We consider products of a random number of partial sums of independent, identically distributed, positive square-integrable random variables. We show that the distribution of these products is asymptotically lognormal.
We consider a diffusion process smoothed with (small) sampling parameter . As in Berzin, León and Ortega (2001), we consider a kernel estimate with window of a function of its variance. In order to exhibit global tests of hypothesis, we derive here central limit theorems for the deviations such as
We consider a diffusion process Xt smoothed with (small) sampling parameter ε. As in Berzin, León and Ortega (2001), we consider a kernel estimate with window h(ε) of a function α of its variance. In order to exhibit global tests of hypothesis, we derive here central limit theorems for the Lp deviations such as
A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.
We consider the asymptotic distribution of covariate values in the quantile regression basic solution under weak assumptions. A diagnostic procedure for assessing homogeneity of the conditional densities is also proposed.
In his 2003 paper, Varadhan proves the averaged large deviation principle for the mean velocity of a particle taking a nearest-neighbor random walk in a uniformly elliptic i.i.d. environment on ℤd with d≥1, and gives a variational formula for the corresponding rate function Ia. Under Sznitman’s transience condition (T), we show that Ia is strictly convex and analytic on a non-empty open set , and that the true velocity of the particle is an element (resp. in the boundary) of when the walk is non-nestling...
In this paper, we are interested in the asymptotical behavior of the error between the solution of a differential equation perturbed by a flow (or by a transformation) and the solution of the associated averaged differential equation. The main part of this redaction is devoted to the ascertainment of results of convergence in distribution analogous to those obtained in [10] and [11]. As in [11], we shall use a representation by a suspension flow over a dynamical system. Here, we make an assumption...
In this paper, we are interested in the asymptotical behavior of the error between the solution of a differential equation perturbed by a flow (or by a transformation) and the solution of the associated averaged differential equation. The main part of this redaction is devoted to the ascertainment of results of convergence in distribution analogous to those obtained in [10] and [11]. As in [11], we shall use a representation by a suspension flow over a dynamical system. Here, we make an assumption...
The purpose of this paper is to study Bayesian like R- and M-estimators of change point(s). These estimators have smaller variance than the related argmax type estimators. Confidence intervals for the change point based on the exchangeability arguments are constructed. Finally, theoretical results are illustrated on the real data set.