The K-level crossings of a random algebraic polynomial with dependent coefficients

DOI10.1016/J.SPL.2011.09.019MaRDI QIDQ654502zbMATH OpenOpenAlexFDO

Authors Jeffrey Matayoshi

Publication date 28 December 2011

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

Full work available at URL https://arxiv.org/abs/0912.4065

zbMATH Keywords

algebraic polynomials dependent random variables level crossings random polynomials

Mathematics Subject Classification ID

Real polynomials: location of zeros (26C10) Stochastic analysis (60H99)

Abstract: For a random polynomial with standard normal coefficients, two cases of the K-level crossings have been considered by Farahmand. When the coefficients are independent, Farahmand was able to derive an asymptotic value for the expected number of level crossings, even if K is allowed to grow to infinity. Alternatively, it was shown that when the coefficients have a constant covariance, the expected number of level crossings is reduced by half. In this paper we are interested in studying the behavior for dependent standard normal coefficients where the covariance is decaying and no longer constant. Using techniques similar to those of Farahmand, we will be able to show that for a wide range of covariance functions behavior similar to the independent case can be expected.

Review text

This is a very interesting paper on the general area of polynomials with random coefficients. There are many known results concerning the mathematical expectation of the number of real zeros of a random algebraic polynomial \[ P_n(x, \omega) \equiv P_n(x)= \sum_{k=0}^{n}X_k(\omega) x^k, \] where \(\omega \in \Omega\) is an elementary event in the fixed probability space \((\Omega, {\mathcal A}, \Pr)\). The results so far are mainly for identically, independent as well as dependent, Gaussian distributed coefficients \(\{X_k\}_{k=0}^{n-1}\), but also for a constant \(K\), possibly allowed to be a function of \(n\) the expected number of real roots of the equation \(P_n(x)=K\) -- known as \(K\)-level crossings of \(P_n\). Earlier results on this subject were discussed in [\textit{A. T. Bharucha-Reid} and \textit{M. Sambandham}, Random polynomials. Orlando etc.: Academic Press, Inc. (Harcourt Brace Jovanovich, Publishers) (1986; Zbl 0615.60058); the reviewer, Topics in Random Polynomials. Harlow: Addison Wesley Longman (1998; Zbl 0949.60010)]. The authors in this paper consider a new class of dependency for the coefficients of a polynomial and obtain for \(n\) sufficiently large asymptotic results for the expected number of \(K\)-level crossings. Both cases of \(K\) being constant and \(K=o\left( \sqrt{n/\log \log n}\right)\) are given. The coefficients \(\{X_k\}_{k=0}^n\) are assumed to be a stationary sequence of normal random variables with mean zero and covariance function \(\Gamma(k)= \text{E}(X_0 X_k)\) with \(\Gamma(0)=1\). Similar to the independent case it is shown that the above expected number is the same as the expected number of zeros as long as \(K\) remains bounded. For large \(K\), with \(K=o\left( \sqrt{n/\log \log n}\right)\), there is a reduction to the number of real roots of \(P_n(x)=K\). However, this reduction occurs in the interval \((-1, 1)\). The expected number of real roots in \((-\infty, -1) \cup (1, \infty)\) remains the same. The covariance function expressed as \(\Gamma(k)=\int_{-\pi}^\pi \exp(-k\phi)f(\phi)d \phi\), where \(f(\phi)\) is the spectral density of the covariance function, is used. The paper should initiate a new direction in this research area by looking at other types of polynomials with the above dependency.

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