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Niemiro and Zieliński (2007) have recently obtained uniform asymptotic normality for the Bernoulli scheme. This paper concerns a similar problem. We show the uniform central limit theorem for a sequence of stationary random variables.
There are two kinds of universal schemes for estimating residual waiting times, those where the error tends to zero almost surely and those where the error tends to zero in some integral norm. Usually these schemes are different because different methods are used to prove their consistency. In this note we will give a single scheme where the average error is eventually small for all time instants, while the error itself tends to zero along a sequence of stopping times of density one.
Assume that (Xt)t∈Z is a real valued time series
admitting a common marginal density f with respect to Lebesgue's measure. [Donoho et al. Ann. Stat.24 (1996) 508–539] propose near-minimax estimators based on thresholding wavelets to estimate f on a compact set in an independent and identically distributed setting. The aim of the present work is to extend these results to general weak dependent contexts. Weak dependence assumptions are expressed as decreasing bounds of covariance terms and are...
P. Samek and D. Volný, in the paper ``Uniqueness of a martingale-coboundary decomposition of a stationary processes" (1992), showed the uniqueness of martingale-coboundary decomposition of strictly stationary processes. The original proof is given by reducing the problem to the ergodic case. In this note we give another proof without such reduction.
Let and be stationarily cross-correlated multivariate stationary sequences. Assume that all values of and all but one values of are known. We determine the best linear interpolation of the unknown value on the basis of the known values and derive a formula for the interpolation error matrix. Our assertions generalize a result of Budinský [1].
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