Sample distribution theory using Coarea Formula

DOI10.1080/03610926.2022.2116284MaRDI QIDQ6129996zbMATH OpenOpenAlexFDO

Publication date 18 April 2024

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.01441

area and coarea formula degenerate normal distribution distribution theory distributions on manifolds order statistics probability density random variable sample statistic

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to measure and integration (28-01) Hausdorff and packing measures (28A78) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Probability distributions: general theory (60E05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Sampling theory, sample surveys (62D05) Exact distribution theory in statistics (62E15)

Abstract: Let

l e f t (O m e g a, S i g m a, p i g h t)

be a probability measure space and let

X : O m e g a o {m a t h b b R}^{k}

be a (vector valued) random variable. We suppose that the probability

p_{X}

induced by

X

is absolutely continuous with respect to the Lebesgue measure on

{m a t h b b R}^{k}

and set

f_{X}

as its density function. Let

p h i : {m a t h b b R}^{k} o {m a t h b b R}^{n}

be a

C^{1}

-map and let us consider the new random variable

Y = p h i (X) : O m e g a o {m a t h b b R}^{n}

. Setting

m := m a x m b o x r a n k (J p h i (x)) : x i n {m a t h b b R}^{k}

, we prove that the probability

p_{Y}

induced by

Y

has a density function

f_{Y}

with respect to the Hausdorff measure

{m a t h c a l H}^{m}

on

p h i ({m a t h b b R}^{k})

which satisfies �egin{align*} f_Y(y)= int_{phi^{-1}(y)}f_X(x)frac{1}{J_mphi(x)},d{mathcal{H}}^{k-m}(x), &quad ext{for

{m a t h c a l H}^{m}

-a.e.}quad yinphi({mathbb{R}}^k). end{align*} Here

J_{m} p h i

is the

m

-dimensional Jacobian of

p h i

. When

J p h i

has maximum rank we allow the map

p h i

to be only locally Lipschitz. We also consider the case of

X

having probability concentrated on some

m

-dimensional sub-manifold

E s u b s e t e q {m a t h b b R}^{k}

and provide, besides, several examples including algebra of random variables, order statistics, degenerate normal distributions, Chi-squared and "Student's t" distributions.

Cited in

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