Search Results - subject:"Convergence in distribution"

Convergence in total variation on Wiener chaos

Nourdin, Ivan; Poly, Guillaume - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 651-674

Let {Fn} be a sequence of random variables belonging to a finite sum of Wiener chaoses. Assume further that it converges in distribution towards F∞ satisfying V ar(F∞)0. Our first result is a sequential version of a theorem by Shigekawa (1980) [23]. More precisely, we prove, without...

Persistent link: https://www.econbiz.de/10011065031

On a Birnbaum–Saunders distribution arising from a non-homogeneous Poisson process

Fierro, Raúl; Leiva, Víctor; Ruggeri, Fabrizio; … - In: Statistics & Probability Letters 83 (2013) 4, pp. 1233-1239

The Birnbaum–Saunders distribution is based on the asymptotic normality of a sum of random variables. We propose a new version of this distribution assuming that the number of terms of such a sum depends on a non-homogeneous Poisson process. The classical Birnbaum–Saunders distribution is...

Persistent link: https://www.econbiz.de/10011039867

Limit theorems for the spacings of weak records

Hashorva, Enkelejd; Stepanov, Alexei - In: Metrika 75 (2012) 2, pp. 163-180

Persistent link: https://www.econbiz.de/10010896486

On the number of empty boxes in the Bernoulli sieve II

Iksanov, Alexander - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2701-2729

, let Ln denote the number of empty boxes within the occupancy range. In this paper, we investigate convergence in … in distribution of Ln. It turns out that the class of possible limiting laws for Ln, properly normalized and centered … distribution of Ln in the two cases which remained open after the previous studies. In particular, provided that E|logW|=E|log(1−W …

Persistent link: https://www.econbiz.de/10011064966

Convergence in distribution of point processes on Polish spaces to a simple limit

Peterson, Lisa D. - In: Statistics & Probability Letters 81 (2011) 12, pp. 1859-1861

Let ξ,ξ1,ξ2,… be a sequence of point processes on a complete and separable metric space (S,d) with ξ simple. We assume that P{ξnB=0}→P{ξB=0} and lim supn→∞P{ξnB1}≤P{ξB1} for all B in some suitable class B, and show that this assumption determines if the sequence {ξn} converges...

Persistent link: https://www.econbiz.de/10011040146

Parametric bootstrap tests for continuous and discrete distributions

Szűcs, Gábor - In: Metrika 67 (2008) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10005598707

Goodness-of-fit Criteria for the Adams and Jefferson Rounding Methods and their Limiting Laws

Heinrich, Lothar; Schwingenschlögl, Udo - In: Metrika 64 (2006) 2, pp. 191-207

Persistent link: https://www.econbiz.de/10005178942

The Vervaat Process in Lp Spaces

Csörgo, Miklós; Zitikis, Ricardas - In: Journal of Multivariate Analysis 78 (2001) 1, pp. 103-138

It is well known that, asymptotically, the appropriately normalized Vervaat process behaves like one half times the squared empirical process. Considering these two processes as elements of the Lp-space, 1[less-than-or-equals, slant]p[infinity], we give a complete description of the strong and...

Persistent link: https://www.econbiz.de/10005153186

Functional convergence of Snell envelopes: Applications to American options approximations

Pratelli, Maurizio; Mulinacci, Sabrina - In: Finance and Stochastics 2 (1998) 3, pp. 311-327

The main result of the paper is a stability theorem for the Snell envelope under convergence in distribution of the …

Persistent link: https://www.econbiz.de/10005613402