An extension of the Gaussian correlation conjecture (GCC) is proved for multivariate gamma distributions (in the sense of Krishnamoorthy and Parthasarathy). The classical GCC for Gaussian probability measures is obtained by the special case with one degree of freedom.
In this paper we show that the family P_d of probability distributions on R^d with log-concave densities satisfies a strong continuity condition. In particular, it turns out that weak convergence within this family entails (i) convergence in total va
riation distance, (ii) convergence of arbitrary moments, and (iii) pointwise convergence of Laplace transforms. Hence the nonparametric model P_d has similar properties as parametric models such as, for instance, the family of all d-variate Gaussian distributions.
We propose new generalized multivariate hypergeometric distributions, which extremely resemble the classical multivariate hypergeometric distributions. The proposed distributions are derived based on an urn model approach. In contrast to existing met
hods, this approach does not involve hypergeometric series.
Consider a $p$-dimensional population ${mathbf x} inmathbb{R}^p$ with iid coordinates in the domain of attraction of a stable distribution with index $alphain (0,2)$. Since the variance of ${mathbf x}$ is infinite, the sample covariance matrix ${math
bf S}_n=n^{-1}sum_{i=1}^n {{mathbf x}_i}{mathbf x}_i$ based on a sample ${mathbf x}_1,ldots,{mathbf x}_n$ from the population is not well behaved and it is of interest to use instead the sample correlation matrix ${mathbf R}_n= {operatorname{diag}({mathbf S}_n)}^{-1/2}, {mathbf S}_n {operatorname{diag}({mathbf S}_n)}^{-1/2}$. This paper finds the limiting distributions of the eigenvalues of ${mathbf R}_n$ when both the dimension $p$ and the sample size $n$ grow to infinity such that $p/nto gamma in (0,infty)$. The family of limiting distributions ${H_{alpha,gamma}}$ is new and depends on the two parameters $alpha$ and $gamma$. The moments of $H_{alpha,gamma}$ are fully identified as sum of two contributions: the first from the classical Marv{c}enko-Pastur law and a second due to heavy tails. Moreover, the family ${H_{alpha,gamma}}$ has continuous extensions at the boundaries $alpha=2$ and $alpha=0$ leading to the Marv{c}enko-Pastur law and a modified Poisson distribution, respectively. Our proofs use the method of moments, the path-shortening algorithm developed in [18] and some novel graph counting combinatorics. As a consequence, the moments of $H_{alpha,gamma}$ are expressed in terms of combinatorial objects such as Stirling numbers of the second kind. A simulation study on these limiting distributions $H_{alpha,gamma}$ is also provided for comparison with the Marv{c}enko-Pastur law.
We present a conjecture regarding the expectation of the maxima of $L^2$ norms of sub-vectors of a Gaussian vector; this has application to nonlinear reconstruction.