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⩾2. The characteristic function of a random variable Y=Q(X) is of order O(1/|t|1/k) as |t|→∞ if PX is sufficiently smooth. In addition, for every 1/k>ε>0 there exists a singular distribution PX such that every convolution Pn⋆X is also singular while the characteristic function of Y is of order O(1/|t|1/k−ε). 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.
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
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\paper On smooth behavior of probability distributions under polynomial mappings
\jour Teor. Veroyatnost. i Primenen.
\yr 1997
\vol 42
\issue 1
\pages 51--62
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\jour Theory Probab. Appl.
\yr 1998
\vol 42
\issue 1
\pages 28--38
\crossref{https://doi.org/10.1137/S0040585X97975927}
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Linking options:
https://www.mathnet.ru/eng/tvp1711
https://doi.org/10.4213/tvp1711
https://www.mathnet.ru/eng/tvp/v42/i1/p51
This publication is cited in the following 4 articles:
Yu. V. Prokhorov, F. Götze, V. V. Ulyanov, “On bounds for characteristic functions of the powers of asymptotically normal random variables”, Theory Probab. Appl., 62:1 (2018), 98–116
V. I. Bogachev, “Distributions of polynomials on multidimensional and infinite-dimensional spaces with measures”, Russian Math. Surveys, 71:4 (2016), 703–749
V. V. Ulyanov, “On properties of polynomials in random elements”, Theory Probab. Appl., 60:2 (2016), 325–336
Yuri V. Prokhorov, Vladimir V. Ulyanov, Springer Proceedings in Mathematics & Statistics, 42, Limit Theorems in Probability, Statistics and Number Theory, 2013, 235