Uniqueness for the signature of a path of bounded variation and the reduced path group

We introduce the notions of tree-like path and tree-like equivalence between paths and prove that the latter is an equivalence relation for paths of finite length. We show that the equivalence classes form a group with some similarity to a free group, and that in each class there is one special tree reduced path. The set of these paths is the Reduced Path Group. It is a continuous analogue to the group of reduced words. The signature of the path is a power series whose coefficients are definite iterated integrals of the path. We identify the paths with trivial signature as the tree-like paths, and prove that two paths are in tree-like equivalence if and only if they have the same signature. In this way, we extend Chen's theorems on the uniqueness of the sequence of iterated integrals associated with a piecewise regular path to finite length paths and identify the appropriate extended meaning for reparameterisation in the general setting. It is suggestive to think of this result as a non-commutative analogue of the result that integrable functions on the circle are determined, up to Lebesgue null sets, by their Fourier coefficients. As a second theme we give quantitative versions of Chen's theorem in the case of lattice paths and paths with continuous derivative, and as a corollary derive results on the triviality of exponential products in the tensor algebra.Comment: 52 pages - considerably extended and revised version of the previous version of the pape

Bi-log-concave distribution functions

Nonparametric statistics for distribution functions F or densities f=F' under qualitative shape constraints provides an interesting alternative to classical parametric or entirely nonparametric approaches. We contribute to this area by considering a new shape constraint: F is said to be bi-log-concave, if both log(F) and log(1 - F) are concave. Many commonly considered distributions are compatible with this constraint. For instance, any c.d.f. F with log-concave density f = F' is bi-log-concave. But in contrast to the latter constraint, bi-log-concavity allows for multimodal densities. We provide various characterizations. It is shown that combining any nonparametric confidence band for F with the new shape-constraint leads to substantial improvements, particularly in the tails. To pinpoint this, we show that these confidence bands imply non-trivial confidence bounds for arbitrary moments and the moment generating function of F

An Edgeworth expansion for finite population L-statistics

In this paper, we consider the one-term Edgeworth expansion for finite population L-statistics. We provide an explicit formula for the Edgeworth correction term and give sufficient conditions for the validity of the expansion which are expressed in terms of the weight function that defines the statistics and moment conditions.Comment: 14 pages. Minor revisions. Some explanatory comments and a numerical example were added. Lith. Math. J. (to appear

Inconsistency of the MLE for the joint distribution of interval censored survival times and continuous marks

This paper considers the nonparametric maximum likelihood estimator (MLE) for the joint distribution function of an interval censored survival time and a continuous mark variable. We provide a new explicit formula for the MLE in this problem. We use this formula and the mark specific cumulative hazard function of Huang and Louis (1998) to obtain the almost sure limit of the MLE. This result leads to necessary and sufficient conditions for consistency of the MLE which imply that the MLE is inconsistent in general. We show that the inconsistency can be repaired by discretizing the marks. Our theoretical results are supported by simulations.Comment: 27 pages, 4 figure

Strong Approximation of Empirical Copula Processes by Gaussian Processes

We provide the strong approximation of empirical copula processes by a Gaussian process. In addition we establish a strong approximation of the smoothed empirical copula processes and a law of iterated logarithm

Random walks - a sequential approach

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its as- sociated sequential partial sum process under non-standard sampling. The asymptotic behavior differs substantially from the stationary situation, if there is a unit root (random walk component). To obtain meaningful asymptotic results we consider local nonpara- metric alternatives for the drift component. It turns out that the rate of convergence at which the drift vanishes determines whether the asymptotic properties of the monitoring procedure are determined by a deterministic or random function. Further, we provide a theoretical result about the optimal kernel for a given alternative

Probing Loop Quantum Gravity with Evaporating Black Holes

This letter aims at showing that the observation of evaporating black holes should allow distinguishing between the usual Hawking behavior and Loop Quantum Gravity (LQG) expectations. We present a full Monte-Carlo simulation of the evaporation in LQG and statistical tests that discriminate between competing models. We conclude that contrarily to what was commonly thought, the discreteness of the area in LQG leads to characteristic features that qualify evaporating black holes as objects that could reveal quantum gravity footprints.Comment: 5 pages, 3 figures. Version accpeted by Phys. Rev. Let

Dispesion measures and dispersive orders

In this paper, the comparison of random variables according to the functionals of a general class of dispersion measures is characterized in terms of the dilation order. The Gini's mean difference is a particular member of this general class. In addition, a new and weaker order, called the second-order absolute Lorenz ordering, is introduced, and we judge random variables according to certain functionals of this class when the dilation order is not available