Showing 1 - 10 of 22
In this paper we investigate the kernel estimator of the density for a stationary reversible Markov chain. The proofs are based on a new central limit theorem for a triangular array of reversible Markov chains obtained under conditions imposed to covariances, which has interest in itself.
Persistent link: https://www.econbiz.de/10011263144
Chareka (2009) presented two limit theorems in which the additivity requirement of a probability measure is weakened to a one-sided version of the inclusion–exclusion formula. Counterexamples are presented which show that both his Central Limit Theorem and his Weak Law of Large Numbers are false.
Persistent link: https://www.econbiz.de/10011115943
In this paper we assume that X1,X2,… is a sequence of independent continuous centered random variables with finite variances σ12,σ22,…. Then we present a central limit theorem for the randomly weighted averages Sn=R1X1+⋯+RnXn, where the random weights R1,…,Rn are the cuts of (0,1) by...
Persistent link: https://www.econbiz.de/10011115972
A central limit theorem for a linear combination of all the maximum likelihood estimators with an increasing dimension in maximum entropy models for network data, has been established. Simulation studies illustrate the asymptotic results.
Persistent link: https://www.econbiz.de/10011189329
In this paper, we study the asymptotic behavior of randomly perturbed Chan–Karolyi–Longstaff–Sanders (CKLS) model with small parameter ε. When ε→0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained.
Persistent link: https://www.econbiz.de/10011189337
We study the parameter estimation of two-type continuous-state branching processes with immigration based on low frequency observations at equidistant time points. The ergodicity of the processes is proved. The estimators are based on the minimization of a sum of squared deviation about...
Persistent link: https://www.econbiz.de/10010776521
Connectivity of the support of the simple branching random walk is established in certain asymmetric cases, extending a previous result of Grill.
Persistent link: https://www.econbiz.de/10010776541
Consider an i.i.d. random field {Xk:k∈Z+d}, together with a sequence of unboundedly increasing nested sets Sj=⋃k=1jHk,j≥1, where the sets Hj are disjoint. The canonical example consists of the hyperbolas Hj={k∈Z+d:|k|=j}. We are interested in the number of “hyperbolas” Hj that...
Persistent link: https://www.econbiz.de/10011039775
We study subsampling estimators for the limit variance σ2=V ar(X1)+2∑k=2∞Cov(X1,Xk) of partial sums of a stationary stochastic process (Xk)k≥1. We establish L2-consistency of a non-overlapping block resampling method. Our results apply to processes that can be represented as functionals...
Persistent link: https://www.econbiz.de/10011039840
The Birnbaum–Saunders distribution is based on the asymptotic normality of a sum of random variables. We propose a new version of this distribution assuming that the number of terms of such a sum depends on a non-homogeneous Poisson process. The classical Birnbaum–Saunders distribution is...
Persistent link: https://www.econbiz.de/10011039867