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.     

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.     

Multigrid methods for the computation of singular solutions and stress intensity factors II: Crack singularities

We consider the Poisson equation −Δu=f with homogeneous Dirichlet boundary condition on a two-dimensional polygonal domain Ω with cracks. Multigrid methods for the computation of singular solutions and stress intensity factors using piecewise linear functions are analyzed. The convergence rate for the stress intensity factors is whenfεL ²(Ω) and whenfεH ¹(Ω). The convergence rate in the energy norm is in the first case and in the second case. The costs of these multigrid methods are proportional to the number of elements in the triangulation. The general case wherefεH ^m (Ω) is also discussed. The work of the first author was partially supported by NSF under grant DMS-96-00133     

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.     

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.     

The closure diagram for nilpotent orbits of the split real form of E8

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 .     

Measure-valued almost periodic functions

We consider Stepanov almost periodic functions μ ∈ ranging in the metric space of Borel probability measures on a complete separable metric space is equipped with the Prokhorov metric). The main result is as follows: a function , belongs to if and only if for each bounded continuous function , the function is Stepanov almost periodic (of order 1) and

Asymptotic optimality of estimators in non-regular cases

Summary The bound of the asymptotic distributions of for all asymptotically median unbiased (AMU) estimators is given in non-regular cases. It provides us with a powerful criterion for an AMU estimator to be two-sided asymptotically efficient and also useful in the cases when there may not exist a two-sided asymptotically efficient estimator since we may find an AMU estimator whose asymptotic distribution attains at least at a point, or an AMU estimator whose asymptotic distribution is uniformly “close” to it. Some examples are given. The results of this paper have been presented at the Meeting on Statistical Theory of Model Analysis at Tsukuba University in Japan, October 1979.     

Blaschke-decomposable convex bodies

For a given centred convex bodyK of ℝ,n≥3, let be the class of all convex bodies with the same projection body asK. The question whetherK can be expressed as a Blaschke average of two non-homothetic bodies from is considered. Necessary and sufficient conditions onK to be Blaschke decomposable in are given. The paper provides also a characterization of the bodiesK such that the Blaschke indecomposable bodies in are dense in itself.     

An optimal bound for high-quality conforming triangulations

This paper shows that, for any plane geometric graph withn vertices, there is a triangulation that conforms to , i.e., each edge of is the union of some edges of , where hasO(n²) vertices with each angle of its triangles measuring no more than 11/15π. Additionally, can be computed inO(n ² logn) time. This research was partially supported by the National University of Singapore under Grant RP940641.     

A local duality theorem for categories of modules

Let Λ be an associative ring with identity and let be the category of left unitary Λ-modules. A subcateqory of the category is said to be small if the pairwise nonisomorphic objects of form a set. The main result of this paper consists of the fact that for every small full subcategory , there exists a ring Γ such that is dual to a small full subcategory of the category . Some applications of this result are indicated. Bibliography: 3 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 227, 1995, pp. 66–73.     

A question in the theory of saturated formations of finite soluble groups

This paper examines the following question. If and are saturated formations then is defined to be the class of all soluble groups whose belong to . In general is a formation, but need not be a saturated formation. Here the smallest saturated formation containing is studied.     

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.     

An example of pointwise non-convergence of iterated conditional expectation operators

Given ∈, we construct a sequence , … of Borel sub-sigma-algebras on the unit interval with the following property. Suppose the identity functionf(x)=x is transformed by successive conditioning on , then , then , Then the lim sup, with respect ton, will exceed (pointwise almost-everywhere) 1−∈ and its lim inf will be less than ∈. The sequence of functions also will fail to converge in the . This contrasts with the long-open conjecture that if all the come from a finite set of sigma-algebras, then the resulting sequence of functions must converge in . J. L. King was partially supported by NSF grant DMS-9112595.     

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     

Generalized interval exchanges and the 2–3 conjecture

We introduce the notion of a generalized interval exchange induced by a measurable k-partition of [0,1). can be viewed as the corresponding restriction of a nondecreasing function on ℝ with . A is called λ-dense if λ(A _i ∩(a, b))>0 for each i and any 0≤ a< b≤1. We show that the 2–3 Furstenberg conjecture is invalid if and only if there are 2 and 3 λ-dense partitions A and B of [0,1), such that . We give necessary and sufficient conditions for this equality to hold. We show that for each integer m≥2, such that 3∤2m+1, there exist 2 and 3 non λ-dense partitions A and B of [0,1), corresponding to the interval exchanges on 2m intervals, for which and commute.     

A class of multipliers for $$\mathcal{W}^ \bot $$

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.     

On the range of a generalized derivation

A generalized derivation , is defined by the formula , where and is the Banach algebra of bounded linear operators in a Hilbert space . Sufficient conditions under which and are given. Bibliography: 8 titles. Translated fromProblemy Matematicheskogo Analiza, No. 20, 2000, pp. 111–119.     

Compactness of minimal closed invariant sets of actions of unipotent groups

Let G be a connected Lie group, let Γ be a lattice in G, and let be a unipotent subgroup of G. It is proved that, for the natural action of on G/Γ, every minimal closed -invariant subset is compact. Dedicated to Professor Jacques Tits on the occasion of his sixtieth birthday     

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 .