Search Results - subject:"Limit theorem"

Goodness-of-fit testing for fractional diffusions

Podolskij, Mark; Wasmuth, Katrin - In: Statistical Inference for Stochastic Processes 16 (2013) 2, pp. 147-159

This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...

Persistent link: https://www.econbiz.de/10010680540

On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Journal of Multivariate Analysis 120 (2013) C, pp. 59-84

refreshing time method), and it is robust to some dependence structure of the noise process. We show the associated central limit … theorem for the proposed estimator and provide a feasible asymptotic result. Our proofs are based on a blocking technique and …

Persistent link: https://www.econbiz.de/10010681788

Nonparametric quantile regression with heavy-tailed and strongly dependent errors

Honda, Toshio - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 23-47

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...

Persistent link: https://www.econbiz.de/10010634437

Statistical modelling of higher-order correlations in pools of neural activity

Montani, Fernando; Phoka, Elena; Portesi, Mariela; … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 14, pp. 3066-3086

use an information-geometric approach within the framework of the extended central limit theorem considering all possible …

Persistent link: https://www.econbiz.de/10011058636

Quenched central limit theorems for random walks in random scenery

Guillotin-Plantard, Nadine; Poisat, Julien - In: Stochastic Processes and their Applications 123 (2013) 4, pp. 1348-1367

Random walks in random scenery are processes defined by Zn:=∑k=1nωSk where S:=(Sk,k≥0) is a random walk evolving in Zd and ω:=(ωx,x∈Zd) is a sequence of i.i.d. real random variables. Under suitable assumptions on the random walk S and the random scenery ω, almost surely with respect to...

Persistent link: https://www.econbiz.de/10011065010

Functional limit theorems for renewal shot noise processes with increasing response functions

Iksanov, Alexander - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 1987-2010

We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space D[0,∞) under the J1 or M1 topology. The limiting...

Persistent link: https://www.econbiz.de/10011065014

A central limit theorem for stationary random fields

El Machkouri, Mohamed; Volný, Dalibor; Wu, Wei Biao - In: Stochastic Processes and their Applications 123 (2013) 1, pp. 1-14

This paper establishes a central limit theorem and an invariance principle for a wide class of stationary random fields … framework for stationary ergodic random fields. Under a short-range dependence condition, we show that the central limit theorem … holds without any assumption on the underlying domain on which the process is observed. A limit theorem for the sample auto …

Persistent link: https://www.econbiz.de/10011065076

Strong approximations for nonconventional sums and almost sure limit theorems

Kifer, Yuri - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2286-2302

of the law of iterated logarithm for such sums, as well as an almost sure central limit theorem. Among motivations for …

Persistent link: https://www.econbiz.de/10011065079

How to win a large election

Mandler, Michael - In: Games and Economic Behavior 78 (2013) C, pp. 44-63

We consider the optimization problem of a campaign trying to win an election when facing aggregate uncertainty, where agentsʼ voting probabilities are uncertain. Even a small amount of uncertainty will in a large electorate eliminate many of counterintuitive results that arise when voting...

Persistent link: https://www.econbiz.de/10011049761

Turning the Wheels: The Cost Factor

Majumdar, Mukul; Mukherjee, Priya - In: Studies in Microeconomics 1 (2013) 1, pp. 81-90

Corruption scandals are increasingly becoming rampant, especially in developing countries. The recent corruption scandals in India, in particular, have led to calls for legislation to establish an independent Public Ombudsman, who will be able to initiate investigations into allegations of...

Persistent link: https://www.econbiz.de/10011137852