Entropy for Random Partitions and Its Applications

被引:0
作者
Yongzhao Shao
Raúl Jiménez
机构
来源
Journal of Theoretical Probability | 1998年 / 11卷
关键词
Entropy; Kullback-Liebler divergence; random partition; characterization of distributions; goodness-of-fit test; martingale; spacings;
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摘要
Asymptotic properties of partitions of the unit interval are studied through the entropy for random partition\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$E_n (F) \equiv - \sum\limits_{j = 1}^{n + 1} {[F(X_{j,n} ) - F(X_{j - 1,n} )]\log \{ [F(X_{j,n} ) - F(X_{j - 1,n} )](n + 1)\} }$$ \end{document} where \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$X_{1,n} < X_{2,n} < \cdot \cdot \cdot < X_{n,n}$$ \end{document} are the order statistics of a random sample {Xi, i ≥ n}, X0, n ≡ −∞, Xn+1, n ≡ +∞ and F(x) is a continuous distribution function. A characterization of continuous distributions based on \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$E_n (F)$$ \end{document} is obtained. Namely, a sequence of random observations {Xi, i≥1} comes from a continuous cumulative distribution function (cdf) F(x) if and only if \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$\mathop {\lim }\limits_{n \to \infty } E_n (F) = \gamma - 1{\text{ a}}{\text{.s}}{\text{.}}$$ \end{document} where γ = 0.577 is Euler's constant. If {Xi, i≥1} come from a density g(x) and F is a cdf with density f(x), some limit theorems for \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$E_n (F)$$ \end{document} are established, e.g., \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$\mathop {\lim }\limits_{n \to \infty } E_n (F) = - \int_{\{ x:g(x) > 0\} } {f(x)\log \frac{{f(x)}}{{g(x)}}dx + \gamma - 1{\text{ in probability}}}$$ \end{document} Statistical estimation as well as a goodness-of-fit test based on \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document} $$E_n (F)$$ \end{document} are also discussed.
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页码:417 / 433
页数:16
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