The Annals of Applied Probability

最新文章

• Limit theorems for quadratic forms with applications to Whittle's estimate AI翻译
  作者：Horváth, L; Shao, QM
  作者单位：Utah System of Higher Education; University of Utah; University of Oregon
  摘要：We establish strong and weak approximations for quadratic forms of weakly and strongly dependent random variables and obtain necessary and sufficient conditions for the weak convergence of weighted functions of quadratic forms. The results are applied to get the asymptotic distributions of some tests which can be used to detect possible changes in the long-memory parameter.
• Tree and forest weights and their application to nonuniform random graphs AI翻译
  作者：Jones, BD; Pittel, BG; Verducci, JS
  作者单位：University System of Ohio; Kenyon College; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
  摘要：For a complete graph K-n on n vertices with weighted edges, define the weight of a spanning tree (more generally, spanning forest) as the product of edge weights involved. Define the tree weight (forest weight) of K-n as the total weight of all spanning trees (forests). The uniform edge weight distribution is shown to maximize the tree weight, and an explicit bound on the tree weight is formulated in terms of the overall variance of edge weights as well as the variance of the sum of edge weigh...
• Predicting random fields with increasing dense observations AI翻译
  作者：Stein, ML
  作者单位：University of Chicago
  摘要：This work investigates some spectral characteristics of the errors of optimal linear predictors for weakly stationary random fields. More specifically, for errors of optimal linear predictors, results here explicitly bound the fraction of the variance attributable to some set of frequencies. Such a bound is first obtained for random fields on R-d observed on the infinite lattice delta J for all J on the d-dimensional integer lattice. If the spectral density exists, then the faster the spectral...
• How misleading can sample acf's of stable MAs be? (very!) AI翻译
  作者：Resnick, S; Samorodnitsky, G; Xue, F
  作者单位：Cornell University; Cornell University
  摘要：For the stable moving average process X-t = integral(-infinity)(infinity) f(t + x) M(dx), t= 1,2,...., we find the weak limit of its sample autocorrelation function as the sample size n increases to infinity. It turns out that, as a rule, this limit is random! This shows how dangerous it is to rely on sample correlation as a model fitting tool in the heavy tailed case. We discuss for what functions f this limit is nonrandom for all (or only some-this can be the case, too!) lags.
• Completeness of securities market models -: An operator point of view AI翻译
  作者：Bättig, R
  作者单位：Cornell University
  摘要：We propose a notion of market completeness which is invariant under change to an equivalent probability measure. Completeness means that an operator T acting on stopping time simple trading strategies has dense range in the weak* topology on bounded random variables. In our setup, the claims which can be approximated by attainable ones has codimension equal to the dimension of the kernel of the adjoint operator T* acting on signed measures, which in most cases is equal to the dimension of the ...
• Robert Battig 1968-1997 AI翻译
  作者：Durrett, R
• Importance sampling for families of distributions AI翻译
  作者：Madras, N; Piccioni, M
  作者单位：York University - Canada; University of L'Aquila
  摘要：This paper analyzes the performance of importance sampling distributions for computing expectations with respect to a whole family of probability laws in the context of Markov chain Monte Carlo simulation methods. Motivations for such a study arise in statistics as well as in statistical physics. Two choices of importance sampling distributions are considered in detail: mixtures of the distributions of interest and distributions that are uniform over energy levels (motivated by physical applic...
• An explicitly spatial version of the Lotka-Volterra model with interspecific competition AI翻译
  作者：Neuhauser, C; Pacala, SW
  作者单位：University of Minnesota System; University of Minnesota Twin Cities; Princeton University
  摘要：We consider a spatial stochastic version of the classical Lotka-Volterra model with interspecific competition. The classical model is described by a set of ordinary differential equations, one for each species. Mortality is density dependent, including both intraspecific and interspecific competition. Fecundity may depend on the type of species but is density independent. Depending on the relative strengths of interspecific and intraspecific competition and on the fecundities, the parameter sp...
• Asymptotic approximation of the move-to-front search cost distribution and least-recently used caching fault probabilities AI翻译
  作者：Jelenkovic, PR
  作者单位：Columbia University
  摘要：Consider a finite list of items n = 1, 2,..., N, that are requested according to an i.i.d. process. Each time an item is requested it is moved to the front of the list. The associated search cost C-N for accessing an item is equal to its position before being moved. If the request distribution converges to a proper distribution as N --> infinity, then the stationary search cost C-N converges in distribution to a limiting search cost C. We show that, when the (limiting) request distribution has...
• Asymptotics of first passage times for random walk in an orthant AI翻译
  作者：McDonald, DR
  作者单位：University of Ottawa
  摘要：We wish to describe how a chosen node in a network of queues overloads. The overloaded node may also drive other nodes into overload, but the remaining super stable nodes are only driven into a new steady state with stochastically larger queues. We model this network of queues as a Markov additive chain with a boundary. The customers at the super stable nodes are described by a Markov chain, while the other nodes are described by an additive chain. We use the existence of a harmonic function h...