Precise Asymptotics in the Law of the Iterated Logarithm of Moving-Average Processes

In this paper, we discuss the moving-average process Xk = ∑i=-∞ ^∞ ai＋kεi, where {εi;-∞ 〈 i 〈 ∞} is a doubly infinite sequence of identically distributed ψ-mixing or negatively associated random variables with mean zeros and finite variances, {ai;-∞ 〈 i 〈 -∞） is an absolutely solutely summable sequence of real numbers.     

A general result on precise asymptotics for linear processes of positively associated sequences

Let {εt; t ∈ Z^＋} be a strictly stationary sequence of associated random variables with mean zeros, let 0〈Eε1^2〈∞ and σ^2=Eε1^2＋1∑j=2^∞ Eε1εj with 0〈σ^2〈∞.{aj;j∈Z^＋} is a sequence of real numbers satisfying ∑j=0^∞｜aj｜〈∞.Define a linear process Xt=∑j=0^∞ ajεt-j,t≥1,and Sn=∑t=1^n Xt,n≥1.Assume that E｜ε1｜^2＋δ′〈 for some δ′〉0 and μ（n）=O（n^-ρ） for some ρ〉0.This paper achieves a general law of precise asymptotics for {Sn}.     

Distribution and moment convergence of martingales

Summary If where {X _{n j} ,ℱ _{n j} 1≦j≦m _n ↑∞, n≧1} is a martingale difference array, conditions are given for the distribution and moment convergence of S _n,k to the distribution and moments of where H _k is the Hermite polynomial of degree k and Z is a standard normal variable. This is intimately related to an identity (*) for multiple Wiener integrals. Under alternative conditions, similar results hold for S _{n, k} /U _n ^k and S _{n, k} /V _n ^k where and V _n ² V _n ² is the conditional variance. Research supported by the National Science Foundation under Grant DMS-8601346     

Asymptotic normality and efficiency of a weighted correlogram

For a process X(t)=Σ _j=1 ^M g _j (t)ξ _j (), where g_j(t) are nonrandom given functions, is a stationary vector-valued Gaussian process, Eξ_k(t) = 0, and Eξ_k(0) Eξ_l(τ) = r _kl(τ), we construct an estimate for the functions r _kl(τ) on the basis of observations X(t), t ∈ [0, T]. We establish conditions for the asymptotic normality of as T → ∞. We consider the problem of the optimal choice of parameters of the estimate depending on observations. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 7, pp. 937–947, July, 1998.     

Zero Distribution of Composite Polynomials and Polynomials Biorthogonal to Exponentials

We analyze polynomials P _n that are biorthogonal to exponentials , in the sense that

Approximation of bandlimited functions by finite exponential sums

For a compact set K in ℝ ⁿ , let B ² _K be the set of all functions f ∈ L ²(ℝ²) bandlimited to K, i.e., such that the Fourier transform f̂ of f is supported by K. We investigate the question of approximation of f ∈ B ² _K by finite exponential sums

Asymptotic expansion of the log-likelihood function based on stopping times defined on a Markov process

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.     

Precise Rates in the Law of Iterated Logarithm for the Moment of I.I.D. Random Variables

Let{X,Xn;n≥1} be a sequence of i,i.d, random variables, E X = 0, E X^2 = σ^2 〈 ∞.Set Sn=X1＋X2＋…＋Xn,Mn=max k≤n│Sk│,n≥1.Let an=O（1/loglogn）.In this paper,we prove that,for b〉-1,lim ε→0 →^2（b＋1）∑n=1^∞ （loglogn）^b/nlogn n^1/2 E{Mn-σ（ε＋an）√2nloglogn}＋σ2^-b/（b＋1）（2b＋3）E│N│^2b＋3∑k=0^∞ （-1）k/（2k＋1）^2b＋3 holds if and only if EX=0 and EX^2=σ^2〈∞.     

Square function inequalities for non-commutative martingales

We prove a non-commutative version of the weak-type (1,1) boundedness of square functions of martingales. More precisely, we prove that there is an absolute constantK with the following property: ifM is a semifinite von Neumann algebra with a faithful normal traceτ and (M _n ) _n=1 ^∞ is an increasing filtration of von Neumann subalgebras of (M then for any martingalex= _n=1 ^∞ inL ¹(M,τ), adapted to (M _n ) _n=1 ^∞ , there is a decomposition into two sequences (x _n ) _n=1 ^∞ and (z _n ) _n=1 ^∞ withx _n=y _n+z _nfor everyn≥1 and such that . This generalizes a result of Burkholder from classical martingale theory to non-commutative martingales. We also include some applications to martingale Hardy spaces. Supported in part by NSF grant DMS-0096696.     

On normal approximation of discounted and strongly mixing random variables

We estimate the difference for bounded functions h: ℝ → ℝ satisfying the Lipschitz condition, where Z _v = B _v ⁻¹ ∑ _i=0 ^∞ v ⁱ X _i and with discount factor ν such that 0 < ν < 1. Here {X _n , n ≥ 0} is a sequence of strongly mixing random variables with , and N is a standard normal random variable. In a particular case, the obtained upper bounds are of order O((1 − ν)^1/2). Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 3, pp. 399–409, July–September, 2007. The research was partially supported by the Lithuanian State Science and Studies Foundation, grant No. T-15/07.     

Resampling method in nonparametric estimation related to renewal processes

Let the statistical data be a collection of n piecesx ₁, ...,x _n of simple renewal processes. The random times between renewals have an unknown cumulative hazard function (c.h.f.) H₀(·). Let τ(H(·)) be the value of some functional τ(·), given c.h.f. H(·). The value τ₀=τ(H₀(·)) is a parameter of interest. If is an estimator for τ₀, then its quality can be characterized by the distribution law of normed deviations . These laws L_n are unknown, but they can be consistently estimated, by using the resampling method, as n→∞. In the case considered, the resampling method can be justified as a special case of the central limit resampling theorem. Supported by the Bank of Sweden Tercentenary Foundation. Proceedings of the XVII Seminar on Stability Problems for Stochastic Models, Kazan, Russia, 1995, Part I.     

The average of the values of a function at random points

The behavior of (1/N) asN→∞ is considered, wheref is a bounded measurable function on (−∞, ∞) and (S _n) _n ^=1/∞ are the partial sums of a sequence of independent and identically distributed rondom variables.     

Closure Properties of Solutions to Heat Inequalities

We prove that if u ₁,u ₂:(0,∞)×ℝ ^d →(0,∞) are sufficiently well-behaved solutions to certain heat inequalities on ℝ ^d then the function u:(0,∞)×ℝ ^d →(0,∞) given by also satisfies a heat inequality of a similar type provided . On iterating, this result leads to an analogous statement concerning n-fold convolutions. As a corollary, we give a direct heat-flow proof of the sharp n-fold Young convolution inequality and its reverse form. Both authors were supported by EPSRC grant EP/E022340/1.     

Moments of randomly stopped sums-revisited

Conditions are obtained for (*)E|S _T |^γ<∞, γ>2 whereT is a stopping time and {S _n=∑ ₁ ⁿ ,X _j ℱ _n ,n⩾1} is a martingale and these ensure when (**)X _n ,n≥1 are independent, mean zero random variables that (*) holds wheneverET ^γ/2<∞, sup _n≥1 E|X _n |^γ<∞. This, in turn, is applied to obtain conditions for the validity ofE|S _k,T |^γ<∞ and of the second moment equationES _k,T ² =σ ² EΣ _j=k ^T S _k−1,j−1 ² where and {X _n , n≥1} satisfies (**) and ,n≥1. The latter is utilized to elicit information about a moment of a stopping rule. It is also shown for i.i.d. {X _n , n≥1} withEX=0,EX ²=1 that the a.s. limit set of {(n log logn)^−k/2 S _k,n ,n≥k} is [0,2 ^k/2/k!] or [−2 ^k/2/k!] according ask is even or odd and this can readily be reformulated in terms of the corresponding (degenerate kernel)U-statistic .     

Minimal rates of entropy convergence for completely ergodic systems

If (X,T) is a completely ergodic system, then there exists a positive monotone increasing sequence {a _n } _n ^1/∞ with lim _n →∞a _n =∞ and a positive concave functiong defined on [1, ∞) for whichg(x)/x ² isnot integrable such that for all nontrivial partitions α ofX into two sets.     

Composition operators on the Lipschitz space in polydiscs

Let Un be the unit polydisc of Cn and φ= (φ1,...,φn? a holomorphic self-map of Un. Let 0≤α< 1. This paper shows that the composition operator Cφ, is bounded on the Lipschitz space Lipa(Un) if and only if there exists M > 0 such thatfor z∈Un. Moreover Cφ is compact on Lipa(Un) if and only if Cφ is bounded on Lipa(Un) and for every ε > 0, there exists a δ > 0 such that whenever dist(φ(z),σUn) <δ     

Duals of holomorphic Besov spaces on the polydisks and diagonal mappings

Let U ⁿ be the unit polydisk in C ⁿ and S be the space of functions of regular variation. Let 1 ≤ p < ∞, ω = (ω ₁, ..., ω _n ), ω _j ∈ S(1 ≤ j ≤ n) and f ∈ H(U ⁿ ). The function f is said to be in holomorphic Besov space B _p (ω) if

Para-tt*-bundles on the tangent bundle of an almost para-complex manifold

In this paper we study para-tt ^*-bundles (TM, D, S) on the tangent bundle of an almost para-complex manifold (M, τ). We characterise those para-tt ^*-bundles with ${\nabla=D + S}In this paper we study para-tt ^*-bundles (TM, D, S) on the tangent bundle of an almost para-complex manifold (M, τ). We characterise those para-tt ^*-bundles with induced by the one-parameter family of connections given by and prove a uniqueness result for solutions with a para-complex connection D. Flat nearly para-K?hler manifolds and special para-complex manifolds are shown to be such solutions. We analyse which of these solutions admit metric or symplectic para-tt ^*-bundles. Moreover, we give a generalisation of the notion of a para-pluriharmonic map to maps from almost para-complex manifolds (M, τ) into pseudo-Riemannian manifolds and associate to the above metric and symplectic para-tt ^*-bundles generalised para-pluriharmonic maps into , respectively, into SO ₀(n,n)/U ^π(C ⁿ ), where U ^π(C ⁿ ) is the para-complex analogue of the unitary group.      

On some properties of solutions of second-order linear functional differential equations

The properties of solutions of the equationu″(t) =p ₁(t)u(τ₁(t)) +p ₂(t)u′(τ₂(t)) are investigated wherep _i :a, + ∞[→R (i=1,2) are locally summable functions τ₁ :a, + ∞[→R is a measurable function, and τ₂ :a, + ∞[→R is a nondecreasing locally absolutely continuous function. Moreover, τ _i (t) ≥t (i = 1,2),p ₁(t)≥0,p ₂ ² (t) ≤ (4 - ɛ)τ ₂ ^′ (t)p ₁(t), ɛ =const > 0 and . In particular, it is proved that solutions whose derivatives are square integrable on [α,+∞] form a one-dimensional linear space and for any such solution to vanish at infinity it is necessary and sufficient that .     

Asymptotic Behaviour of Iterates of Volterra Operators on L p (0, 1)

Given k ∈ L¹ (0,1) satisfying certain smoothness and growth conditions at 0, we consider the Volterra convolution operator V_k defined on L^p (0,1) by