On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions

We introduce a sequence of stopping times that allow us to study an analogue of a life-cycle decomposition for a continuous time Markov process, which is an extension of the well-known splitting technique of Nummelin to the continuous time case. As a consequence, we are able to give deterministic equivalents of additive functionals of the process and to state a generalisation of Chen’s inequality. We apply our results to the problem of non-parametric kernel estimation of the drift of multi-dimensional recurrent, but not necessarily ergodic, diffusion processes.     

Quasistationary distributions for one-dimensional diffusions with singular boundary points

In the present work we characterize the existence of quasistationary distributions for diffusions on $(0,\infty )$ allowing singular behavior at 0 and $\infty$. If absorption at 0 is certain, we show that there exists a quasistationary distribution as soon as the spectrum of the generator is strictly positive. This complements results of Cattiaux et al. (2009) and Kolb and Steinsaltz (2012) for 0 being a regular boundary point and extends results by Cattiaux et al. (2009) on singular diffusions.     

Mixing normal approximations of vectors of sums and maximum sums

Summary The conditioned central limit theorem for the vector of maximum partial sums based on independent identically distributed random vectors is investigated and the rate of convergence is discussed. The conditioning is that of Rényi (1958,Acta Math. Acad. Sci. Hungar.,9, 215–228). Analogous results for the vector of partial sums are obtained. University of Petroleum and Minerals     

OnL p -convergence rates for statistical functions with application toL-estimates

Summary A parameter which may be represented as a functionalT(F) of a distribution functionF may be estimated by the “statistical function”T(F _n ), whereF _n is the empirical distribution function. Recently, Boos and Serfling (1979, Florida State University Statistics Report No. M 499) obtained sufficient conditions for the Berry-Esseen theorem to hold forT(F _n )-T(F) and applied the results to derive rates of convergence inL _∞ forL-estimates. The present note complements their work by obtaining theL _p -rates of convergence, 1≦p<∞ forT(F _n )-T(F) and its application toL-estimates.     

On the harmonic averages of numerical sequences

In recent years, the almost sure central limit theorem attracted widespread attention in Probability Theory. It involves the harmonic (also called logarithmic) averages of a certain numerical sequence formed from a sequence of independent, identically distributed random variables. Our primary aim is to study the convergence behavior of the sequence of harmonic averages of a given numerical sequence from the viewpoint of Summability Theory. Received: 12 May 2005; revised: 1 July 2005     

Nonparametric estimation of the location and scale parameters based on density estimation

Summary By representing the location and scale parameters of an absolutely continuous distribution as functionals of the usually unknown probability density function, it is possible to provide estimates of these parameters in terms of estimates of the unknown functionals. Using the properties of well-known methods of density estimates, it is shown that the proposed estimates possess nice large sample properties and it is indicated that they are also robust against dependence in the sample. The estimates perform well against other estimates of location and scale parameters.     

A central limit theorem for martingales and an application to branching processes

A functional central limit theorem is obtained for martingales which are not uniformly asymptotically negligible but grow at a geometric rate. The function space is not the usual C[0,1] or D[0,1] but R^N, the space of all real sequences and the metric used leads to a non-separable metric space.The main theorem is applied to a martingale obtained from a supercritical Galton-Watson branching process and as simple corollaries the already known central limit theorems for the Harris and Lotka-Nagaev estimators of the mean of the offspring distribution, are obtained.     

Large deviations for small noise diffusions with discontinuous statistics

This paper proves the large deviation principle for a class of non-degenerate small noise diffusions with discontinuous drift and with state-dependent diffusion matrix. The proof is based on a variational representation for functionals of strong solutions of stochastic differential equations and on weak convergence methods. Received: 26 May 1998 / Revised version: 24 February 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.     

Limit distributions for the maxima of stationary Gaussian processes

Let {X_n} be a stationary Gaussian sequence with E{X₀} = 0, {X²₀} = 1 and E{X₀X_n} = rⁿ_n Let c_n = (2ln n)^{$\text{built1}\text{2}$}, b_n = c_n? $\text{1}\text{2}$c^-1_n ln(4π ln n), and set M_n = max_{0 ?k?n}X_k. A classical result for independent normal random variables is that

$\text{P[c}{}_{\mathrm{n}}\text{(M}{}_{\mathrm{n}}\text{?b}{}_{\mathrm{n}}\text{)?x]→exp[-e}{}^{\mathrm{-x}}\text{] as n → ∞ for all x.}$

Berman has shown that (1) applies as well to dependent sequences provided r_nlnn = o(1). Suppose now that {r_n} is a convex correlation sequence satisfying r_n = o(1), (r_nlnn)^-1 is monotone for large n and o(1). Then

$\text{P[r}{}_{\mathrm{n}}{}^{\mathrm{<mtext>-1</mtext><mtext>2</mtext>}}\text{(M}{}_{\mathrm{n}}\text{? (1?r}{}_{\mathrm{n}}\text{)}{}^{\mathrm{<mtext>1</mtext><mtext>2</mtext>}}\text{b}{}_{\mathrm{n}}\text{)?x] → Ф(x)}$

for all x, where Ф is the normal distribution function. While the normal can thus be viewed as a second natural limit distribution for {M_n}, there are others. In particular, the limit distribution is given below when r_n is (sufficiently close to) γ/ln n. We further exhibit a collection of limit distributions which can arise when r_n decays to zero in a nonsmooth manner. Continuous parameter Gaussian processes are also considered. A modified version of (1) has been given by Pickands for some continuous processes which possess sufficient asymptotic independence properties. Under a weaker form of asymptotic independence, we obtain a version of (2).     

Almost sure Cesàro and Euler summability of sequences of dependent random variables

For a sequence of real random variables C _α-summability is shown under conditions on the variances of weighted sums, comprehending and sharpening strong laws of large numbers (SLLN) of Rademacher-Menchoff and Cramér-Leadbetter, respectively. Further an analogue of Kolmogorov’s criterion for the SLNN is established for E _α-summability under moment and multiplicativity conditions of 4th order, which allows one to weaken Chow’s independence assumption for identically distributed square integrable random variables. The simple tool is a composition of Cesàro-type and of Euler summability methods, respectively. Received: 12 June 2006, Revised: 14 May 2007     

Particle picture interpretation of some Gaussian processes related to fractional Brownian motion

We construct fractional Brownian motion, sub-fractional Brownian motion and negative sub-fractional Brownian motion by means of limiting procedures applied to some particle systems. These processes are obtained for full ranges of Hurst parameter.     

An action functional for Lévy Brownian motion

Stoll's construction [7] of Lévy Brownian motion l on ^d as a white noise integral is used to obtain an action functional I(x) defined for the surfaces x of l. This provides a Cameron-Martin formula for translation of Lévy measure , and also a large deviation principle for scaled Lévy measures . Proofs follow the lines of [2], where nonstandard techniques were used to give natural proofs of the corresponding results for Wiener measure.The research for this paper was supported partly by a grant from the SERC.     

Geodesic currents and Teichmüller space

Consider a hyperbolic surface X of infinite area. The Liouville map assigns to any quasiconformal deformation of X a measure on the space of geodesics of the universal covering X? of X. We show that the Liouville map is a homeomorphism from the Teichmüller space onto its image, and that the image is closed and unbounded. The set of asymptotic rays to consists of all bounded measured laminations on X. Hence, the set of projective bounded measured laminations is a natural boundary for . The action of the quasiconformal mapping class group on continuously extends to this boundary for .     

Law of large numbers and central limit theorem for Donsker's delta function of diffusions I

Limit theorems in the space of Hida distributions, similar to the law of large numbers and the central limit theorem, are shown for composites of the Dirac distribution with solutions of one-dimensional, non-degenerate Itô equations.Supported by National Science Foundation under grant DMS-9001859.Supported by the Louisiana Education Quality Support Fund under grant (91–93) RD-A-08.Supported by the Council on Research of Louisiana State University.     

Passage times of random walks and Lévy processes across power law boundaries

We establish an integral test involving only the distribution of the increments of a random walk S which determines whether limsup _n→∞(S_n/n^κ) is almost surely zero, finite or infinite when 1/2<κ<1 and a typical step in the random walk has zero mean. This completes the results of Kesten and Maller [9] concerning finiteness of one-sided passage times over power law boundaries, so that we now have quite explicit criteria for all values of κ≥0. The results, and those of [9], are also extended to Lévy processes.This work is partially supported by ARC Grant DP0210572.     

Frobenius-Perron operators and approximation of invariant measures for set-valued dynamical systems

A set-valued dynamical systemF on a Borel spaceX induces a set-valued operatorF onM(X) — the set of probability measures onX. We define arepresentation ofF, each of which induces an explicitly defined selection ofF; and use this to extend the notions of invariant measure and Frobenius-Perron operators to set-valued maps. We also extend a method ofS. Ulam to Markov finite approximations of invariant measures to the set-valued case and show how this leads to the approximation ofT-invariant measures for transformations , whereT corresponds to the closure of the graph of .     

On long runs of heads and tails II

In a string ofn independent coin tosses we consider the difference between the lengths of the longest blocks of consecutive heads resp. tails. A complete characterization of the a.s. limit properties of this quantity is proved.