Bounds on the concentration function in terms of Diophantine approximation

School of Mathematical Sciences, Tel Aviv University, Ramat Aviv, Tel Aviv 69978, Israel
Comptes Rendus Mathematique (Impact Factor: 0.43). 07/2007; 345(9). DOI: 10.1016/j.crma.2007.10.006
Source: arXiv

ABSTRACT We demonstrate a simple analytic argument that may be used to bound the Levy concentration function of a sum of independent random variables. The main application is a version of a recent inequality due to Rudelson and Vershynin, and its multidimensional generalisation.

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    ABSTRACT: Let $X,X_1,\ldots,X_n$ be independent identically distributed random variables. The paper deals with the question about the behavior of the concentration function of the random variable $\sum\limits_{k=1}^{n}X_k a_k$ according to the arithmetic structure of vectors $a_k$. Recently, the interest to this question has increased significantly due to the study of distributions of eigenvalues of random matrices. In this paper we formulate and prove multidimensional generalizations of the results Eliseeva and Zaitsev (2012). They are also the refinements of the results of Friedland and Sodin (2007) and Rudelson and Vershynin (2009).
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    ABSTRACT: Concentration functions of n-fold convolutions of probability distributions is shown to exhibit the following behavior. Let φ(n) be an arbitrary sequence tending to infinity as n tends to infinity, and ψ(x) be an arbitrary function tending to infinity as x tends to infinity. Then there exists a probability distribution F of a random variable X such that the mathematical expectation Eψ(|X|) is infinite and, moreover, the upper limit of the sequence n^{1/2} φ(n)Q(n) is equal to infinity, where Q(n) is the maximal atom of the n-fold convolution of distribution F. Thus, no infinity conditions imposed on the moments can force the concentration functions of n-fold convolutions decay essentially faster than o(n^{−1/2}). Keywordsconcentration functions– n-fold convolutions of distributions–estimates for the rate of decay–sums of independent identically distributed random variables
    Vestnik St Petersburg University Mathematics 06/2011; 44(2):110-114. DOI:10.3103/S1063454111020142


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