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Jim Pitman

Publications and source records attributed to Jim Pitman.

At least 19 recordsLinked to original sources

The Bernoulli clock: probabilistic and combinatorial interpretations of the Bernoulli polynomials by circular convolution

The factorially normalized Bernoulli polynomials $b_n(x) = B_n(x)/n!$ are known to be characterized by $b_0(x) = 1$ and $b_n(x)$ for $n >0$ is the antiderivative of $b_{n-1}(x)$ subject to $\int_0^1 b_n(x) dx = 0$. We offer a related characterization: $b_1(x) = x - 1/2$ and $(-1)^{n-1} b_n(x)$ for $n >0$ is the $n$-fold circular convolution of $b_1(x)$ with itself. Equivalently, $1 - 2^n b_n(x)$ is the probability density at $x \in (0,1)$ of the fractional part of a sum of $n$ independent random variables, each with the beta$(1,2)$ probability density $2(1-x)$ at $x \in (0,1)$. This result has a novel combinatorial analog, the {\em Bernoulli clock}: mark the hours of a $2 n$ hour clock by a uniform random permutation of the multiset $\{1,1, 2,2, \ldots, n,n\}$, meaning pick two different hours uniformly at random from the $2 n$ hours and mark them $1$, then pick two different hours uniformly at random from the remaining $2 n - 2$ hours and mark them $2$, and so on. Starting from hour $0 = 2n$, move clockwise to the first hour marked $1$, continue clockwise to the first hour marked $2$, and so on, continuing clockwise around the Bernoulli clock until the first of the two hours marked $n$ is encountered, at a random hour $I_n$ between $1$ and $2n$. We show that for each positive integer $n$, the event $( I_n = 1)$ has probability $(1 - 2^n b_n(0))/(2n)$, where $n! b_n(0) = B_n(0)$ is the $n$th Bernoulli number. For $ 1 \le k \le 2 n$, the difference $\delta_n(k):= 1/(2n) - \P( I_n = k)$ is a polynomial function of $k$ with the surprising symmetry $\delta_n( 2 n + 1 - k) = (-1)^n \delta_n(k)$, which is a combinatorial analog of the well known symmetry of Bernoulli polynomials $b_n(1-x) = (-1)^n b_n(x)$.

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The range of a self-similar additive gamma process is a scale invariant Poisson point process

It is shown that for a non-decreasing self-similar stochastic process $T$ with independent increments, the range of $T$ forms a Poisson point process with $\sigma$-finite intensity if and only if the one-dimensional distribution of $T(1)$ is of the gamma type. This follows from a general hold-jump description of such processes $T$, and implies the known result that the spacings between consecutive points of a scale invariant Poisson point process, with intensity $\theta x^{-1} dx$, are the points of another scale invariant Poisson point process with the same intensity.

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Hidden symmetries and limit laws in the extreme order statistics of the Laplace random walk

This paper is concerned with the limit laws of the extreme order statistics derived from a symmetric Laplace walk. We provide two different descriptions of the point process of the limiting extreme order statistics: a branching representation and a squared Bessel representation. These complementary descriptions expose various hidden symmetries in branching processes and Brownian motion which lie behind some striking formulas found by Schehr and Majumdar (Phys. Rev. Lett., 108:040601). In particular, the Bessel process of dimension $4 = 2+2$ appears in the descriptions as a path decomposition of Brownian motion at a local minimum and the Ray-Knight description of Brownian local times near the minimum.

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Markovian structure in the concave majorant of Brownian motion

The purpose of this paper is to highlight some hidden Markovian structure of the concave majorant of the Brownian motion. Several distributional identities are implied by the joint law of a standard one-dimensional Brownian motion $B$ and its almost surely unique concave majorant $K$ on $[0,\infty)$. In particular, the one-dimensional distribution of $2 K_t - B_t$ is that of $R_5(t)$, where $R_5$ is a $5-$dimensional Bessel process with $R_5(0) = 0$. The process $2K-B$ shares a number of other properties with $R_5$, and we conjecture that it may have the distribution of $R_5$. We also describe the distribution of the convex minorant of a three-dimensional Bessel process with drift.

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Stationary 1-dependent Counting Processes: from Runs to Bivariate Generating Functions

We give a formula for the bivariate generating function of a stationary 1-dependent counting process in terms of its run probability generating function, with a probabilistic proof. The formula reduces to the well known bivariate generating function of the Eulerian distribution in the case of descents of a sequence of indepependent and identically distributed random variables. The formula is compared with alternative expressions from the theory of determinantal point processes and the combinatorics of sequences.

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Extreme order statistics of random walks

This paper is concerned with the limit theory of the extreme order statistics derived from random walks. We establish the joint convergence of the order statistics near the minimum of a random walk in terms of the Feller chains. Detailed descriptions of the limit process are given in the case of simple symmetric walks and Gaussian walks. Some open problems are also presented.

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Feller coupling of cycles and Poisson spacings

Feller (1945) provided a coupling between the counts of cycles of various sizes in a uniform random permutation of $[n]$ and the spacings between successes in a sequence of $n$ independent Bernoulli trials with success probability $1/n$ at the $n$th trial. Arratia, Barbour and Tavar\'e (1992) extended Feller's coupling, to associate cycles of random permutations governed by the Ewens $(\theta)$ distribution with spacings derived from independent Bernoulli trials with success probability $\theta/(n-1+\theta)$ at the $n$th trial, and to conclude that in an infinite sequence of such trials, the numbers of spacings of length $\ell$ are independent Poisson variables with means $\theta/\ell$. Ignatov (1978) first discovered this remarkable result in the uniform case $\theta = 1$, by constructing Bernoulli $(1/n)$ trials as the indicators of record values in a sequence of i.i.d. uniform $[0,1]$ variables. In the present article, the Poisson property of inhomogeneous Bernoulli spacings is explained by a variation of Ignatov's approach for a general $\theta >0$. Moreover, our approach naturally provides random permutations of infinite sets whose cycle counts are exactly given by independent Poisson random variables.

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Bounds on the probability of radically different opinions

We establish bounds on the probability that two different agents, who share an initial opinion expressed as a probability distribution on an abstract probability space, given two different sources of information, may come to radically different opinions regarding the conditional probability of the same event.

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Distribution-free properties of isotonic regression

It is well known that the isotonic least squares estimator is characterized as the derivative of the greatest convex minorant of a random walk. Provided the walk has exchangeable increments, we prove that the slopes of the greatest convex minorant are distributed as order statistics of the running averages. This result implies an exact non-asymptotic formula for the squared error risk of least squares in isotonic regression when the true sequence is constant that holds for every exchangeable error distribution.

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Gaps and interleaving of point processes in sampling from a residual allocation model

This article presents a limit theorem for the gaps $\widehat{G}_{i:n}:= X_{n-i+1:n} - X_{n-i:n}$ between order statistics $X_{1:n} \le \cdots \le X_{n:n}$ of a sample of size $n$ from a random discrete distribution on the positive integers $(P_1, P_2, \ldots)$ governed by a residual allocation model (also called a Bernoulli sieve) $P_j:= H_j \prod_{i=1}^{j-1}(1-H_i)$ for a sequence of independent random hazard variables $H_i$ which are identically distributed according to some distribution of $H \in (0,1)$ such that $- \log(1 - H)$ has a non-lattice distribution with finite mean $\mu_{\mbox{log}}$. As $n\to \infty$ the finite dimensional distributions of the gaps $\widehat{G}_{i:n}$ converge to those of limiting gaps $G_i$ which are the numbers of points in a stationary renewal process with i.i.d. spacings $- \log(1 - H_j)$ between times $T_{i-1}$ and $T_i$ of births in a Yule process, that is $T_i := \sum_{k=1}^i \varepsilon_{k}/k$ for a sequence of i.i.d. exponential variables $\varepsilon_k$ with mean 1. A consequence is that the mean of $\widehat{G}_{i:n}$ converges to the mean of $G_i$, which is $1/(i \mu_{\mbox{log}} )$. This limit theorem simplifies and extends a result of Gnedin, Iksanov and Roesler for the Bernoulli sieve.

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Random weighted averages, partition structures and generalized arcsine laws

This article offers a simplified approach to the distribution theory of randomly weighted averages or $P$-means $M_P(X):= \sum_{j} X_j P_j$, for a sequence of i.i.d.random variables $X, X_1, X_2, \ldots$, and independent random weights $P:= (P_j)$ with $P_j \ge 0$ and $\sum_{j} P_j = 1$. The collection of distributions of $M_P(X)$, indexed by distributions of $X$, is shown to encode Kingman's partition structure derived from $P$. For instance, if $X_p$ has Bernoulli$(p)$ distribution on $\{0,1\}$, the $n$th moment of $M_P(X_p)$ is a polynomial function of $p$ which equals the probability generating function of the number $K_n$ of distinct values in a sample of size $n$ from $P$: $E (M_P(X_p))^n = E p^{K_n}$. This elementary identity illustrates a general moment formula for $P$-means in terms of the partition structure associated with random samples from $P$, first developed by Diaconis and Kemperman (1996) and Kerov (1998) in terms of random permutations. As shown by Tsilevich (1997) if the partition probabilities factorize in a way characteristic of the generalized Ewens sampling formula with two parameters $(\alpha,\theta)$, found by Pitman (1992), then the moment formula yields the Cauchy-Stieltjes transform of an $(\alpha,\theta)$ mean. The analysis of these random means includes the characterization of $(0,\theta)$-means, known as Dirichlet means, due to Von Neumann (1941), Watson (1956) and Cifarelli and Regazzini (1990) and generalizations of L\'evy's arcsine law for the time spent positive by a Brownian motion, due to Darling (1949) Lamperti (1958) and Barlow, Pitman and Yor (1989).

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Squared Bessel processes of positive and negative dimension embedded in Brownian local times

The Ray--Knight theorems show that the local time processes of various path fragments derived from a one-dimensional Brownian motion $B$ are squared Bessel processes of dimensions $0$, $2$, and $4$. It is also known that for various singular perturbations $X= |B| + \mu \ell$ of a reflecting Brownian motion $|B|$ by a multiple $\mu$ of its local time process $\ell$ at $0$, corresponding local time processes of $X$ are squared Bessel with other real dimension parameters, both positive and negative. Here, we embed squared Bessel processes of all real dimensions directly in the local time process of $B$. This is done by decomposing the path of $B$ into its excursions above and below a family of continuous random levels determined by the Harrison--Shepp construction of skew Brownian motion as the strong solution of an SDE driven by $B$. This embedding connects to Brownian local times a framework of point processes of squared Bessel excursions of negative dimension and associated stable processes, recently introduced by Forman, Pal, Rizzolo and Winkel to set up interval partition evolutions that arise in their approach to the Aldous diffusion on a space of continuum trees.

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A guide to Brownian motion and related stochastic processes

This is a guide to the mathematical theory of Brownian motion and related stochastic processes, with indications of how this theory is related to other branches of mathematics, most notably the classical theory of partial differential equations associated with the Laplace and heat operators, and various generalizations thereof. As a typical reader, we have in mind a student, familiar with the basic concepts of probability based on measure theory, at the level of the graduate texts of Billingsley and Durrett , and who wants a broader perspective on the theory of Brownian motion and related stochastic processes than can be found in these texts.

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Renewal sequences and record chains related to multiple zeta sums

For the random interval partition of $[0,1]$ generated by the uniform stick-breaking scheme known as GEM$(1)$, let $u_k$ be the probability that the first $k$ intervals created by the stick-breaking scheme are also the first $k$ intervals to be discovered in a process of uniform random sampling of points from $[0,1]$. Then $u_k$ is a renewal sequence. We prove that $u_k$ is a rational linear combination of the real numbers $1, \zeta(2), \ldots, \zeta(k)$ where $\zeta$ is the Riemann zeta function, and show that $u_k$ has limit $1/3$ as $k \to \infty$. Related results provide probabilistic interpretations of some multiple zeta values in terms of a Markov chain derived from the interval partition. This Markov chain has the structure of a weak record chain. Similar results are given for the GEM$(\theta)$ model, with beta$(1,\theta)$ instead of uniform stick-breaking factors, and for another more algebraic derivation of renewal sequences from the Riemann zeta function.

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An ergodic theorem for partially exchangeable random partitions

We consider shifts $\Pi_{n,m}$ of a partially exchangeable random partition $\Pi_\infty$ of $\mathbb{N}$ obtained by restricting $\Pi_\infty$ to $\{n+1,n+2,\dots, n+m\}$ and then subtracting $n$ from each element to get a partition of $[m]:= \{1, \ldots, m \}$. We show that for each fixed $m$ the distribution of $\Pi_{n,m}$ converges to the distribution of the restriction to $[m]$ of the exchangeable random partition of $\mathbb{N}$ with the same ranked frequencies as $\Pi_\infty$. As a consequence, the partially exchangeable random partition $\Pi_\infty$ is exchangeable if and only if $\Pi_\infty$ is stationary in the sense that for each fixed $m$ the distribution of $\Pi_{n,m}$ on partitions of $[m]$ is the same for all $n$. We also describe the evolution of the frequencies of a partially exchangeable random partition under the shift transformation. For an exchangeable random partition with proper frequencies, the time reversal of this evolution is the heaps process studied by Donnelly and others.

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Ordered and size-biased frequencies in GEM and Gibbs models for species sampling

We describe the distribution of frequencies ordered by sample values in a random sample of size $n$ from the two parameter GEM$(\alpha,\theta)$ random discrete distribution on the positive integers. These frequencies are a $($size$-\alpha)$-biased random permutation of the sample frequencies in either ranked order, or in the order of appearance of values in the sampling process. This generalizes a well known identity in distribution due to Donnelly and Tavar\'e (1986) for $\alpha = 0$ to the case $0 \le \alpha < 1$. This description extends to sampling from Gibbs$(\alpha)$ frequencies obtained by suitable conditioning of the GEM$(\alpha,\theta)$ model, and yields a value-ordered version of the Chinese Restaurant construction of GEM$(\alpha,\theta)$ and Gibbs$(\alpha)$ frequencies in the more usual size-biased order of their appearance. The proofs are based on a general construction of a finite sample $(X_1,\dots,X_n)$ from any random frequencies in size-biased order from the associated exchangeable random partition $\Pi_\infty$ of $\mathbb{N}$ which they generate.

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Regenerative random permutations of integers

Motivated by recent studies of large Mallows$(q)$ permutations, we propose a class of random permutations of $\mathbb{N}_{+}$ and of $\mathbb{Z}$, called regenerative permutations. Many previous results of the limiting Mallows$(q)$ permutations are recovered and extended. Three special examples: blocked permutations, p-shifted permutations and p-biased permutations are studied.

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Extremes and gaps in sampling from a GEM random discrete distribution

We show that in a sample of size $n$ from a GEM$(0,\theta)$ random discrete distribution, the gaps $G_{i:n}:= X_{n-i+1:n} - X_{n-i:n}$ between order statistics $X_{1:n} \le \cdots \le X_{n:n}$ of the sample, with the convention $G_{n:n} := X_{1:n} - 1$, are distributed like the first $n$ terms of an infinite sequence of independent geometric$(i/(i+\theta))$ variables $G_i$. This extends a known result for the minimum $X_{1:n}$ to other gaps in the range of the sample, and implies that the maximum $X_{n:n}$ has the distribution of $1 + \sum_{i=1}^n G_i$, hence the known result that $X_{n:n}$ grows like $\theta\log(n)$ as $n\to\infty$, with an asymptotically normal distribution. Other consequences include most known formulas for the exact distributions of GEM$(0,\theta)$ sampling statistics, including the Ewens and Donnelly--Tavar\'e sampling formulas. For the two-parameter GEM$(\alpha,\theta)$ distribution we show that the maximal value grows like a random multiple of $n^{\alpha/(1-\alpha)}$ and find the limit distribution of the multiplier.

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