2期

最新文章

• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence AI翻译
  作者：Lahiri, SN
  作者单位：Iowa State University
  摘要：Let {X-t} be a stationary time series and let d(T) (lambda) denote the discrete Fourier transform (DFT) of {X-0,...,XT-1} with a data taper. The main results of this paper provide a characterization of asymptotic independence of the DFTs in terms of the distance between their arguments under both short- and long-range dependence of the process (Xt). Further, asymptotic joint distributions of the DFTs d(T) (lambda(1T)) and d(T) (lambda(2T)) are also established for the cases T(lambda(1T) - lamb...
• Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process AI翻译
  作者：Lieberman, O; Rousseau, J; Zucker, DM
  作者单位：Technion Israel Institute of Technology; Hebrew University of Jerusalem; Yale University; Institut Polytechnique de Paris; ENSAE Paris
  摘要：We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA-type models, including fractional Gaussian noise. The method of proof consists of three main ingredients: (i) verification of a suitably modified version of Durbin's general conditions for the validity of the Edgeworth expansion to the joint density of the log-likelihood derivatives; (ii) app...
• Distributional results for means of normalized random measures with independent increments AI翻译
  作者：Regazzini, E; Lijoi, A; Prünster, I
  作者单位：University of Pavia; University of Pavia
  摘要：We consider the problem of determining the distribution of means of random probability measures which are obtained by normalizing increasing additive processes. A solution is found by resorting to a well-known inversion formula for characteristic functions due to Gurland. Moreover, expressions of the posterior distributions of those means, in the presence of exchangeable observations, are given. Finally, a section is devoted to the illustration of two examples of statistical relevance.
• Herbert!Robbins and sequential analysis AI翻译
  作者：Siegmund, D
  作者单位：Stanford University
  摘要：This paper reviews Herbert Robbins' research in sequential analysis (excluding stochastic approximation) from 1952 until roughly 1980. Its relation to the research of his contemporaries and its impact on subsequent research are described.
• Stochastic approximation AI翻译
  作者：Lai, TL
  作者单位：Stanford University
  摘要：Stochastic approximation, introduced by Robbins and Monro in 1951, has become an important and vibrant subject in optimization, control and signal processing. This paper reviews Robbins' contributions to stochastic approximation and gives an overview of several related developments.
• On adaptive estimation in nonstationary ARMA models with Garch errors AI翻译
  作者：Ling, SQ; McAleer, M
  作者单位：Hong Kong University of Science & Technology; University of Western Australia
  摘要：This paper considers adaptive estimation in nonstationary autoregressive moving average models with the noise sequence satisfying a generalized autoregressive conditional heteroscedastic process. The locally asymptotic quadratic form of the log-likelihood ratio for the model is obtained. It is shown that the limit experiment is neither LAN nor LAMN, but is instead LABF. For the model with symmetric density of the rescaled error, a new efficiency criterion is established for a class of defined ...