Local time and related sample paths of filtered white noises

Raby Guerbaz

Displaying similar documents to “Local time and related sample paths of filtered white noises”

On the Itô formula in a Banach space.

Mamporia, B. (2000)

Georgian Mathematical Journal

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A central limit theorem for processes generated by a family of transformations

Marian Jabłoński

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Let $τ_{n}, n \geq 0$ be a sequence of measure preserving transformations of a probability space (Ω,Σ,P) into itself and let $f_{n}, n \geq 0$ be a sequence of elements of $L^{2} (Ω, Σ, P)$ with $E f_{n} = 0$ . It is shown that the distribution of $(\sum_{i = 0}^{n} f_{i} \circ τ_{i} \circ . . . \circ τ_{0}) {(D (\sum_{i = 0}^{n} f_{i} \circ τ_{i} \circ . . . \circ τ_{0}))}^{- 1}$ tends to the normal distribution N(0,1) as n → ∞. 1985 Mathematics Subject Classification: 58F11, 60F05, 28D99.

Inferring the residual waiting time for binary stationary time series

Gusztáv Morvai, Benjamin Weiss (2014)

Kybernetika

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For a binary stationary time series define $σ_{n}$ to be the number of consecutive ones up to the first zero encountered after time $n$ , and consider the problem of estimating the conditional distribution and conditional expectation of $σ_{n}$ after one has observed the first $n$ outputs. We present a sequence of stopping times and universal estimators for these quantities which are pointwise consistent for all ergodic binary stationary processes. In case the process is a renewal process with zero the...