A de Bruijn identity for discrete random variables

We discuss properties of the "beamsplitter addition" operation, which provides a non-standard scaled convolution of random variables supported on the non-negative integers. We give a simple expression for the action of beamsplitter addition using generating functions. We use this to give a self-contained and purely classical proof of a heat equation and de Bruijn identity, satisfied when one of the variables is geometric.Comment: 9 pages, shorter version submitted to ISIT 201

Concave Renewal Functions Do Not Imply DFR Inter-Renewal Times

Brown (1980, 1981) proved that the renewal function is concave if the inter-renewal distribution is DFR (decreasing failure rate), and conjectured the converse. This note settles Brown's conjecture with a class of counter-examples. We also give a short proof of Shanthikumar's (1988) result that the DFR property is closed under geometric compounding.Comment: 8 pages, 1 figur

A de Bruijn identity for symmetric stable laws

We show how some attractive information--theoretic properties of Gaussians pass over to more general families of stable densities. We define a new score function for symmetric stable laws, and use it to give a stable version of the heat equation. Using this, we derive a version of the de Bruijn identity, allowing us to write the derivative of relative entropy as an inner product of score functions. We discuss maximum entropy properties of symmetric stable densities

Cellular Probabilistic Automata - A Novel Method for Uncertainty Propagation

We propose a novel density based numerical method for uncertainty propagation under certain partial differential equation dynamics. The main idea is to translate them into objects that we call cellular probabilistic automata and to evolve the latter. The translation is achieved by state discretization as in set oriented numerics and the use of the locality concept from cellular automata theory. We develop the method at the example of initial value uncertainties under deterministic dynamics and prove a consistency result. As an application we discuss arsenate transportation and adsorption in drinking water pipes and compare our results to Monte Carlo computations

On mutual information, likelihood-ratios and estimation error for the additive Gaussian channel

This paper considers the model of an arbitrary distributed signal x observed through an added independent white Gaussian noise w, y=x+w. New relations between the minimal mean square error of the non-causal estimator and the likelihood ratio between y and \omega are derived. This is followed by an extended version of a recently derived relation between the mutual information I(x;y) and the minimal mean square error. These results are applied to derive infinite dimensional versions of the Fisher information and the de Bruijn identity. The derivation of the results is based on the Malliavin calculus.Comment: 21 pages, to appear in the IEEE Transactions on Information Theor

Perfect Necklaces

We introduce a variant of de Bruijn words that we call perfect necklaces. Fix a finite alphabet. Recall that a word is a finite sequence of symbols in the alphabet and a circular word, or necklace, is the equivalence class of a word under rotations. For positive integers k and n, we call a necklace (k,n)-perfect if each word of length k occurs exactly n times at positions which are different modulo n for any convention on the starting point. We call a necklace perfect if it is (k,k)-perfect for some k. We prove that every arithmetic sequence with difference coprime with the alphabet size induces a perfect necklace. In particular, the concatenation of all words of the same length in lexicographic order yields a perfect necklace. For each k and n, we give a closed formula for the number of (k,n)-perfect necklaces. Finally, we prove that every infinite periodic sequence whose period coincides with some (k,n)-perfect necklace for any n, passes all statistical tests of size up to k, but not all larger tests. This last theorem motivated this work

Flip dynamics in octagonal rhombus tiling sets

We investigate the properties of classical single flip dynamics in sets of two-dimensional random rhombus tilings. Single flips are local moves involving 3 tiles which sample the tiling sets {\em via} Monte Carlo Markov chains. We determine the ergodic times of these dynamical systems (at infinite temperature): they grow with the system size $N_T$ like $Cst. N_T^2 \ln N_T$; these dynamics are rapidly mixing. We use an inherent symmetry of tiling sets and a powerful tool from probability theory, the coupling technique. We also point out the interesting occurrence of Gumbel distributions.Comment: 5 Revtex pages, 4 figures; definitive versio

Stationary Distribution and Eigenvalues for a de Bruijn Process

We define a de Bruijn process with parameters n and L as a certain continuous-time Markov chain on the de Bruijn graph with words of length L over an n-letter alphabet as vertices. We determine explicitly its steady state distribution and its characteristic polynomial, which turns out to decompose into linear factors. In addition, we examine the stationary state of two specializations in detail. In the first one, the de Bruijn-Bernoulli process, this is a product measure. In the second one, the Skin-deep de Bruin process, the distribution has constant density but nontrivial correlation functions. The two point correlation function is determined using generating function techniques.Comment: Dedicated to Herb Wilf on the occasion of his 80th birthda