Search Results - subject:"Law of the iterated logarithm"

Bubbles and crashes in a Black–Scholes model with delay

Appleby, John; Riedle, Markus; Swords, Catherine - In: Finance and Stochastics 17 (2013) 1, pp. 1-30

obey the law of the iterated logarithm, but have dependent increments, or exhibit asymptotic behaviour that can be …

Persistent link: https://www.econbiz.de/10010600736

A model selection method for S-estimation

PREMINGER, Arie; SAKATA, Shinichi - Center for Operations Research and Econometrics (CORE), … - 2005

In least squares, least absolute deviations, and even generalized M-estimation, outlying observations sometimes strongly influence the estimation result, masking an important and interesting relationship existing in the majority of observations. The S-estimators are a class of estimators that...

Persistent link: https://www.econbiz.de/10005008544

Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game

Takazawa, Shin-ichiro - In: Annals of the Institute of Statistical Mathematics 64 (2012) 3, pp. 615-632

Persistent link: https://www.econbiz.de/10010848654

Asymptotics for dependent Bernoulli random variables

Wu, Lan; Qi, Yongcheng; Yang, Jingping - In: Statistics & Probability Letters 82 (2012) 3, pp. 455-463

the law of the iterated logarithm, extending the results by James et al. (2008). …

Persistent link: https://www.econbiz.de/10011040048

Extensions of functional LIL w.r.t. (r,Â p)--Capacities on Wiener space

Chen, Xiong; Balakrishnan, N. - In: Statistics & Probability Letters 77 (2007) 4, pp. 468-473

]s[less-than-or-equals, slant]1, where . Let [gamma]:R+-->R. Under suitable conditions on [gamma], we generalize here functional law of the iterated … logarithm (LIL) of Chung type to capacity Cr,p, that the limit set of [gamma](t)[xi]t(Â·) as t-->[infinity] exists and is …

Persistent link: https://www.econbiz.de/10005223275

A Nonclassical Law of the Iterated Logarithm for Functions of Positively Associated Random Variables

Wang, Jian-Feng; Zhang, Li-Xin - In: Metrika 64 (2006) 3, pp. 361-378

Persistent link: https://www.econbiz.de/10005375926

Lorenz Curve for Truncated and Censored Data

Tse, Sze-Man - In: Annals of the Institute of Statistical Mathematics 58 (2006) 4, pp. 675-686

Persistent link: https://www.econbiz.de/10005760338

A GARCH (1,1) ESTIMATOR WITH (ALMOST) NO MOMENT CONDITIONS ON THE ERROR TERM

Preminger, Arie; Storti, Giuseppe - Economics Department, Ben Gurion University of the Negev - 2006

A least squares estimation approach for the estimation of a GARCH (1,1) model is developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditional moment of some order. We establish the consistency,...

Persistent link: https://www.econbiz.de/10011272233

Waiting time distributions of runs in higher order Markov chains

Sarkar, Anish; Sen, Kanwar; Anuradha - In: Annals of the Institute of Statistical Mathematics 56 (2004) 2, pp. 317-349

Persistent link: https://www.econbiz.de/10005616307

Estimation of Mean and Covariance Operator of Autoregressive Processes in Banach Spaces

Bosq, Denis - In: Statistical Inference for Stochastic Processes 5 (2002) 3, pp. 287-306

Persistent link: https://www.econbiz.de/10005616071