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A Note on Applications of the

Martingale Central Limit Theorem to
Random Permutations

Chern-Ching Chao
Institute of Statistical Science, Academia Sinica, Taipei 115, Taiwan,
Republic of China

Recei ed 21 April 1995; accepted 16 July 1996

ABSTRACT: A unified martingale approach is presented for establishing the asymptotic

normality of some sequences of random variables. It is applied to the numbers of inversions,
rises, and peaks, respectively, as well as the oscillation and the sum of consecutive pair
products of a random permutation. Q 1997 John Wiley & Sons, Inc. Random Struct. Alg., 10,
323]332 1997.

Key Words: martingale central limit theorem; random permutations

1. INTRODUCTION

Martingale limit theory is well known for its variety of applications, from mathe-
matics to statistics, where classical independence-based methods are not available.
It has recently been applied with success to combinatorial problems, such as
random graphs see, e.g., w1, 12x. and random trees see, e.g., w13]15x..
The key idea when applying martingale limit theory is to reduce a sequence of
random variables to a martingale difference sequence or array to which one can
apply the martingale limit theorem. Mahmoud, Smythe, and Szymanski have
successfully employed this approach to obtain striking results for recursive trees
and plane-oriented recursive trees w13]15x. The particular sequences  X n4 which
they considered share the common property that Ew X n y X ny1 < Fny1 x is a linear

Q 1997 John Wiley & Sons, Inc. CCC 1042-9832r97r030323-10

323
324 CHAO

function of X ny 1. In this paper we apply the martingale central limit theorem to

prove a result which establishes general conditions for the asymptotic normality of
sequences  X n4 which have the property that Ew X n y X ny1 N Fny1 x s a n q bn X ny1.
In addition, we obtain formulae for calculating the mean and the variance of X n .
We state and prove our main theorem in Section 2. In Section 3 we apply the main
result to five statistics for random permutations. Among these, the numbers of
inversions, rises, and peaks, respectively, in a random permutation have repeatedly
been studied before by employing the classical central limit theorem CLT.,
generating function, and other methods. Results for the oscillation and the sum of
consecutive products of a random permutation are new.

2. MAIN RESULT

Unless otherwise indicated, limits will be taken as n `. The convergence in

p d
probability and in distribution will be denoted, respectively, by and .
Let  Zn, k ; 1 F k F k n4 be an array of random variables on the probability space
V, F , P ., where k n `. Let  Fn, k ; 0 F k F k n4 be any array of sub-s-fields of F
such that, for each n and 1 F k F k n , Zn, k is Fn, k-measurable and Fn, ky1 : Fn, k .
We call the array Zn, k a martingale difference array with respect to Fn, k if
Ew Zn, k N Fn, ky1 x s 0 a.s. for all n and k. Among various versions of martingale
CLTs that have appeared in the literature, the simple one due to McLeish w16x and
Helland w11x is used to derive our main theorem. That is, for martingale difference
array Zn, k , the conditions

E max < Zn , k < 0 1.

kFk n

and

kn
p
Zn2, k 1 2.
ks1

d
imply kks 1 Z n, k N 0, 1 , the standard normal distribution.
n .
Our main result is presented as follows.
Suppose that  X n ; n G 14 is a sequence of random variables on the probability
space V, F , P . and  Fn ; n G 04 is an increasing sequence of sub-s-fields of F , such
that X n if Fn-measurable and Ew X n2 x F ` for each n. Denote D X n s X n y X ny1
D X 1 s X 1 . and Dn s D X n y Ew D X n N Fny1 x. Notation h n 7 k n means h n s O k n .
and k n s O h n .. Restricting to the case that Ew D X n N Fny1 x is a linear function of
X ny 1 , we have the following theorem.

Theorem. a. Suppose that

E w D X n N Fny1 x s a n q bn X ny1 , 3.
APPLICATIONS OF MARTINGALE TO RANDOM PERMUTATIONS 325

where a n and bn are constants. Then

n
Xn s mn q bn , k D k ,
ks1

where
n
bn , n s 1, bn , k s 1 q bj . , k s 1, . . . , n y 1,
jskq1
n
mn ' E w Xn x s bn , k a k ,
ks1
n
sn2 ' Var w X n x s bn2, k E D k2 ,
ks1

and bn, k D krsn is a martingale difference array with respect to Fk .

b . Furthermore, suppose that:

I . sup n, k < bn, k < F M- `.

II . for each n, the conditional ariance of D X n with respect to Fny1 can be
expressed as

2
E Dn2 N Fny1 s c n q Yny1 y e n X ny1 y m ny1 . ,

where c n and e n G 0 are constants satisfying

lim inf c n ) 0, 4.
1
en s o / , 5.
n
n
bn2, k c k 7 ncnq1 , 6.
ks1

and Yny 1 is a zero-mean random ariable satisfying

E < Yny 1 < s o c n . . 7.

III . ess sup max k F n D X k2 . s o ny1 r2 nks1 bn,2 k c k .. Then
n
sn2 s 1 q o 1 . . bn2, k c k 8.
ks1

and

Xn y mn d
N 0, 1 . . 9.
sn
326 CHAO

Proof.
a. Since
X n s X ny1 q E w D X n N Fny1 x q Dn
s a n q Dn q 1 q bn . X ny1
n
s bn , k a k q D k .
ks1

and that Ew D k N Fky1 x s 0 implies Ew D k x s 0 and Ew Di Dj x s 0 for i / j, the conclu-

sions of a. follow straightforwardly.
b. Since Ew Dj2 x F c j , by 5. and 6., we obtain
ky1
e k s ky1
2
F ek b ky1,
2
j c j s o ck . .
js1

Hence,
n n
sn2 s bn2, k c k y e k s ky1
2
.s bn2, k c k q o c k . . .
ks1 ks1

For any given ) 0, fix n 0 such that c k ) 0 and < o c k .< F 2 c k for all k ) n 0 . Then,
for n ) n 0 ,
n
bn2, k o c k .
ks1
n0
n n0
F bn2, k o c k . q bn2, k c k y bn2, k c k

ks1 2
ks1 ks1
/
o ck . n0
n
F M 2 max q < ck < q bn2, k c k .
kFn 0 ck 2 / ks1 2

ks1

Observe that nks 1 bn,2 k c k ` due to 4. and 6.. Thus, find n1 ) n 0 such that
n 2 o ck . n0
bn2, k c k ) q < ck <

ks1
M 2 max
kFn 0 ck 2 /
ks1

for all n ) n1. Therefore,

n n
bn2, k o c k . F bn2, k c k
ks1 ks1

for n ) n1 , and hence 8. is proved.

Next, in order to prove 9. by virtue of McLeish and Hellands martingale CLT,
we need only to verify
n p
sny2 bn2, k D k2 y E D k2 . 0,
ks1
APPLICATIONS OF MARTINGALE TO RANDOM PERMUTATIONS 327

since condition 1. is automatically satisfied by assumptions I. and III.. This can

be achieved by showing that
n p
Wn ' sny2 bn2, k D k2 y E D k2 N Fky1 . 0 10 .
ks1

and
n p
WnU ' sny2 bn2, k E D k2 N Fky1 y E D k2 . 0. 11 .
ks1

Since
E Dk2 y E D k2 N Fky1 . Dh2 y E D h2 N Fhy1 . s0

for k / h, and noting that assumption III. and 8. imply ess sup D k2 s o ny1 r2sn2 .,
we have
n
2
E Wn2 s sny4 bn4, k E Dk2 y E D k2 N Fky1 . F sny4 n o ny1sn4 . . 0,
ks1

and this implies 10.. Note that, by assumption II.,

n
WnU s sny2
2
bn2, k Yky1 y e k X ky1 y m ky1 . q e k s ky1
2
..
ks1

Since sny2 nks1 bn,2 k Ew < Yky1 <x 0, by 7., and sny2 nks1 bn,2 k e k s ky1
2
0, 11. is
proved.

3. APPLICATIONS

In order to apply the main theorem to random permutations, we first construct

formally the related probability space V, F , P . and the increasing sequence of
sub-s-fields Fn .
Denote I s  1, 2, . . . 4 and In s  1, . . . , n4 . Let V be the set of all finite permuta-
tions, where a finite permutation v s v 1., v 2., . . . . is a one-to-one mapping of I
on itself such that v n. s n for every n with a finite number of exceptions. For
each n g I and each one-to-one mapping pn s pn1., . . . , pn n.. of In on itself, let
A p n s  v : pn is a finite subsequence of v 4 .

Let F be the s-field generated by all A p n, n g I, and let probability measure P be

the one extended from
1
P Ap n . s
n!
for all n and A p n. Then, we can define the random permutation of In as a random
vector P n v . s P n, 1 v ., . . . , P n, n v .. on V, F , P . by

P n v . s pn 1 . , . . . , pn n . . if v g A p n ,
328 CHAO

and define Fn to be the s-field generated by all A p n. Thus, pn is Fn-measurable

and Fn : Fnq1 : F. Similarly, we can define the random cyclic permutation of In and
the corresponding s-field Fn on V, F , P . by trivial modifications. Here, for
convenience and due to no danger of confusion, the same notations are used for
both permutations and cyclic permutations.
Except the first, all random variables in the following examples are defined on
cyclic permutations. One can easily define the corresponding random variables on
permutations by deleting the last summand, i.e., a function of P n, n and P n, 1 , from
the summation. There is no essential difference in establishing limiting distribu-
tions in both cases. However, the property of symmetry makes derivations simpler
in the circular case.

Example 1. In ersions. The number of inversions in a random permutation P n is

defined to be
Xn s I P n , i ) P n , j 4 ,
1Fi-jFn

where I ?4 is the indicator function. Inserting n into the given P ny 1 , one has

1
P  D X n s k N Fny1 4 s for k s 0, . . . , n y 1.
n
Hence,
E w D X n N Fny1 x s 12 n y 1 . ,
E Dn2 N Fny1 s 121 n2 y 1 . ,
bn , k s 1, k s 1, . . . , n,
m n s 14 n n y 1 . ,
and
sn2 s 721 2 n3 q 3n2 y 5n . .

The same result by different derivations can be found in w2, 9x and w8, pp.
256]257x.

Example 2. Rises. The number of rises in a random cyclic permutation P n is

defined to be
n
Xn s I P n , i - P n , iq1 4 ,
is1

where P n, nq1 s P n, 1. For n G 2 and given P ny1 , inserting n between P ny1, i and
P ny 1, iq1 , for some i, one gets D X n s 0 if P ny1, i - P ny1, iq1 , and D X n s 1
otherwise. Therefore,

X ny 1
P  D X n s 0 N Fny1 4 s 1 y P  D X n s 1 N Fny1 4 s , n G 2.
ny1
APPLICATIONS OF MARTINGALE TO RANDOM PERMUTATIONS 329

Hence, for n G 2,

1
E w D X n N Fny1 x s 1 y X ny1 ,
ny1
ky1 n
bn , k s , k s 1, . . . , n, mn s ,
ny1 2
1 1 2
E Dn2 N Fny1 s y 2 X ny1 y m ny1 . ,
4 n y 1.
and
n
sn2 s q O 1. .
12

Related results, mostly under the name of Eulerian number, can be found in
w2, 4, 7, 10, 17x and w6, pp. 150]154x.

Example 3. Peaks. The number of peaks in a random cyclic permutation P n is

defined to be
n
Xn s I P n , iy1 - P n , i ) P n , iq1 4 ,
is1

where P n, 0 s P n, n . A component P n, i is a peak if P n, iy1 , - P n, i ) P n, iq1. For

n G 3 inserting n into the given P ny 1 , one gets D X n s 0 if n is located on either
one of the two sides of a peak, and D X n s 1 otherwise. Therefore, for n G 3,

2
P  D X n s 0 N Fny1 4 s 1 y P  D X n s 1 N Fny1 4 s X ny1 ,
ny1
2
E w D X n N Fny1 x s 1 y X ny1 ,
ny1
k y 1. k y 2. n
bn , k s , k s 1, . . . , n, mn s ,
n y 1. n y 2. 3

and

2 2 4 2
E Dn2 N Fny1 s y X ny1 y m ny1 . y X ny1 y m ny1 . .
9 3 n y 1. n y 1.
2

Hence,
2
sn2 s n q O 1. ,
45
d
and X n y m n .rsn N 0, 1. since ny1 Ew < X ny1 y m ny1 <x s o1..
Related results are given in w3x without proof, and w18x.
330 CHAO

Example 4. Oscillation. A general oscillation of a random cyclic permutation P n

is defined to be
n
Xn s . s < P ns , i y P ns , iq1 < , s ) 0.
is1

For n G 4, one has

1 ny1
E D X n s . N Fny1 s  2 n s y P ny1,
s < s <
i y P ny1, iq1 y P ny1, i y P ny1, iq1 4
s s
ny1 is1

2s 1
s ns q o ns . y X ny 1 s . .
sq1 ny1
Therefore,
ky1
bn , k s , k s 3, . . . , n,
ny1
2s
mn s . s n sq 1 q o n sq1 . .
s q 1. s q 2.
Also,

4 s2
E Dn2 N Fny1 s 2
n2 s q o n2 s .
s q 1. s q 2.
8
y n sy 1 q o n sy1 . / X ny 1 s . y m ny1 s . .
sq2
2
q X ny 1 2 s . y m ny1 2 s . .
ny1
1 2
y 2 X ny 1 s . y m ny1 s . . .
n y 1.
Hence,

4 s2
sn2 s. s 2
n2 sq1 q o n2 sq1 . ,
s q 1. s q 2. 2 s q 3.
d
and X n s . y m n s ..rsn s . N 0, 1. since

n sy 1 E < X ny 1 s . y m ny1 s . < F n sy1sny1 s . s o n2 s .

and

ny1 E < X ny 1 2 s . y m ny1 2 s . < F ny1sny1 2 s . s o n2 s . .

The result for the special cases s s 1 can be found in w5x.

APPLICATIONS OF MARTINGALE TO RANDOM PERMUTATIONS 331

Example 5. Sum of consecuti e pair products. A general sum of consecutive pair

products of a random cyclic permutation P n is defined to be
n
X n s, t . s P ns , i P nt , iq1 , s ) 0 and t ) 0.
is1

For n G 3, one has

1 ny1
E D X n s, t . N Fnq1 s  nt P ny1,
s
i q n P ny1, iq1 y P ny1, i P ny1, iq1 4
s t s t
ny1 is1

sqtq2 1
s n sqt q o n sqt . y X ny 1 s, t . .
s q 1. t q 1. ny1
Therefore,
ky1
bn , k s , k s 2, . . . , n,
ny1
1
m n s, t . s n sqtq1 q o n sqtq1 . .
s q 1. t q 1.
Also,

E Dn2 s, t . N Fny1

s 2 t 2 2 s q 2 t q 3.
s 2 2
n2 sq2 t q o n2 sq2 t .
s q 1. t q 1. 2 s q 1. 2 t q 1.
1
q X ny 1 2 s, 2 t . y m ny1 2 s, 2 t . .
n y 1.
2 st q 2 s q 2 t .
q n sqty1 q o n sqty1 . X ny 1 s, t . y m ny1 s, t . .
s q 1. t q 1. /
y 2 n sy 1 q o n sy1 . . X ny 1 s, 2 t . y m ny1 s, 2 t . .
y 2 n ty1 q o n ty1 . . X ny 1 2 s, t . y m ny1 2 s, t . .
1 2
y 2 X ny 1 s, t . y m ny1 s, t . . .
n y 1.
Hence,

s2 t 2
sn2 s, t . s 2 2
n2 sq2 tq1 q o n2 sq2 tq1 . ,
s q 1. t q 1. 2 s q 1. 2 t q 1.
d
and X n s, t . y m n s, t ..rsn s, t . N 0, 1. since

ny1 E < X ny 1 2 s, 2 t . y m ny1 2 s, 2 t . < s o n2 sq2 t . ,

n sq ty1 E < X ny 1 s, t . y m ny1 s, t . < s o n2 sq2 t . ,
332 CHAO

and
n sy 1 E < X ny 1 s, 2 t . y m ny1 s, 2 t . < s o n2 sq2 t . .

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