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离散部分和分布最大值的极限定律 II

The limit law of the maximum of discrete partial-sums distribution II

Andrius Grigutis, Juozas Petkelis

arXiv 2607.11275首次发表:更新:

AI 中文总结

研究独立、离散、整数值且分布具周期性的随机变量序列,推导出\(\max\{X_i,X_i + X_{i + 1},\ldots\}\)分布函数的可计算表示,基于线性递推及相关线性系统确定初始值,还给出例子并纠正文献结果。

AI 中文摘要

设\(X_1,X_2,\ldots,X_N\)(\(N\in\mathbb N\))为独立、离散、整数值随机变量,各\(X_j\geqslant m_j\)几乎必然成立,且\(m_1+\cdots+m_N<0\),序列\(X_1,X_2,\ldots\)分布呈周期性。我们推导出\(\max\{X_1,X_1 + X_2,\ldots\}\)等分布函数的可计算表示,公式基于线性递推,初始值由含相关特征方程根及\(X_1,\ldots,X_N\)分布的线性系统确定。给出多个例子并纠正了文献中的一些结果。

英文摘要

Let $X_1,\,X_2,\,\ldots,\,X_N$, $N\in\mathbb N$ be independent, discrete, integer-valued random variables. Assume that $X_j\geqslant m_j$ almost surely for each $j=1,\,2,\,\ldots,\,N$, where $m_1,\,m_2,\,\ldots,\,m_N\in\mathbb{Z}$ satisfy $m_1+\cdots+m_N<0$. Furthermore, suppose that the sequence $X_1,\,X_2,\,\ldots$ is periodic in distribution, i.e. $X_k{\buildrel d \over =} X_{k+N}$ for all $k\in\mathbb N$. We derive computable representations for the distribution functions of $\max\{X_1,\,X_1+X_2,\,\ldots\}$, $\max\{X_2,\,X_2+X_3,\,\ldots\}$, $\ldots$, $\max\{X_N,\,X_N+X_{N+1},\,\ldots\}$. The obtained formulas are based on a linear recurrence whose initial values are determined from a linear system that involves the roots of an associated characteristic equation and the distributions of $X_1,\,X_2,\,\ldots,\,X_N$. Several examples are presented, including a biseasonal-biased Rademacher random walk for which the distribution, generating functions, and all moments admit explicit closed-form expressions. In addition, we identify and correct several inaccuracies in the results reported in \cite{Grigutis2024}.

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