On the efficient calculation of a linear combination of chi-square random variables with an application in counting string vacua

DOI10.1088/1751-8113/46/50/505202zbMATH Open1281.62049OpenAlexW3099338525WikidataQ60016477 ScholiaQ60016477MaRDI QIDQ2872152FDOQ2872152

Authors Johannes Bausch 

Publication date 14 January 2014

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.2691

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Random matrices (algebraic aspects) (15B52) Applications of statistics to physics (62P35)

Abstract: Linear combinations of chi square random variables occur in a wide range of fields. Unfortunately, a closed, analytic expression for the pdf is not yet known. As a first result of this work, an explicit analytic expression for the density of the sum of two gamma random variables is derived. Then a computationally efficient algorithm to numerically calculate the linear combination of chi square random variables is developed. An explicit expression for the error bound is obtained. The proposed technique is shown to be computationally efficient, i.e. only polynomial in growth in the number of terms compared to the exponential growth of most other methods. It provides a vast improvement in accuracy and shows only logarithmic growth in the required precision. In addition, it is applicable to a much greater number of terms and currently the only way of computing the distribution for hundreds of terms. As an application, the exponential dependence of the eigenvalue fluctuation probability of a random matrix model for 4d supergravity with N scalar fields is found to be of the asymptotic form exp(-0.35N).

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Cited in

(9)

• Decoupling and de Sitter vacua in approximate no-scale supergravities
• On the null distribution of Bayes factors in linear regression
• Visualizing high-dimensional loss landscapes with Hessian directions
• Testing for constancy in varying coefficient models
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• Ridge rerandomization: an experimental design strategy in the presence of covariate collinearity
• Numerical evaluation of methods approximating the distribution of a large quadratic form in normal variables
• The multisample Cucconi test
• Lyapunov exponents for some isotropic random matrix ensembles

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