Search Results - subject:"Limit theorem"

DEMONSTRATING THE CENTRAL LIMIT THEOREM IN THE CLASSROOM: AN EXCEL EXERCISE

Patron, Hilde; Smith, William J.; Boldt, David - In: Journal for Economic Educators 9 (2009) 1, pp. 1-15

The Central Limit Theorem (CLT) states that regardless of the underlying distribution, the distribution of the sample …

Persistent link: https://www.econbiz.de/10004998524

Understanding limit theorems for semimartingales: a short survey

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2009

. Moreover, we state a simple sketch of the proofs and give some examples. Keywords: central limit theorem, high frequency … limit theorems for semimartingales: a short survey 2 developed a rst general (stable) central limit theorem for high … limit theorem In practice it is a di cult task to prove stable convergence, especially for processes. As for weak …

Persistent link: https://www.econbiz.de/10008479245

Asymptotics for posterior hazards

Blasi, Pierpaolo De; Peccati, Giovanni; Prünster, Igor - Collegio Carlo Alberto, Università degli Studi di Torino - 2009

An important issue in survival analysis is the investigation and the modeling of hazard rates. Within a Bayesian nonparametric framework, a natural and popular approach is to model hazard rates as kernel mixtures with respect to a completely random measure. In this paper we provide a...

Persistent link: https://www.econbiz.de/10008518910

Central Limit Theorems For Multicolor Urns With Dominated Colors

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - Dipartimento di Scienze Economiche e Aziendali, … - 2009

An urn contains balls of d = 2 colors. At each time n = 1, a ball is drawn and then replaced together with a random number of balls of the same color. Let An =diag (An,1, . . . ,An,d) be the n-th reinforce matrix. Assuming EAn,j = EAn,1 for all n and j, a few CLT’s are available for such urns....

Persistent link: https://www.econbiz.de/10009651008

Rate of Convergence of Predictive Distributions for Dependent Data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - Dipartimento di Scienze Economiche e Aziendali, … - 2009

This paper deals with empirical processes of the type Cn(B) = n^(1/2) {µn(B) - P(Xn+1 in B | X1, . . . ,Xn)} , where (Xn) is a sequence of random variables and µn = (1/n)SUM(i=1,..,n) d(Xi) the empirical measure. Conditions for supB|Cn(B)| to converge stably (in particular, in distribution)...

Persistent link: https://www.econbiz.de/10009651795

Eventologically multivariate extensions of probability theory’s limit theorems

Vorobyev, Oleg Yu.; Golovkov, Lavrentyi S. - Volkswirtschaftliche Fakultät, … - 2009

Eventologically multivariate extensions of probability theory’s limit theorems are proposed. Eventologically multivariate version of limit theorems extends its classical probabilistic interpretation and involves into its structure of dependencies of arbitrary set of events which appears in...

Persistent link: https://www.econbiz.de/10008468137

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009

-frequency covariances, regression coefficients, and correlations change through time. Keywords: Central limit theorem; Diffusion models … positive semi-definite estimator of the conditional covariance matrix that appears in the central limit theorem of MRC, which …. We will later extend the MRC to the non-synchronous setting. 3.2 The central limit theorem We proceed with the central …

Persistent link: https://www.econbiz.de/10008459759

The Half-Half Plot

Einmahl, John H. J. - 2009

. The plot displays jumps clearly and reveals further features of the regression curve. We prove a functional central limit … theorem for the empirical HH-plot, with rate of convergence 1/√n. In a simulation study the good performance of the plot is …

Persistent link: https://www.econbiz.de/10013155990

Rate of convergence of predictive distributions for dependent data

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - 2009

Persistent link: https://www.econbiz.de/10010259915

Central Limit Theorems For Multicolor Urns With Dominated Colors

Berti, Patrizia; Crimaldi, Irene; Pratelli, Luca; Rigo, … - 2009

Persistent link: https://www.econbiz.de/10010343908