A histogram estimate of the Radon–Nikodym derivative of a probability measure with respect to a dominating measure is developed for binary sequences in {0,1}N. A necessary and sufficient condition for the consistency of the estimate in the mean-square sense is given. It is noted that the...

The problem of distinguishing a Brownian bridge from a Brownian motion, both with possible drift, on the closed unit interval, is investigated via a pair of hypothesis tests. The first, tests for observations obtained at n discrete time points to be arising from a Brownian bridge with drift by...

A new martingale technique is developed to find formulas for the first two moments and generating function of the waiting time until one observes an element of a finite collection of patterns in a finite multi-state Markov chain.

Risk-based pricing of loans is well-accepted. Left unstudied, however, is the conditional credit risk of a loan that remains current. Using large-sample statistics and asset-level consumer automobile asset-backed security data, we find that default risk conditional on survival converges for...

Predicting the federal funds rate and beating the federal funds futures market: mission impossible? Not so. We employ a Markov transition process and show that this model outperforms the federal funds futures market in predicting the target federal funds rate. Thus, by using purely historical...

Let X,Xi i[greater-or-equal, slanted]1 be i.i.d. bounded from below continuous random variables, , and bn n[greater-or-equal, slanted]1 be a sequence of increasing positive numbers. When X belongs to the Feller class and bn is such that nP(Xbn)--[infinity] and , a functional central limit...