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An extremal property of the generalized arcsine distribution

Schmidt, Karl Michael and Zhigljavsky, Anatoly Alexandrovich 2013. An extremal property of the generalized arcsine distribution. Metrika 76 (3) , pp. 347-355. 10.1007/s00184-012-0391-y

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Abstract

The main result of the paper is the following characterization of the generalized arcsine density p γ (t) = t γ−1(1 − t) γ−1/B(γ, γ) with t∈(0,1) and γ∈(0,12)∪(12,1) : a r.v. ξ supported on [0, 1] has the generalized arcsine density p γ (t) if and only if E|ξ−x|1−2γ has the same value for almost all x∈(0,1) . Moreover, the measure with density p γ (t) is a unique minimizer (in the space of all probability measures μ supported on (0, 1)) of the double expectation (γ−12)E|ξ−ξ′|1−2γ , where ξ and ξ′ are independent random variables distributed according to the measure μ. These results extend recent results characterizing the standard arcsine density (the case γ=12 ).

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Generalized arcsine distribution, Bochner–Khinchine theorem, Correlated observations, Experimental design
Publisher: Springer
ISSN: 0026-1335
Last Modified: 05 Jun 2017 03:11
URI: http://orca.cf.ac.uk/id/eprint/26450

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