated by independent geometric random variables, we study the average initial and end heights of the first descent in the word. In addition we compute the average initial and end height of the first descent for a random permutation of n letters.

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