Download Topics In Probability by Narahari Prabhu PDF

By Narahari Prabhu

Fresh learn in chance has been involved in purposes equivalent to info mining and finance types. a few elements of the rules of chance conception have receded into the historical past. but, those points are extremely important and feature to be introduced again into prominence.

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Proof. f. discussed in Chapter 2 and the result follows by the uniqueness theorem of that section. 4. The function log φ(σ) is convex in the interior of the strip of convergence. May 12, 2011 14:38 30 9in x 6in Topics in Probability b1108-ch03 Topics in Probability Proof. We have φ(σ)φ (σ) − φ (σ)2 d2 log φ(σ) = dσ 2 φ(σ)2 and by the Schwarz inequality φ (σ)2 = ≤ Therefore d2 dσ2 ∞ −∞ ∞ −∞ xeσx dF (x) e dF (x) · 2 ∞ = −∞ ∞ σx −∞ 1 1 e 2 σx · xe 2 σx dF (x) 2 2 σx x e dF (x) = φ(σ)φ (σ). log φ(σ) ≥ 0, which shows that log φ(σ) is convex.

F. of Xn . f. of Sn /n is then E(eiω(Sn /n) ) = φ(ω/n)n = [1 + iµ(ω/n) + 0(1/n)]n → eiµω as n → ∞. f. of a distribution concentrated at the point µ. By the continuity theorem it follows that the distribution of Sn /n converges to this degenerate distribution. 9 (central limit theorem). Let {Xn , n ≥ 1} be a sequence of independent random variables with a common distribution and E(Xn ) = µ, Var(Xn ) = σ 2 (both being finite). Let Sn = X1 + X2 + · · · + Xn (n ≥ 1). Then as √ n → ∞, the distribution of (Sn − nµ)/σ n converges to the standard normal.

4. ’s A function f of a real variable ω is said to be non-negative definite in (−∞, ∞) if for all real numbers ω1 , ω2 , . . , ωn and complex numbers a1 , a2 , . . , an n f (ωr − ωs )ar a ¯s ≥ 0. 17) r,s=1 For such a function the following properties hold. (a) f (0) ≥ 0. 17) we put n = 2, ω1 = ω, ω2 = 0, a1 = a, a2 = 1 we obtain a ≥ 0. 18) When ω = 0 and a = 1 this reduces to f (0) ≥ 0. (b) f¯(ω) = f (−ω). 18) that f (ω)a + f (−ω)¯ a is real. ¯ This gives f (ω) = f (−ω). (c) |f (ω)| ≤ f (0). 18) let us choose a = λf¯(ω) where λ is real.

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