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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1997 Volume 42, Issue 1, Pages 51–62 (Mi tvp1711)

This article is cited 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

DOI: 10.4213/tvp1711


 English version:
Theory of Probability and its Applications, 1998, 42:1, 28–38

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