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作者：Lasserre, JB
作者单位：Centre National de la Recherche Scientifique (CNRS)
摘要：Given a semialgebraic set S subset of R-n, we provide a numerical approximation procedure that provides upper and lower bounds on mu(S), for measures mu that satisfy some given moment conditions. The bounds are obtained as solutions of positive semidefinite programs that can be solved via standard software packages.
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作者：Ivanoff, BG; Merzbach, E
作者单位：University of Ottawa; Bar Ilan University
摘要：Using the theory of set-indexed martingales, we develop a general model for survival analysis with censored data which is parameterized by sets instead of time points. We define a set-indexed Nelson-Aalen estimator for the integrated hazard function with the presence of a censoring by a random set which is a stopping set. We prove that this estimator is asymptotically unbiased and consistent. A central limit theorem is given. This model can be applied to cases when censoring occurs in geometri...
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作者：Basrak, B; Davis, RA; Mikosch, T
作者单位：Colorado State University System; Colorado State University Fort Collins; University of Copenhagen
摘要：We establish the equivalence between the multivariate regular variation of a random vector and the univariate regular variation of all linear combinations of the components of such a vector. According to a classical result of Kesten [Acta Math. 131 (1973) 207-248], this result implies that stationary solutions to multivariate linear stochastic recurrence equations are regularly varying. Since GARCH processes can be embedded in such recurrence equations their finite-dimensional distributions ar...
