Central limit theorem of the smoothed empirical distribution functions for asymptotically stationary absolutely regular stochastic processes.
Central limit theorems for eigenvalues in a spiked population model
In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). This model is proposed by Johnstone to cope with empirical findings on various data sets. The question is to quantify the effect of the perturbation caused by the spike eigenvalues. A recent work by Baik and Silverstein establishes the almost sure limits of the extreme sample eigenvalues associated to the spike eigenvalues when the population and the...
Central limit theorems for eigenvalues of deformations of Wigner matrices
In this paper, we study the fluctuations of the extreme eigenvalues of a spiked finite rank deformation of a Hermitian (resp. symmetric) Wigner matrix when these eigenvalues separate from the bulk. We exhibit quite general situations that will give rise to universality or non-universality of the fluctuations, according to the delocalization or localization of the eigenvectors of the perturbation. Dealing with the particular case of a spike with multiplicity one, we also establish a necessary and...
Central limit theorems for linear spectral statistics of large dimensional F-matrices
In many applications, one needs to make statistical inference on the parameters defined by the limiting spectral distribution of an F matrix, the product of a sample covariance matrix from the independent variable array (Xjk)p×n1 and the inverse of another covariance matrix from the independent variable array (Yjk)p×n2. Here, the two variable arrays are assumed to either both real or both complex. It helps to find the asymptotic distribution of the relevant parameter estimators associated with the...
Central limit theorems for non-invertible measure preserving maps
Using the Perron-Frobenius operator we establish a new functional central limit theorem for non-invertible measure preserving maps that are not necessarily ergodic. We apply the result to asymptotically periodic transformations and give a specific example using the tent map.
Central limit theorems for the brownian motion on large unitary groups
In this paper, we are concerned with the large limit of the distributions of linear combinations of the entries of a Brownian motion on the group of unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one. Various scales of time and various initial distributions are considered, giving rise to various limit processes, related to the geometric construction of the unitary Brownian motion. As an application, we propose a very short proof of the asymptotic...
Central limit theorems for the products of random matrices sampled by a random walk.
Chaînes de Markov à dérive stable et loi des grands nombres sur les hypergroupes
Chernoff and Berry–Esséen inequalities for Markov processes
In this paper, we develop bounds on the distribution function of the empirical mean for general ergodic Markov processes having a spectral gap. Our approach is based on the perturbation theory for linear operators, following the technique introduced by Gillman.
Chernoff and Berry–Esséen inequalities for Markov processes
In this paper, we develop bounds on the distribution function of the empirical mean for general ergodic Markov processes having a spectral gap. Our approach is based on the perturbation theory for linear operators, following the technique introduced by Gillman.
Chover-type laws of the iterated logarithm for weighted sums of -mixing sequences.
Chover-type laws of the iterated logarithm for weighted sums of NA sequences
To derive a Baum-Katz type result, a Chover-type law of the iterated logarithm is established for weighted sums of negatively associated (NA) and identically distributed random variables with a distribution in the domain of a stable law in this paper.
Chung's law of the iterated logarithm for iterated brownian motion
Chung-type functional laws of the iterated logarithm for tail empirical processes
Classes de Donsker et fonction d'entropie relatives aux mesures aléatoires
CLT for linear spectral statistics of Wigner matrices.
Cluster continuous time random walks
In a continuous time random walk (CTRW), a random waiting time precedes each random jump. The CTRW model is useful in physics, to model diffusing particles. Its scaling limit is a time-changed process, whose densities solve an anomalous diffusion equation. This paper develops limit theory and governing equations for cluster CTRW, in which a random number of jumps cluster together into a single jump. The clustering introduces a dependence between the waiting times and jumps that significantly affects...
Coboundaries in
Compact convex sets of the plane and probability theory
The Gauss−Minkowski correspondence in ℝ2 states the existence of a homeomorphism between the probability measures μ on [0,2π] such that ∫ 0 2 π e ix d μ ( x ) = 0 and the compact convex sets (CCS) of the plane with perimeter 1. In this article, we bring out explicit formulas relating the border of a CCS to its probability measure. As a consequence, we show that some natural operations on CCS – for example, the Minkowski sum – have natural translations in terms of probability measure operations,...
Compact hypothesis and extremal set estimators
In extremal estimation theory the estimators are local or absolute extremes of functions defined on the cartesian product of the parameter by the sample space. Assuming that these functions converge uniformly, in a convenient stochastic way, to a limit function g, set estimators for the set ∇ of absolute maxima (minima) of g are obtained under the compactness assumption that ∇ is contained in a known compact U. A strongly consistent test is presented for this assumption. Moreover, when the true...