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1.
Consider the parameter space Θ which is an open subset of ℝ
k
,k≧1, and for each θ∈Θ, let the r.v.′sY
n
,n=0, 1, ... be defined on the probability space (X,A,P
θ) and take values in a Borel setS of a Euclidean space. It is assumed that the process {Y
n
},n≧0, is Markovian satisfying certain suitable regularity conditions. For eachn≧1, let υ
n
be a stopping time defined on this process and have some desirable properties. For 0 < τ
n
→ ∞ asn→∞, set
h
n
→h ∈R
k
, and consider the log-likelihood function
of the probability measure
with respect to the probability measure
. Here
is the restriction ofP
θ to the σ-field induced by the r.v.′sY
0,Y
1, ...,
. The main purpose of this paper is to obtain an asymptotic expansion of
in the probability sense. The asymptotic distribution of
, as well as that of another r.v. closely related to it, is obtained under both
and
.
This research was supported by the National Science Foundation, Grant MCS77-09574.
Research supported by the National Science Foundation, Grant MCS76-11620. 相似文献
2.
Yasunori Fujikoshi Yoshimichi Ochi 《Annals of the Institute of Statistical Mathematics》1984,36(1):119-128
Summary In this paper we obtain an asymptotic expansion of the distribution of the maximum likelihood estimate (MLE)
based onT observations from the first order Gaussian process up to the term of orderT
−1. The expansion is used to compare
with a generalized estimate
including the least square estimate (LSE)
, based on the asymptotic probabilities around the true value of the estimates up to the terms of orderT
−1. It is shown that
(or the modified MLE
) is better than
(or the modified estimate
). Further, we note that
does not attain the bound for third order asymptotic median unbiased estimates. 相似文献
3.
Ryoichi Shimizu 《Annals of the Institute of Statistical Mathematics》1986,38(1):195-204
Summary LetX be a positive random variable with the survival function
and the densityf. LetX have the moments μ=E(X) and μ2=E(X
2) and put ε=|1-μ2/2μ2|. Put
and
. It is proved that the following inequalities hold:
, for allx>0, ifq(x) is monotone and that
, ifq
1
(x) is monotone. It is also shown that Brown's inequality
which holds wheneverq
1
(x) is increasing is not valid in general whenq
1 is decreasing.
The Institute of Statistical Mathematics 相似文献
4.
Summary Let
be a sequence of independent identically distributed random variables withθ
1∼G and the conditional distribution ofx
1 givenθ
1=θ given by
. HereG is unknown andF
θ(·) is known. This paper provides estimators
ofG based onx
1, …,x
n such that the random variable sup
has an asymptotic distribution asn→∞ under certain on conditionsG and for certain choices ofF
θ. A simulation model has been discussed involving the uniform distribution on (0, θ) forF
θ and an exponential distribution forG.
Research supported by the National Science Foundation under Grant #MCS77-26809. 相似文献
5.
Ibrahim A. Ahmad 《Annals of the Institute of Statistical Mathematics》1980,32(1):241-245
LetF andG be two distribution functions defined on the same probability space which are absolutely continuous with respect to the Lebesgue
measure with probability densitiesf andg, respectively. Matusita [3] defines a measure of the closeness, affinity, betweenF andG as:
. Based on two independent samples fromF andG we propose to estimate ρ by
, where
and
are taken to be the kernel estimates off(x) andg(x), respectively, as given by Parzen [5].
In this note sufficient conditions are given such that (i)
asx→∞ and (ii)
with probability one, asn→∞.
Research supported in part by the National Research Council of Canada and by McMaster University Science and Engineering Research
Board.
The author is presently with the Department of Mathematical Sciences, Memphis State University, Memphis, Tennessee 38152. 相似文献
6.
Ibrahim A. Ahmad 《Annals of the Institute of Statistical Mathematics》1980,32(1):223-240
LetF andG denote two distribution functions defined on the same probability space and are absolutely continuous with respect to the
Lebesgue measure with probability density functionsf andg, respectively. A measure of the closeness betweenF andG is defined by:
. Based on two independent samples it is proposed to estimate λ by
, whereF
n
(x) andG
n
(x) are the empirical distribution functions ofF(x) andG(x) respectively and
and
are taken to be the so-called kernel estimates off(x) andg(x) respectively, as defined by Parzen [16]. Large sample theory of
is presented and a two sample goodness-of-fit test is presented based on
. Also discussed are estimates of certain modifications of λ which allow us to propose some test statistics for the one sample
case, i.e., wheng(x)=f
0
(x), withf
0
(x) completely known and for testing symmetry, i.e., testingH
0:f(x)=f(−x). 相似文献
7.
The asymptotic expansions are studied for the vorticity
to 2D incompressible Euler equations with-initial vorticity
, where ϕ0(x) satisfies |d ϕ0(x)|≠0 on the support of
and
is sufficiently smooth and with compact support in ℝ2 (resp. ℝ2×T) The limit,v(t,x), of the corresponding velocity fields {v
ɛ(t,x)} is obtained, which is the unique solution of (E) with initial vorticity ω0(x). Moreover,
(ℤ2)) for all 1≽p∞, where
and ϕ(t,x) satisfy some modulation equation and eikonal equation, respectively. 相似文献
8.
Yannis Yatracos 《Annals of the Institute of Statistical Mathematics》2004,56(2):265-277
Stone’s dimensionality reduction principle has been confirmed on several occasions for independent observations. When dependence
is expressed with ϕ-mixing, a minimum distance estimate
is proposed for a smooth projection pursuit regression-type function θ∈Я, that is either additive or multiplicative, in the
presence of or without interactions. Upper bounds on theL
1-risk and theL
1-error of
are obtained, under restrictions on the order of decay of the mixing coefficient. The bounds show explicitly the addive effect
of ϕ-mixing on the error, and confirm the dimensionality reduction principle. 相似文献
9.
J. Pfanzagl 《Annals of the Institute of Statistical Mathematics》2003,55(1):95-110
Let
be a general family of probability measures,κ :
a functional, and
the optimal limit distribution for regular estimator sequences of κ. On intervals symmetric about 0, the concentration of
this optimal limit distribution can be surpassed by the asymptotic concentration of an arbitrary estimator sequence only forP in a “small” subset of
. For asymptotically median unbiased estimator sequences the same is true for arbitrary intervals containing 0. The emphasis
of the paper is on “pointwise” conditions for
, as opposed to conditions on shrinking neighbourhoods, and on “general” rather than parametric families. 相似文献
10.
Jugal Ghorai 《Annals of the Institute of Statistical Mathematics》1980,32(1):341-350
LetX
1,...,X
n
be i.i.d. random variable with a common densityf. Let
be an estimate off(x) based on a complete orthonormal basis {φ
k
:k≧0} ofL
2[a, b]. A Martingale central limit theorem is used to show that
, where
and
. 相似文献
11.
T. Levasseur 《Transformation Groups》1998,3(4):337-353
Let
u
be a compact Lie algebra and let
u
be its complexification. Let ζ−1/2 be the inverse on the set of regular elements of
u
of a square root of the discriminant of
. Generalizing a result of W. Lichtenstein in the case
u
=
(n, ℂ) or
(nℝ), we prove that ∂(q).ζ1/2 is non zero for all harmonic polynomialsq ∈S(
) \ {0}. This fact is deduced from results about equivariantD-modules supported on the nilpotent cone of
. 相似文献
12.
H. Maehara 《Annals of the Institute of Statistical Mathematics》2004,56(2):397-402
DropN random caps all of the same angular radius
on a unit sphere. LetU denote the part of the surface covered by these caps. We prove that if
, then the probability thatU is connected tends to 1 asN→∞, while ifc<1, then the probability thatU is connected tends to 0 asN→∞. 相似文献
13.
For any partial groupoid
, let Fr
be the free extension of
to a total groupoid. We show that
implies
and that the theory of Fr
is uniformly recursive in the theory of
. These results fail if “groupoid” is replaced by “semigroup”, “commutative semigroup”, “group”, “abelian group”, “semilattice”,
“K-lattice” for any nontrivial varietyK of lattices, or “Boolean algebra”.
Research supported in part by NSF Grant MCS78-01867. We thank the referee for his valuable comments.
Presented by B. Jónsson. 相似文献
14.
Kôichi Inada 《Annals of the Institute of Statistical Mathematics》1984,36(1):207-215
Summary This paper considers the problem of estimating a normal mean from the point of view of the estimation after preliminary test
of significance. But our point of view is different from the usual one. The difference is interpretation about a null hypothesis.
Let
denote the sample mean based on a sample of sizen from a normal population with unknown mean μ and known varianceσ
2. We consider the estimator that assumes the value
when
and the value
when
where ω is a real number such that 0≤ω≤1 andC is some positive constant. We prove the existence of ω, satisfying the minimax regret criterion and make a numerical comparison
among estimators by using the mean square error as a criterion of goodness of estimators. 相似文献
15.
A. Ya. Khelemskii 《Mathematical Notes》1977,21(1):51-54
Let
and
be algebras of local and quasilocal observable spin systems corresponding to the group Zr,
be a differentiation invariant with respect to displacements. The question of representation of D in the form of formal Hamiltonian
formed by the displacements of an elementx ε
is considered. It is shown that such a representation exists if the condition
holds, where
means an element obtained from the elements [TkX,a] by some r-multiple process of summation.
Translated from Matematicheskii Zametki, Vol. 21, No. 1, pp. 93–98, January, 1977. 相似文献
16.
For an idealJ on an infinite setX with add(J)=κ, let
be the smallest size of any subfamilyY ofJ with the property that any member ofJ can be covered by less than κ members ofY. We study the value of
forA in
, where
denotes the smallest [δ]<θ ideal onP
κ(λ). We also discuss the problem of whether there exists a setA such that
, or even
.
Some of the material in this paper originally appeared as part of the author's doctoral dissertation completed at the Université
de Caen, 1998.
Partially supported by the Israel Science Foundation. Publication 813. 相似文献
17.
LetW be an open Riemann surface and
ap-sheeted (1<p<∞) unlimited covering surface ofW. Denote by Δ1 (resp.,
) the minimal Martin boundary ofW (resp.,
). For ζ ∈ Δ, let
ζ be the (cardinal) number of the set of pionts
which lie over ζ and
the class of open connected subsetsM ofW such thatM∪{ζ} is a minimal fine neighborhood of ζ. Our main result is the following:
, where
is the number of components of π-1
M and π is the projection of
ontoW. Moreover, some applications of the above results are discussed whenW is the unit disc. 相似文献
18.
1.IntroductionConsideralinearregressionmodelwhereK,xi,doandeiaretheobservationofthetargetvariable,aknownHvector,theunknownparametervector,andtherandomerror,respectively.LetpbeaconvexfunctiondefinedonRI.TheM-estimateofpo,tobedenotedbyac,isdefinedasaminimizingpointofthefunctionH(P)=ZP(K--x:g).Denotetheleftandrightderivativesofpbyop--andi=1op .Regardingtheweakconsistencyofac,Zhao,RaoandChenll]establishedthefollowingresult:TheoremA.Lete15eZt'belid.Supposethatthereexistsfunctionop,satisfy… 相似文献
19.
Let
denote the class of ergodic probability preserving transformations which are disjoint from every weakly mixing system. Let
be the class of multipliers for
, i.e. ergodic transformations whose all ergodic joinings with any element of
are also in
. Fix an ergodic rotationT, a mildly mixing actionS of a locally compact second countable groupG and an ergodic cocycle ϕ forT with values inG. The main result of the paper is a sufficient (and also necessary by [LeP] whenG is countable Abelian andS is Bernoullian) condition for the skew product build fromT, ϕ andS to be an element of
. Moreover, the self-joinings of such extensions ofT are described with an application to study semisimple extensions of rotations.
Dedicated to Hillel Furstenberg on the occasion of his retirement
The first-named author was supported in part by CRDF, grant UM1-2546-KH-03.
The second-named author was supported in part by KBN grant 1P03A 03826. 相似文献
20.
Let
and
be adjoint nilpotent orbits in a real semisimple Lie algebra. Write
≥
if
is contained in the closure of
. This defines a partial order on the set of such orbits, known as the closure ordering. We determine this order for the split
real form of the simple complex Lie algebra, E
8. The proof is based on the fact that the Kostant-Sekiguchi correspondence preserves the closure ordering. We also present
a comprehensive list of simple representatives of these orbits, and list the irreeducible components of the boundaries
and of the intersections
. 相似文献