Search Results - subject:"Random variables"

On the central limit theorem along subsequences of sums of i.i.d. random variables

Li, Deli; Klesov, Oleg; Stoica, George - In: Statistical Papers 55 (2014) 4, pp. 1035-1045

a sequence of i.i.d. random variables, and let <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$S_{n}=\sum _{i … along subsequences of sums of i.i.d. random variables when <InlineEquation ID="IEq9"> <EquationSource Format … symmetric i.i.d. random variables such that <InlineEquation ID="IEq18"> <EquationSource Format="TEX">$$\mathbb E h …

Persistent link: https://www.econbiz.de/10010998625

Small deviation probabilities of weighted sums under minimal moment assumptions

Rozovsky, L.V. - In: Statistics & Probability Letters 86 (2014) C, pp. 1-6

We examine small deviation probabilities of weighted sums of i.i.d.r.v. with a power decay at zero under moment assumptions close to necessary.

Persistent link: https://www.econbiz.de/10010743567

On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models

Wang, Xuejun; Xu, Chen; Hu, Tien-Chung; Volodin, Andrei; … - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 3, pp. 607-629

) random variables are presented, especially the Marcinkiewicz–Zygmund type inequality and Rosenthal type inequality. By using … these inequalities, we further study the complete convergence for weighted sums of arrays of row-wise WOD random variables … random variables and some dependent random variables. Copyright Sociedad de Estadística e Investigación Operativa 2014 …

Persistent link: https://www.econbiz.de/10010994302

Tail asymptotics of random sum and maximum of log-normal risks

Hashorva, Enkelejd; Kortschak, Dominik - In: Statistics & Probability Letters 87 (2014) C, pp. 167-174

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandayapa (2008) also for the more general setup of random sums and random maximum the...

Persistent link: https://www.econbiz.de/10010752980

A simple generalisation of Kirk's approximation for multi-asset spread options by the Lie-Trotter operator splitting method

Lo, Chi-fai - In: Journal of mathematical finance 4 (2014) 3, pp. 178-187

Persistent link: https://www.econbiz.de/10010400107

Moments tensors, Hilbert's identity, and k-wise uncorrelated random variables

Jiang, Bo; He, Simai; Li, Zhening; Zhang, Shuzhong - In: Mathematics of operations research 39 (2014) 3, pp. 775-788

Persistent link: https://www.econbiz.de/10010402957

Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns

Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256

Persistent link: https://www.econbiz.de/10010421851

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

Renewal reward process for T-related fuzzy random variables on (R p, R q)

Hong, Dug Hun - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 415-434

Persistent link: https://www.econbiz.de/10010439001

Solution of stochastic non-homogeneous linear first-order difference equations

Kadry, Seifedine; El Hami, Abdelkhalak - In: Journal of mathematical finance 4 (2014) 4, pp. 245-248

Persistent link: https://www.econbiz.de/10011312422