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Volume 218, Nº 3 (2016)

Article

On Asymptotic Distributions of Analysis Characteristics for the Linear Data Assimilation Problem*

Belyaev K., Kuleshov A., Tuchkova N., Tanajura C.

Resumo

A commonly investigated linear data assimilation problem as a correction of the numerical model output is defined. This problem means that a numerical model state vector is corrected by observations through a system of linear equations. This paper shows that the asymptotic behavior of the characteristics of objective analyses produced by data assimilation under various conditions exists. In particular, the existence of a stationary regime for this problem is demonstrated, and a special case is discussed when the norm of the Kalman gain matrix approaches zero. For this case the limit theorem for the characteristics of the analysis state vector is proved under certain conditions. Another limit theorem asserts that the model variables after assimilation approach a diffusion stochastic process and the parameters of this process are determined. As a corollary, a new method to determine the gain matrix and the confidence intervals for the analysis state is derived. This led to a new approach on how to realize the data assimilation problem. A few numerical experiments are performed to illustrate the usefulness and feasibility of those theorems.

Journal of Mathematical Sciences. 2016;218(3):245-256
pages 245-256 views

Analyzing Mean Bit Rate of Multicast Video Conference in LTE Network with Adaptive Radio Admission Control Scheme*

Borodakiy V., Samouylov K., Gudkova I., Markova E.

Resumo

The concept of getting services and applications at “any time” and at “any place” requires the corresponding development of cellular networks, namely in LTE networks. At present, there is a lack of quality of service related recommendations describing various popular services, e.g., video conferencing. The problem is to find the optimal bit rate values for this service while not affecting the background lower priority services. In this paper we propose an instrument for solving this problem. First, we obtain mathematical model in the form of a queueing system with multicast highpriority traffic and unicast background traffic. The admission control assumes the adaptive bit rate change of multicast traffic and unicast traffic interruption. Second, we obtain the recursive algorithm for calculating mean bit rate and other performance measures. Third, we study the problem of optimizing mean bit rate.

Journal of Mathematical Sciences. 2016;218(3):257-268
pages 257-268 views

The Weibull–Rayleigh Distribution, Some Properties, and Applications

Hami Golzar N., Zabihi S., Ganji M., Bevrani H.

Resumo

A new distribution, the Weibull–Rayleigh distribution, is introduced, and various properties of the distribution are provided. Two real data sets are used to illustrate the applicability of the Weibull–Rayleigh distribution.

Journal of Mathematical Sciences. 2016;218(3):269-277
pages 269-277 views

Statistical Detection of Movement Activities in a Human Brain by Moving Separation of Mixture Distributions*

Gorshenin A., Korolev V., Korchagin A., Zakharova T., Zeifman A.

Resumo

One of the most popular experimental techniques for investigation of brain activity is the so-called method of evoked potentials: the subject repeatedly makes some movements (by his/her finger), whereas brain activity and some auxiliary signals are recorded for further analysis. The key problem is the detection of points in the myogram that correspond to the beginning of the movements. The more precisely the points are detected, the more successfully the magnetoencephalogram is processed aiming at the identification of sensors that are closest to the activity areas.

This paper proposes a statistical approach to this problem based on mixtures models that uses a specially modified method of moving separation of mixtures of probability distributions (MSMmethod) to detect the start points of the finger’s movements. We demonstrate the correctness of the new procedure and its advantages as compared with the method based on the notion of the myogram window variance.

Journal of Mathematical Sciences. 2016;218(3):278-286
pages 278-286 views

On Accuracy of Long-Term Risk Forecasts by Normal Variance-Mean Mixtures Decomposition Algorithm*

Korchagin A.

Resumo

This article provides an accuracy and applicability analysis of the approach to risk forecasting using parametric mixture models. The studied method is based upon results of the modified grid-based two-step decomposition algorithm for variance-mean mixtures. Instead of setting a fixed forecast interval, an approach is introduced to dynamically monitor relevant metrics for forecasts in a wide time frame, producing the basis for decision making regarding the quality and reliability of predictions for certain periods of time.

Journal of Mathematical Sciences. 2016;218(3):287-297
pages 287-297 views

Product Representations for Random Variables with Weibull Distributions and Their Applications*

Korolev V.

Resumo

In this paper, product representations are obtained for random variables with theWeibull distribution in terms of random variables with normal, exponential and stable distributions yielding scale mixture representations for the corresponding distributions. Main attention is paid to the case where the shape parameter γ of theWeibull distribution belongs to the interval (0, 1]. The case of small values of γ is of special interest, since the Weibull distributions with such parameters occupy an intermediate position between distributions with exponentially decreasing tails (e.g., exponential and gamma-distributions) and heavy-tailed distributions with Zipf–Pareto power-type decrease of tails. As a by-product result of the representation of the Weibull distribution with γ ∈ (0, 1) in the form of a mixed exponential distribution, the explicit representation of the moments of symmetric or one-sided strictly stable distributions are obtained. It is demonstrated that if γ ∈ (0, 1], then the Weibull distribution is a mixed half-normal law, and hence, it can be limiting for maximal random sums of independent random variables with finite variances. It is also demonstrated that the symmetric two-sided Weibull distribution with γ ∈ (0, 1] is a scale mixture of normal laws. Necessary and sufficient conditions are proved for the convergence of the distributions of extremal random sums of independent random variables with finite variances and of the distributions of the absolute values of these random sums to the Weibull distribution as well as of those of random sums themselves to the symmetric two-sided Weibull distribution. These results can serve as theoretical grounds for the application of the Weibull distribution as an asymptotic approximation for statistical regularities observed in the scheme of stopped random walks used, say, to describe the evolution of stock prices and financial indexes. Also, necessary and sufficient conditions are proved for the convergence of the distributions of more general regular statistics constructed from samples with random sizes to the symmetric two-sided Weibull distribution.

Journal of Mathematical Sciences. 2016;218(3):298-313
pages 298-313 views

A Note on Mixture Representations for the Linnik and Mittag-Leffler Distributions and Their Applications*

Korolev V., Zeifman A.

Resumo

We present some product representations for random variables with the Linnik, Mittag-Leffler, and Weibull distributions and establish the relationship between the mixing distributions in these representations. The main result is the representation of the Linnik distribution as a normal scale mixture with the Mittag-Leffler mixing distribution. As a corollary, we obtain the known representation of the Linnik distribution as a scale mixture of Laplace distributions. Another corollary of the main representation is the theorem establishing that the distributions of random sums of independent identically distributed random variables with finite variances converge to the Linnik distribution under an appropriate normalization if and only if the distribution of the random number of summands under the same normalization converges to the Mittag-Leffler distribution.

Journal of Mathematical Sciences. 2016;218(3):314-327
pages 314-327 views

Gaussian and Diffusion Limits for Multi-Channel Stochastic Networks

Livinska H., Lebedev E.

Resumo

In the paper the multichannel stochastic networks are considered. A non-homogeneous Poisson input flow of calls arrives at each node. An approximate method of investigation of the service process in heavy traffic is developed. For the multichannel Markovian networks the limit process is represented as a multidimensional diffusion.

Journal of Mathematical Sciences. 2016;218(3):328-334
pages 328-334 views

On Quasi-Nonuniform Estimates for Asymptotic Expansions in the Central Limit Theorem

Senatov V.

Resumo

Improved asymptotic expansions are constructed in terms of the Chebyshev–Hermite polynomials in the local form of the central limit theorem for sums of independent identically distributed random variables under the condition of absolute integrability of some positive powers of the the characteristic function of a summand. The influence of the requirements to the order of existing moments on the accuracy of approximation is discussed. Theoretical results are illustrated by the example of a particular shifted exponential distribution.

Journal of Mathematical Sciences. 2016;218(3):335-353
pages 335-353 views

On Robust Algorithm for Finding Maximum Likelihood Estimation of the Generalized Inverse Gaussian Distribution*

Yaroshenko I.

Resumo

In this paper, we propose robust numerical methods for finding the maximum likelihood estimation of the generalized inverse Gaussian distribution. A comparative analysis of the existing algorithms and the results of numerical experiments are presented. Special attention is paid to reproducibility of the tests.

Journal of Mathematical Sciences. 2016;218(3):354-362
pages 354-362 views

Non-Asymptotic Results for Cornish–Fisher Expansions*

Ulyanov V., Aoshima M., Fujikoshi Y.

Resumo

We get the computable error bounds for generalized Cornish–Fisher expansions for quantiles of statistics provided that the computable error bounds for Edgeworth–Chebyshev type expansions for distributions of these statistics are known. The results are illustrated by examples.

Journal of Mathematical Sciences. 2016;218(3):363-368
pages 363-368 views

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