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.     

Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process

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.     

Maximal deviation theory of some estimators of prior distribution functions

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.     

Inequalities for a distribution with monotone hazard rate

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     

Nonparametric estimation of Matusita's measure of affinity between absolutely continuous distributions

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.     

Propagation of oscillations to 2D incompressible Euler equations

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.     

Nonparametric estimation of an affinity measure between two absolutely continuous distributions with hypotheses testing applications

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).     

Asymptotic bounds for estimators without limit distribution

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.     

Dependence and the dimensionality reduction principle

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.     

Asymptotic normality of a quadratic measure of orthogonal series type density estimate

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 .     

When does the union of random spherical caps become connected?

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→∞.     

Equivariant D-modules attached to nilpotent orbits in a semisimple Lie algebra

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).ζ^1/2 is non zero for all harmonic polynomialsq ∈S( ) \ {0}. This fact is deduced from results about equivariantD-modules supported on the nilpotent cone of .     

A minimax regret estimator of a normal mean after preliminary test

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.     

Elementary properties of free extensions

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.     

On the representation of differentiations by Hamiltonians,operating from an algebra of local observable spin systems

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 [T_kX,a] by some r-multiple process of summation. Translated from Matematicheskii Zametki, Vol. 21, No. 1, pp. 93–98, January, 1977.     

Cofinality of normal ideals on<Emphasis Type="Italic">P</Emphasis><Subscript>κ</Subscript>(λ) II

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.     

Limit theorems for the maximal eigenvalues of the mean-field Hamiltonian with random potential

Let , be the mean-field Hamiltonian with and random i.i.d. potential ξ_V. We prove limit theorems for the extreme eigenvalues of as |V|→∞. The limiting distributions are the same as for the corresponding extremes of ξ_V only if either (i) ξ_V is undbounded and , or (ii) ξ_V is bounded with “sharp” peaks and . Localization properties for the corresponding eigenfunctions are also studied. Institute of Mathematics and Informatics, Akademijos 4, 2600 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 147–168, April–June, 1999.     

On estimation of a density and its derivatives

Summary Letf _n ^(p) be a recursive kernel estimate off ^(p) thepth order derivative of the probability density functionf, based on a random sample of sizen. In this paper, we provide bounds for the moments of and show that the rate of almost sure convergence of to zero isO(n ^−α), α<(r−p)/(2r+1), iff ^(r),r>p≧0, is a continuousL ₂(−∞, ∞) function. Similar rate-factor is also obtained for the almost sure convergence of to zero under different conditions onf. This work was supported in part by the Research Foundation of SUNY.     

Martin boundary of unlimited covering surfaces

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.