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Limit theorems for U-statistics indexed by a one dimensional random walk

Nadine Guillotin-Plantard, Véronique Ladret (2005)

ESAIM: Probability and Statistics

Let ( S n ) n 0 be a -random walk and ( ξ x ) x be a sequence of independent and identically distributed -valued random variables, independent of the random walk. Let h be a measurable, symmetric function defined on 2 with values in . We study the weak convergence of the sequence 𝒰 n , n , with values in D [ 0 , 1 ] the set of right continuous real-valued functions with left limits, defined by i , j = 0 [ n t ] h ( ξ S i , ξ S j ) , t [ 0 , 1 ] . Statistical applications are presented, in particular we prove a strong law of large numbers for U -statistics indexed by a one-dimensional...

Limit theorems for U-statistics indexed by a one dimensional random walk

Nadine Guillotin-Plantard, Véronique Ladret (2010)

ESAIM: Probability and Statistics

Let (Sn)n≥0 be a -random walk and ( ξ x ) x be a sequence of independent and identically distributed -valued random variables, independent of the random walk. Let h be a measurable, symmetric function defined on 2 with values in . We study the weak convergence of the sequence 𝒰 n , n , with values in D[0,1] the set of right continuous real-valued functions with left limits, defined by i , j = 0 [ n t ] h ( ξ S i , ξ S j ) , t [ 0 , 1 ] . Statistical applications are presented, in particular we prove a strong law of large numbers for U-statistics indexed by...

Limit theorems in free probability theory II

Gennadii Chistyakov, Friedrich Götze (2008)

Open Mathematics

Based on an analytical approach to the definition of multiplicative free convolution on probability measures on the nonnegative line ℝ+ and on the unit circle 𝕋 we prove analogs of limit theorems for nonidentically distributed random variables in classical Probability Theory.

Limit theory for some positive stationary processes with infinite mean

Jon Aaronson, Roland Zweimüller (2014)

Annales de l'I.H.P. Probabilités et statistiques

We prove stable limit theorems and one-sided laws of the iterated logarithm for a class of positive, mixing, stationary, stochastic processes which contains those obtained from nonintegrable observables over certain piecewise expanding maps. This is done by extending Darling–Kac theory to a suitable family of infinite measure preserving transformations.

Limiting curlicue measures for theta sums

Francesco Cellarosi (2011)

Annales de l'I.H.P. Probabilités et statistiques

We consider the ensemble of curves {γα, N: α∈(0, 1], N∈ℕ} obtained by linearly interpolating the values of the normalized theta sum N−1/2∑n=0N'−1exp(πin2α), 0≤N'<N. We prove the existence of limiting finite-dimensional distributions for such curves as N→∞, when α is distributed according to any probability measure λ, absolutely continuous w.r.t. the Lebesgue measure on [0, 1]. Our Main Theorem generalizes a result by Marklof [Duke Math. J.97 (1999) 127–153] and Jurkat and van Horne [Duke...

Limiting distribution for a simple model of order book dynamics

Łukasz Kruk (2012)

Open Mathematics

A continuous-time model for the limit order book dynamics is considered. The set of outstanding limit orders is modeled as a pair of random counting measures and the limiting distribution of this pair of measure-valued processes is obtained under suitable conditions on the model parameters. The limiting behavior of the bid-ask spread and the midpoint of the bid-ask interval are also characterized.

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