### 0n the Domain Of Attraction of Stable and of Extreme Value Distributions

Skip to main content (access key 's'),
Skip to navigation (access key 'n'),
Accessibility information (access key '0')

We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals “on-the-fly” as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We...

We derive a central limit theorem for triangular arrays of possibly nonstationary random variables satisfying a condition of weak dependence in the sense of Doukhan and Louhichi [Stoch. Proc. Appl. 84 (1999) 313–342]. The proof uses a new variant of the Lindeberg method: the behavior of the partial sums is compared to that of partial sums of dependent Gaussian random variables. We also discuss a few applications in statistics which show that our central limit theorem is tailor-made for statistics...

We prove that a planar random walk with bounded increments and mean zero which is conditioned to stay in a cone converges weakly to the corresponding Brownian meander if and only if the tail distribution of the exit time from the cone is regularly varying. This condition is satisfied in many natural examples.

A central limit theorem is proved on the space ${\mathcal{P}}_{n}$ of positive definite symmetric matrices. To do this, some natural analogs of the mean and dispersion on ${\mathcal{P}}_{n}$ are defined and investigated. One uses a Taylor expansion of the spherical functions on ${\mathcal{P}}_{n}$.

In this paper, we study the limit properties of countable nonhomogeneous Markov chains in the generalized gambling system by means of constructing compatible distributions and martingales. By allowing random selection functions to take values in arbitrary intervals, the concept of random selection is generalized. As corollaries, some strong limit theorems and the asymptotic equipartition property (AEP) theorems for countable nonhomogeneous Markov chains in the generalized gambling system are established....

For lower-semicontinuous and convex stochastic processes ${Z}_{n}$ and nonnegative random variables ${\u03f5}_{n}$ we investigate the pertaining random sets $A({Z}_{n},{\u03f5}_{n})$ of all ${\u03f5}_{n}$-approximating minimizers of ${Z}_{n}$. It is shown that, if the finite dimensional distributions of the ${Z}_{n}$ converge to some $Z$ and if the ${\u03f5}_{n}$ converge in probability to some constant $c$, then the $A({Z}_{n},{\u03f5}_{n})$ converge in distribution to $A(Z,c)$ in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular, in...