ASYMPTOTIC EXPANSIONS FOR THE MOMENTS OF A RANDOMLY STOPPED AVERAGE

• 成果类型: Article
• 署名作者: ARAS, G; WOODROOFE, M
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176349039
• 发表日期: 1993
• 页码: 503-519
• 关键词: renewal theory; Sequential Estimation

摘要

Let S1, S2, ... denote a driftless random walk with values in an inner product space W; let Z1, Z2, ... denote a perturbed random walk of the form Z(n) = n + [c, S(n)] + xi(n), n = 1, 2, ..., where xi1, xi2, ... are slowly changing, [. , .] denotes the inner product, and c is-an-element-of W; and let t = t(alpha) = inf{n greater-than-or-equal-to 1: Z(n) > a} for 0 less-than-or-equal-to a < infinity. Conditions are developed under which the first four moments of X(t)BAR, := S(t)/t have asymptotic expansions, and the expansions are found. Stopping times of this form arise naturally in sequential estimation problems, and the main results may be used to find asymptotic expansions for risk functions in such problems. Examples of such applications are included.