The asymptotic behavior of extrema of compound Cox processes with nonzero means

We give necessary and sufficient conditions for the weak convergence of one-dimensional distributions of extrema of compound Cox processes with jumps having finite variances and nonzero expectations. No moment-type restrictions are imposed on the controlling process. As corollaries we obtain criteria of the normal convergence of extrema of compound Cox processes with nonzero means. Convergence rate estimates are also presented. Supported by the Russian Foundation for Basic Research (grant Nos. 96-01-01919 and 97-01-00271), the Russian Humanitarian Sciences Foundation (grant No. 97-02-02235), and the Committee on Knowledge Extension Research (CKER) of the American Society of Actuaries. Proceedings of the Seminar on Stability Problems for Stochastic Models, Vologda, Russia, 1998, Part I.     

On asymptotic behavior for probabilities of large deviations of compound Cox processes

We derive logarithmic asymptotics for probabilities of large deviations for compound Cox processes. We show that under appropriate conditions, these asymptotics are the same as those for sums of independent random variables and processes with independent increments. When these conditions fail, the asymptotics of large deviations probabilities for compound Cox processes are quite different. Bibliography: 5 titles. Translated from Zapiski Nauehnykh, Seminarov POMI, Vol. 361, 2008, pp. 167–181.     

Asymptotic behavior for the Navier-Stokes equations with nonzero external forces

We estimate the asymptotic behavior for the Stokes solutions, with external forces first. We found that if there are external forces, then the energy decays slowly even if the forces decay quickly. Then, we also obtain the asymptotic behavior in the temporal-spatial direction for weak solutions of the Navier-Stokes equations. We also provide a simple example of external forces which shows that the Stokes solution does not decay quickly.     

Asymptotic behavior of weakly dependent aggregated processes

Aggregated processes appear in many areas of statistics, natural sciences and economics and studying their behavior has a considerable importance from a purely probabilistic point of view as well. Granger (1980) showed that aggregating processes of simple structure can lead to processes with much more complex dynamics, in particular, aggregating random coefficient AR(1) processes can result in long memory processes. This opens a new way to analyze complex processes by constructing such processes from simple ‘building blocks’ via aggregation.     

Asymptotic behavior of integral functionals of diffusion processes with periodic coefficients

A central limit theorem is proved for functionals of integral form and with its help is established the local asymptotic normality of the logarithm of the likelihood ratio for diffusion processes with periodic coefficients.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 44, No. 2, pp. 245–252, February, 1992.     

A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes

A general theorem is presented which gives necessary and sufficient conditions of the convergence of one-dimensional distributions of appropriately centered and normalized superpositions of independent stochastic processes. This theorem is used as a tool for obtaining limit theorems for doubly stochastic Poisson processes (Cox processes). Supported in part by the Russian Foundation for Fundamental Research (grant No. 93-01-01446) and also by the International Science Foundation and the government of Russia (projects NFW000 and NFW300). Proceedings of the XVII Seminar on Stability Problems for Stochastic Models, Kazan, Russia, 1995, Part I.     

Asymptotic behavior of central order statistics from stationary processes

In this paper, we show that central order statistics from strictly stationary and ergodic sequences are strongly consistent estimators of population quantiles provided that the quantiles are unique. We generalize this result to strictly stationary but not necessarily ergodic sequences. We also describe three types of possible asymptotic behavior of central order statistics in the case when the corresponding population quantile is not unique. We give applications of the presented results to linear processes with both absolutely continuous and discrete innovations.     

Asymptotic properties of the minimum contrast estimators for projections of inhomogeneous space-time shot-noise Cox processes

We consider a flexible class of space-time point process models—inhomogeneous shot-noise Cox point processes. They are suitable for modelling clustering phenomena, e.g. in epidemiology, seismology, etc. The particular structure of the model enables the use of projections to the spatial and temporal domain. They are used to formulate a stepwise estimation method to estimate different parts of the model separately. In the first step, the Poisson likelihood approach is used to estimate the inhomogeneity parameters. In the second and third steps, the minimum contrast estimation based on K-functions of the projected processes is used to estimate the interaction parameters. We study the asymptotic properties of the resulting estimators and formulate a set of conditions sufficient for establishing consistency and asymptotic normality of the estimators under the increasing domain asymptotics.     

Asymptotic behavior of the quadratic variation for trajectories of processes with independent increments

One considers a certain characteristic, similar to the quadratic variation, of processes with independent increments. One investigates its almost surely behavior as t.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 130, pp. 78–88, 1983.     

Asymptotic behavior of terminating markov processes,near to ergodic

Several assertions are formulated regarding the asymptotic behavior of terminating Markov processes, near to ergodic.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 42, No. 12, pp. 1701–1703, December, 1990.     

Asymptotic behavior of a tagged particle in simple exclusion processes

We review in this article central limit theorems for a tagged particle in the simple exclusion process. In the first two sections we present a general method to prove central limit theorems for additive functional of Markov processes. These results are then applied to the case of a tagged particle in the exclusion process. Related questions, such as smoothness of the diffusion coefficient and finite dimensional approximations, are considered in the last section.     

Inference for thinned point processes, with application to Cox processes

Given i.i.d. point processes N₁, N₂,…, let the observations be p-thinnings N′₁, N′₂,…, where p is a function from the underlying space E (a compact metric space) to [0, 1], whose interpretation is that a point of N_i at x is retained with probability p(x) and deleted with probability 1−p(x). Strongly consistent estimators of the thinning function p and the Laplace functional L_N(f) = E[e^−N(f)] of the N_i are constructed; associated “central limit” properties are given. Tests are presented, for the case when the N_i and N′_i are both observable, of the hypothesis that the N′_i are p-thinnings of the N_i. State estimation techniques are developed for the case where the N_i are Cox processes directed by unobservable random measures M_i; these techniques yield minimum mean-squared error estimators, based on observation of only the thinned processes N′_i of the N_i and the directing measures M_i. Limit theorems for empirical Laplace functionals of point processes are given.     

Asymptotic expansions in the central limit theorem for compound and Markov processes

Summary For independent identically distributed bivariate random vectors (X ₁, Y ₁), (X ₂, Y ₂), ... and for large t the distribution of X ₁ +...+ X _N(t) is approximated by asymptotic expansions. Here N(t) is the counting process with lifetimes Y ₁, Y ₂,.... Similar expansions are derived for multivariate X ₁. Furthermore, local asymptotic expansions are valid for the distribution of f(X ₁)+ ...+ f(X _N ) when N is large and nonrandom, and X _i , i=1, 2,..., is a discrete strongly mixing Markov chain.     

Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time

This paper studies the tail behavior of the Poisson shot-noise processes with interdependent and heavy-tailed random shocks. In the presence of statistical dependence between the shock and its arrival time we establish the asymptotic behavior of the tail probability. Two examples are presented as illustrations of the main results as well.     

Asymptotic behavior of posterior distributions for random processes under incorrect models

In this paper, the asymptotic behavior of posterior distributions on parameters contained in random processes is examined when the specified model for the densities is not necessarily correct. Uniform convergence of likelihood functions in some way is shown to be a sufficient condition for the posterior distributions to be asymptotically confined to a set (Theorem 1). For ergodic stationary Markov processes uniform convergence of likelihood functions is established by the ergodic theorem for Banach-valued stationary processes (Proposition 1). A sufficient condition for the uniform convergence is also shown for general random processes (Proposition 2). These results are used to analyze the asymptotic behavior of posterior distributions on parameters contained in linear systems under incorrect models (Example 1 and 2).     

Asymptotic behavior of trajectories for some nonautonomous,almost periodic processes

In this paper, asymptotics are studied for some almost periodic processes on a complete metric space (X, d): (1) It is shown that any precompact positive trajectory of a contractive periodic process is asymptotically almost periodic as t → +∞. This property does not hold for general almost periodic contractive processes. (2) A compactness result is obtained for weakly almost periodic complete trajectories of some (possibly nonlinear) processes in a uniformly convex Banach space. (3) The existence of almost periodic trajectories is studied for “affine” processes in a uniformly convex Banach space. These results are applicable to some evolution equations of the form $\text{du}\text{dt}\text{+ A (t) u(t) ? f(t)}$, where $\text{?(t)}$ is almost periodic: R → V uniformly convex Banach space and A(t) is a periodic, time-dependent, m-accretive operator in V.     

Asymptotic behavior of unstable ARMA processes with application to least squares estimates of their parameters

A time series x(t), t≥1, is said to be an unstable ARMA process if x(t) satisfies an unstableARMA model such asx(t)=a_1x(t-1) a_2x(t-2) … a_8x(t-s) w(t)where w(t) is a stationary ARMA process; and the characteristic polynomial A(z)=1-a_1z-a_2z~2-…-a_3z~3 has all roots on the unit circle. Asymptotic behavior of sum form 1 to n (x~2(t)) will be studied by showing somerates of divergence of sum form 1 to n (x~2(t)). This kind of properties Will be used for getting the rates of convergenceof least squares estimates of parameters a_1, a_2,…, a_?     

Developments on MTP2 properties of absolute value multinormal variables with nonzero means

LetX=(X ₁,...,X _n ) have a multivariate normal distribution with mean and covariance matrix. In the case=0, Karlin and Rinott^[6] obtained a necessary and sufficient condition on for |X|=(|X ₁|,...|X _n|) to be MTP₂. In this paper we consider the case0, and give some conditions under which |X| is MTP₂. A necessary and sufficient condition is given for |X| to be TP₂ whenn=2 and0. Some results about the TP₂ stochastic ordering are also given. The results are applied to obtain positive dependence and associated inequalities for multinormal and related distributions.This research is supported by the National Natural Science Foundation of China, the Doctoral Program Foundation of Institute of High Education and a grant of the Chinese Academy of Sciences.