On beta distributed limits of iterated linear random functions

DOI10.1016/J.SPL.2017.03.021MaRDI QIDQ2406773zbMATH OpenOpenAlexFDO

Authors Shaun McKinlay

Publication date 6 October 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.00600

zbMATH Keywords

beta distributioninterval splittingiterated random functionsMarkov chainsnested interval schemesrandom equations

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Random operators and equations (aspects of stochastic analysis) (60H25) Discrete-time Markov processes on general state spaces (60J05) Exact distribution theory in statistics (62E15)

Abstract: We consider several special cases of iterations of random i.i.d. linear functions with beta distributed fixed points that generate nested interval schemes when iterated in a backward direction, and ergodic Markov chains in the forward direction. We prove that the fixed points are beta distributed by using a related random equation with a gamma distributed solution that also generates a corresponding ergodic Markov chain with a gamma distributed stationary distribution. Our approach allows us to find limiting distributions of the random processes we consider, and provide solutions to the two random equations, by solving only one of these equations. The paper extends many partial results available in the existing literature.

Recommendations

• Iterated random functions and regularly varying tails
• Limit theorems for iterated random functions by regenerative methods.
• Limiting distributions of two random sequences
• Explicit stationary distributions for compositions of random functions and products of random matrices
• Iterations of random and deterministic functions

Cites work

• A Characterisation of Transient Random Walks on Stochastic Matrices with Dirichlet Distributed Limits
• A Characterization of the Gamma Distribution
• A class of Markov chains with beta ergodic distributions
• A metapopulation model with Markovian landscape dynamics
• A note on stochastic search methods for global optimization
• Algebraic properties of beta and gamma distributions, and applications
• Ergodicity of a bounded Markov chain with attractiveness towards the centre
• Estimating unobservable signal by Markovian noise induction: when noise helps in statistics!
• Explicit stationary distributions for compositions of random functions and products of random matrices
• scientific article; zbMATH DE number 3835125 (Why is no real title available?)
• scientific article; zbMATH DE number 3942642 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Interval Partitioning Arising from Size-Biased Picking
• Iterated Random Functions
• Iterated random functions and slowly varying tails
• Limit laws for a stochastic process and random recursion arising in probabilistic modelling
• Limiting distributions of two random sequences
• Markov chains in random environments and random iterated function systems
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On explicit form of the stationary distributions for a class of bounded Markov chains
• Random motions, classes of ergodic Markov chains and beta distributions
• Stochastic give-and-take
• The limit behavior of an interval splitting scheme
• The stationary probability density of a class of bounded Markov processes
• Transition probabilities for continual Young diagrams and the Markov moment problem
• Use of moments in studies of limit distributions arising from iterated random subdivisions of an interval

Cited in

(3)

• Use of moments in studies of limit distributions arising from iterated random subdivisions of an interval
• Limits of the Letac principle: the discrete case
• Random distributions, random affine systems, sampling of renewal processes

This page was built for publication: On beta distributed limits of iterated linear random functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2406773)