3期

最新文章

• On the distribution of tail array sums for strongly mixing stationary sequences AI翻译
  作者：Rootzen, H; Leadbetter, MR; de Haan, L
  作者单位：Chalmers University of Technology; University of North Carolina; University of North Carolina Chapel Hill; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
  摘要：This paper concerns the asymptotic distributions of tail array sums of the form Sigma psi(n)(X-i - u(n)) where {X-i} is a strongly mixing stationary sequence, psi(n) are real functions which are constant for negative arguments, psi(n)(x) = psi(n)(X+) and {u(n)} are levels with u(n) --> infinity. Compound Poisson limits for rapid convergence of u(n) --> infinity (nP{X-1 > u(n)} --> tau < infinity) are considered briefly and a more detailed account given for normal limits applicable to slower ra...
• Cointegrated processes with infinite variance innovations AI翻译
  作者：Paulauskas, V; Rachev, ST
  作者单位：Vilnius University; University of California System; University of California Santa Barbara
  摘要：It is widely accepted that the Gaussian assumption is too restrictive to model either financial or some important macroeconomic variables, because their distributions exhibit asymmetry and heavy tails. In this paper we develop the asymptotic theory for econometric cointegration processes under the assumption of infinite variance innovations with different distributional tail behavior. We extend some of the results of Park and Phillips which were derived under the assumption of finite variance ...
• On the problem of exit from cycles for simulated annealing processes - A backward equation approach AI翻译
  作者：Chiang, TS; Chow, YY
  作者单位：Academia Sinica - Taiwan
  摘要：For a simulated annealing process X-t on S with transition rates g(ij)(t) = p(ij) exp(-(u(i, j))/T(t)) where i, j is an element of S and T(t) down arrow 0 in a suitable way, we study the exit distribution P-t,P-i(X-tau = a) and mean exit time E-t,E-i(tau) of X-t from a cycle c as t --> infinity. A cycle is a particular subset of S whose precise definition will be given in Section 1. Here tau is the exit time of the process from c containing i and a is an arbitrary state not in c. We consider t...
• Markov network processes with string transitions AI翻译
  作者：Serfozo, RF; Yang, BY
  作者单位：University System of Georgia; Georgia Institute of Technology
  摘要：This study introduces a Markov network process called a string-net. Its state is the vector of quantities of customers or units that move among the nodes, and a transition of the network consists of a string of instantaneous Vector increments in the state. The rate of such a string transition is a product of a transition-initiation rate and a string-generation rate. The main result characterizes the stationary distribution of a string-net. Key parameters in this distribution satisfy certain po...