Asymptotic properties of some subset vector autoregressive process estimators

We establish consistency and derive asymptotic distributions for estimators of the coefficients of a subset vector autoregressive (SVAR) process. Using a martingale central limit theorem, we first derive the asymptotic distribution of the subset least squares (LS) estimators. Exploiting the similarity of closed form expressions for the LS and Yule–Walker (YW) estimators, we extend the asymptotics to the latter. Using the fact that the subset Yule–Walker and recently proposed Burg estimators satisfy closely related recursive algorithms, we then extend the asymptotic results to the Burg estimators. All estimators are shown to have the same limiting distribution.     

On an improvement of Hill and some other estimators

In the paper, we propose a new idea in the tail-index estimation. This idea allows us to improve the asymptotic performance of the classical Hill estimator and other most popular estimators over the range of the parameters present in the second-order regular-variation condition. We prove the asymptotic normality of the introduced estimators and provide a comparison (using the asymptotic mean-squared error) with other estimators of the tail index.     

On the L 1 convergence of kernel estimators of regression functions with applications in discrimination

Summary An estimate m _n of a regression function m(x)=E{Y|X=x} is weakly (strongly) consistent in L ₁ if ¦m _n (x)-m(x)¦(dx) converges to 0 in probability (w.p. 1) as the sample size grows large ( is the probability measure of X).We show that the well-known kernel estimate (Nadaraya, Watson) and several recursive modifications of it are weakly (strongly) consistent in L ₁ under no conditions on (X, Y) other than the boundedness of Y and the absolute continuity of . No continuity restrictions are put on the density corresponding to . We further notice that several kernel-type discrimination rules are weakly (strongly) Bayes risk consistent whenever X has a density.Research of both authors was sponsored by AFOSR Grant 77-3385     

Asymptotic properties of some goodness-of-fit tests based on the L 1-norm

Some goodness-of-fit tests based on the L ₁-norm are considered. The asymptotic distribution of each statistic under the null hypothesis is the distribution of the L ₁-norm of the standard Wiener process on [0,1]. The distribution function, the density function and a table of some percentage points of the distribution are given. A result for the asymptotic tail probability of the L ₁-norm of a Gaussian process is also obtained. The result is useful for giving the approximate Bahadur efficiency of the test statistics whose asymptotic distributions are represented as the L ₁-norms of Gaussian processes.     

On properties of estimators in nonregular situations for Poisson processes

We consider the problem of parameter estimation by observations of an inhomogeneous Poisson process. It is well known that if regularity conditions are fulfilled, then the maximum likelihood and Bayesian estimators are consistent, asymptotically normal, and asymptotically efficient. These regularity conditions can be roughly presented as follows: (a) the intensity function of the observed process belongs to a known parametric family of functions, (b) the model is identifiable, (c) the Fisher information is a positive continuous function, (d) the intensity function is sufficiently smooth with respect to the unknown parameter, and (e) this parameter is an interior point of the interval. We are interested in properties of estimators for which these regularity conditions are not fulfilled. More precisely, we present a review of results which correspond to the rejection of these conditions one by one and show how properties of the MLE and Bayesian estimators change. The proofs of these results are essentially based on some general results by Ibragimov and Khasminskii. Bibliography: 9 titles.     

On some properties of base-matroids

Let M=(E,F) be a rank-n matroid on a set E and B one of its bases. A closed set θ⊆E is saturated with respect to B, or B-saturated, when |θ∩B|=r(θ), where r(θ) is the rank of θ.The collection of subsets I of E such that |I∩θ|?r(θ), for every closed B-saturated set θ, turns out to be the family of independent sets of a new matroid on E, called base-matroid and denoted by M_B. In this paper we prove some properties of M_B, in particular that it satisfies the base-axiom of a matroid.Moreover, we determine a characterization of the matroids M which are isomorphic to M_B for every base B of M.Finally, we prove that the poset of the closed B-saturated sets ordered by inclusion is isomorphic to the Boolean lattice B_n.     

On the construction and some properties of self-similar functions in the spaces L p[0, 1]

We present a construction of affinely self-similar functions. In terms of the parameters of self-similarity transformations, a condition is given for these functions to belong to the classes L _p[0, 1] as well as to the space C[0, 1]. Some properties of these functions (monotonicity and bounded variation) are studied. A relationship between self-similar functions and self-similar measures is established.     

On some properties of o-degeneracy graphs

Degenerate optima in linear programming problems lead in a canonical way to so-called o-degeneracy graphs as subgraphs of degeneracy graphs induced by the set of optimal bases. Fundamental questions about the structure of o-degeneracy graphs suggest the closer inspection of some properties of these graphs, such as, for example, the connectivity and the complexity. Finally, some open questions are pointed out.     

On some properties of pronormal subgroups

New results on tight connections among pronormal, abnormal and contranormal subgroups of a group have been established. In particular, new characteristics of pronormal and abnormal subgroups have been obtained.     

An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions

A Maximum A Posteriori (MAP) estimator for trajectories of diffusions observed via a noisy non-linear sensor, defined in [1] for diffusions evolving in "flat" spaces, is extended to arbitrary nondegenerate diffusions in W (subject to some technical constraints). An existence theorem for the MAP trajectories estimator is proved. Finally, relations between the trajectories MAP estimator and the pointwise MAP estimator are demonstrated. Some open problems concerning the issue of finite dimensionality of the MAP trajectories estimator are pointed out     

On some properties of Poisson processes

The Poisson process, i.e., the simple stream, is defined by Khintchine as a stationary, orderly and finite stream without after-effects. A necessary and sufficient condition for a stream to be a simple stream is that the interarrival times are independent random variables with identical exponential distributions. This paper gives a simple and rigorous proof of the necessary and sufficient condition, and discusses the other necessary and sufficient conditions for a renewal process to be a Poisson process.Institute of Applied Mathematics, Academia Sinica     

On some properties of circulant matrices

A class Σ of matrices is studied which contains, as special subclasses, p-circulant matrices (p ? 1), Toeplitz symmetric matrices and the inverses of some special tridiagonal matrices. We give a necessary and sufficient condition in order that matrices of Σ commute with each other and are closed with respect to matrix product.     

On some properties of singular matrices

Some results of Ostrowski in [5] are generalized to the case of monotonic norms.     

On some properties of cohomotopy-type functors

It is shown that if II ⁿ ,n\s>2, are Chogoshvili's cohomotopy functors [1, 2, 3], then