We continue the investigation started in a previous paper, on weak convergence to infinitely divisible distributions with finite variance. In the present paper, we study this problem for some weakly dependent random variables, including in particular associated sequences. We obtain minimal conditions expressed in terms of individual random variables. As in the i.i.d. case, we describe the convergence to the Gaussian and the purely non-Gaussian parts of the infinitely divisible limit. We also discuss...

We consider the random recursion $X{ₙ}^x=MₙX_{n-1}^x+Qₙ+Nₙ\left(X_{n-1}^x\right)$, where x ∈ ℝ and (Mₙ,Qₙ,Nₙ) are i.i.d., Qₙ has a heavy tail with exponent α > 0, the tail of Mₙ is lighter and $Nₙ\left(X_{n-1}^x\right)$ is smaller at infinity, than $MₙX_{n-1}^x$. Using the asymptotics of the stationary solutions we show that properly normalized Birkhoff sums $S{ₙ}^x={\sum }_{k=0}^n{X}_k^x$ converge weakly to an α-stable law for α ∈ (0,2]. The related local limit theorem is also proved.

We consider partial orderings for stochastic processes induced by expectations of convex or increasing convex (concave or increasing concave) functionals. We prove that these orderings are implied by the analogous finite dimensional orderings.

Generalized entropic functionals are in an active area of research. Hence lower and upper bounds on these functionals are of interest. Lower bounds for estimating Rényi conditional $\alpha$-entropy and two kinds of non-extensive conditional $\alpha$-entropy are obtained. These bounds are expressed in terms of error probability of the standard decision and extend the inequalities known for the regular conditional entropy. The presented inequalities are mainly based on the convexity of some functions. In a certain...

Our first theorem states that the convolution of two symmetric densities which are k-monotone on (0,∞) is again (symmetric) k-monotone provided 0 < k ≤ 1. We then apply this result, together with an extremality approach, to derive sharp moment and exponential bounds for distributions having such shape constrained densities.

In this paper we study the set of copulas for which both a horizontal section and a vertical section have been given. We give a general construction for copulas of this type and we provide the lower and upper copulas with these sections. Symmetric copulas with given horizontal section are also discussed, as well as copulas defined on a grid of the unit square. Several examples are presented.

A toute mesure $c$ positive sur ${ℝ}_{+}$ telle que ${\int }_0^{\infty }(x\wedge x^2)c\left(dx\right)\<\infty$, nous associons un couple de Wald indéfiniment divisible, i.e. un couple de variables aléatoires $(X,H)$ tel que $X$ et $H$ sont indéfiniment divisibles, $H\ge 0$, et pour tout $\lambda \ge 0,E\left(e^{\lambda X}\right)·E\left(e^{-\frac{{\lambda }^2}{2}H}\right)=1$. Plus généralement, à une mesure $c$ positive sur ${ℝ}_{+}$ telle que ${\int }_0^{\infty }{e}^{-\alpha x}{x}^{2}c\left(dx\right)\<\infty$ pour tout $\alpha \>{\alpha }_0$, nous associons une “famille d’Esscher” de couples de Wald indéfiniment divisibles. Nous donnons de nombreux exemples de telles familles d’Esscher. Celles liées à la fonction gamma et à la fonction zeta de Riemann possèdent...