Search Results - subject:"Limit theorem"

A limit theorem for moving averages in the α-stable domain of attraction

Basrak, Bojan; Krizmanić, Danijel - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1070-1083

nonnegative and the tail index α strictly between 0 and 2 satisfy the functional limit theorem. They also conjectured that an …

Persistent link: https://www.econbiz.de/10011065099

A strictly stationary β-mixing process satisfying the central limit theorem but not the weak invariance principle

Giraudo, Davide; Volný, Dalibor - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3769-3781

In 1983, N. Herrndorf proved that for a ϕ-mixing sequence satisfying the central limit theorem and lim infn→∞σn2/n>0 … moments and a weaker type (α, β, ρ) of mixing the central limit theorem implies the weak invariance principle remained open. …

Persistent link: https://www.econbiz.de/10011065110

Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process

Bardet, Jean-Marc; Tudor, Ciprian - In: Journal of Multivariate Analysis 131 (2014) C, pp. 1-16

estimator. Via chaos expansion into multiple stochastic integrals, we establish a non-central limit theorem satisfied by this …

Persistent link: https://www.econbiz.de/10010930752

On the probability of conjunctions of stationary Gaussian processes

Dȩbicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng; … - In: Statistics & Probability Letters 88 (2014) C, pp. 141-148

,T],u≠ϕ}, as u→∞. Moreover, we establish the Berman sojourn limit theorem for the random process {min1≤i≤nXi(t),t≥0} and …

Persistent link: https://www.econbiz.de/10011039930

A general central limit theorem for strong mixing sequences

Ekström, Magnus - In: Statistics & Probability Letters 94 (2014) C, pp. 236-238

A central limit theorem for strong mixing sequences is given that applies to both non-stationary sequences and … triangular array settings. The result improves on an earlier central limit theorem for this type of dependence given by Politis …

Persistent link: https://www.econbiz.de/10011039968

On positivity of the variance of a tracer moving in a divergence-free Gaussian random field

Chojecki, Tymoteusz; Komorowski, Tomasz - In: Statistics & Probability Letters 91 (2014) C, pp. 98-106

We consider the trajectory of a tracer that is the solution of an ordinary differential equation Ẋ(t)=V(t,X(t)), with the right hand side, that is a stationary, zero-mean, Gaussian vector field with incompressible realizations. It is known, see Komorowski and Papanicolaou (1997), that X(t)/t...

Persistent link: https://www.econbiz.de/10011039981

On the central limit theorem for modulus trimmed sums

Bazarova, Alina; Berkes, István; Horváth, Lajos - In: Statistics & Probability Letters 86 (2014) C, pp. 61-67

We prove a functional central limit theorem for modulus trimmed i.i.d. variables in the domain of attraction of a …

Persistent link: https://www.econbiz.de/10011040037

A fluctuation limit theorem for a critical branching process with dependent immigration

Guo, Hongsong; Zhang, Mei - In: Statistics & Probability Letters 94 (2014) C, pp. 29-38

prove a fluctuation limit theorem when {ξk} is (N−1)-dependent, improving the result in previous literatures. …

Persistent link: https://www.econbiz.de/10011040056

Small noise fluctuations of the CIR model driven by α-stable noises

Ma, Chunhua; Yang, Xu - In: Statistics & Probability Letters 94 (2014) C, pp. 1-11

The central limit theorems, the deviation inequality (and large deviation), and the moderate deviations for least squares estimators of parameters in the CIR type model driven byα-stable noises are established when the dispersion parameter ε→0 and the discrete observation frequency k→∞...

Persistent link: https://www.econbiz.de/10011040090

The functional central limit theorem and structural change test for the HAR(∞) model

Lee, Oesook - In: Economics Letters 124 (2014) 3, pp. 370-373

In this paper, we study the functional central limit theorem (FCLT) for the infinite-order heterogeneous autoregressive …

Persistent link: https://www.econbiz.de/10011041883