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This article is cited in 2 scientific papers (total in 2 papers)
On distributions of homogeneous and convex functions in Gaussian random variables
V. I. Bogachevab, E. D. Kosovab, S. N. Popovacb a Lomonosov Moscow State University
b National Research University "Higher School of Economics", Moscow
c Moscow Institute of Physics and Technology (National Research University), Dolgoprudny, Moscow Region
Abstract:
We obtain broad conditions under which distributions of homogeneous
functions in Gaussian and more general random variables have bounded densities or even
densities of bounded variation or densities with finite Fisher information.
Analogous results are obtained for convex functions.
Applications to maxima of quadratic forms are given.
Keywords:
distribution density, quadratic form in Gaussian random variables, distribution of a homogeneous function.
Received: 22.06.2020
Citation:
V. I. Bogachev, E. D. Kosov, S. N. Popova, “On distributions of homogeneous and convex functions in Gaussian random variables”, Izv. RAN. Ser. Mat., 85:5 (2021), 25–57; Izv. Math., 85:5 (2021), 852–882
Linking options:
https://www.mathnet.ru/eng/im9075https://doi.org/10.1070/IM9075 https://www.mathnet.ru/eng/im/v85/i5/p25
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Abstract page: | 543 | Russian version PDF: | 73 | English version PDF: | 41 | Russian version HTML: | 215 | References: | 31 | First page: | 13 |
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