The large deviation modified likelihood ratio statistic is studied for testing a variance component equal to a specified value. Formulas are presented in the general balanced case, whereas in the unbalanced case only the one-way random effects model is studied. Simulation studies are presented,...

We prove a theorem of de Finetti-type involving the pure birth of Yule process. The proof illustrates the usefulness of recently developed weak convergence criteria for point processes as well as uniform saddlepoint approximations. We also derive a stochastic intensity for the conditional...

We consider a binomial model that converges towards a Black-Scholes model as the number of trading dates increases to infinity. The models considered are complete and hence every claim is generated by an appropriate trading strategy. Fixing a path dependent claim the paper treats weak and...