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This article is cited in 4 scientific papers (total in 4 papers)
On smooth behavior of probability distributions under polynomial mappings
F. Götzea, Yu. V. Prokhorovb, V. V. Ulyanovc a Fakultät fur Mathematik, Universität Bielefeld, Germany
b Steklov Mathematical Institute, Russian Academy of Sciences
c M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Abstract:
Let $X$ be a random variable with probability distribution $PX$ concentrated on $[-1,1]$ and let $Q(x)$ be a polynomial of degree $k\ge 2$. The characteristic function of a random variable $Y=Q(X)$ is of order $O(1/|t|1/k)$ as $|t|\to\infty$ if $PX$ is sufficiently smooth. In addition, for every $1/k>\varepsilon>0$ there exists a singular distribution $PX$ such that every convolution $P^{n\star}_X$ is also singular while the characteristic function of $Y$ is of order $O(1/|t|^{1/k-\varepsilon})$. While the characteristic function of $X$ is small when “averaged” the characteristic function of the polynomial transformation $Y$ of $X$ is uniformly small.
Keywords:
characteristic functions, singular distributions, Cantor distribution, polynomials on random variables.
Received: 15.08.1996
Citation:
F. Götze, Yu. V. Prokhorov, V. V. Ulyanov, “On smooth behavior of probability distributions under polynomial mappings”, Teor. Veroyatnost. i Primenen., 42:1 (1997), 51–62; Theory Probab. Appl., 42:1 (1998), 28–38
Linking options:
https://www.mathnet.ru/eng/tvp1711https://doi.org/10.4213/tvp1711 https://www.mathnet.ru/eng/tvp/v42/i1/p51
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Abstract page: | 400 | Full-text PDF : | 97 | First page: | 7 |
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