Asymptotic expansions forL- andR-statistics under alternatives

In this paper we establish asymptotic expansions (a.e.) under alternatives for the distribution functions of sums of independent identically distributed random variables (i.i.d.r.v.'s.), linear combinations of order statistics, and one-sample rank statistics (L- and R-statistics). The general Lemma from [V. E. Bening,Bull. Moscow State Univ., Ser. 15, 2 36–44 (1994)] is applied to these statistics. Section 1 contains the statement of the theorem, in Sec. 2 the theorems is proved; its proof involves four auxiliary lemmas, also contained in Sec. 2. Finally Sec. 3 contains the proofs of these lemmas. Proceedings of the Seminar on Stability Problems for Stochastic Models, Moscow, 1993.     

On the rate of convergence ofL- andR-statistics under alternatives

Asymptotic distributions of test statistics under alternatives are important from the point of view of their power properties. When the limiting distributions of test statistics are specified under the hypothesis in a certain sense, LeCam's third lemma ([4], Chapter 6) enables one to obtain their limiting distributions under close alternatives. In this paper we generalize LeCam's third lemma by using the rate of convergence in the case of asymptotically efficient test statistics. A general lemma is proved which is specified to linear combinations of order statistics (L-statistics) and linear rank statistics (R-statistics). Edgeworth-type asymptotic expansions for these statistics under alternatives are considered in [3]. Supported by the Russian Foundation for Fundamental Research (grant No. 93-01-01446). Proceedings of the XVI Seminar on Stability Problems for Stochastic Models, Part I, Eger, Hungary, 1994.     

Asymptotic Comparisons of Several Variance Estimators and their Effects for Studentizations

In this paper we obtain asymptotic representations of several variance estimators of U-statistics and study their effects for studentizations via Edgeworth expansions. Jackknife, unbiased and Sen's variance estimators are investigated up to the order o^p(n^-1). Substituting these estimators to studentized U-statistics, the Edgeworth expansions with remainder term o(n^-1) are established and inverting the expansions, the effects on confidence intervals are discussed theoretically. We also show that Hinkley's corrected jackknife variance estimator is asymptotically equivalent to the unbiased variance estimator up to the order o^p(n^-1).     

On some solutions of the extended confluent hypergeometric differential equation

The extended confluent hypergeometric equation is defined (Section 1) as a linear second-order differential equation with (Section 2) a regular singularity at the origin and an (Section 3) irregular singularity of arbitrary degree M+1 at infinity; the original confluent hypergeometric equation is the particular case M=0, whereas the case M=1 is reducible (Section 3.2) to the former. Six types of solutions of the extended confluent hypergeometric equation of degree M, are obtained viz.: (i) functions of the first kind, i.e., regular ascending power series expansions, with infinite radius of convergence about the origin, for all values of the coefficients and degree M (Section 2.1); (ii) functions of the second kind, i.e. power series expansions with a logarithmic singularity, at the origin, for some values of the coefficients and all M (Section 2.2): (iii) only one asymptotic power series expansion exists, (Section 2.3) for M=0; (iv) concerning normal integrals (Section 3.2), valid as asymptotic expansions in the neighbourhood of the point-at-infinity, one exists for degree zero M=0 and two for degree unity M=1; (v) for degree greater than one M>1, two Laurent series expansions (Section 3.3) valid in the neighbourhood of infinity are obtained; (vi) an integral representation (Section 4) using the complex Laplace transform (Section 4.1) is obtained for (Sections 4.2–4.3) degree unity or zero M⩽1, using paths in a complex cut-plane (Fig. 1).     

检验的渐近展开和功效损失

本文研究统计假设检验问题中的渐近展开和功效损失,给出一阶渐近展开,二阶效率和功效损失,并且研究了建立在L－,R－,U－统计量及组合L－统计量上的检验问题。     

On the convergence of expansions in polyharmonic eigenfunctions

We consider expansions of smooth, nonperiodic functions defined on compact intervals in eigenfunctions of polyharmonic operators equipped with homogeneous Neumann boundary conditions. Having determined asymptotic expressions for both the eigenvalues and eigenfunctions of these operators, we demonstrate how these results can be used in the efficient computation of expansions. Next, we consider the convergence. We establish the key advantage of such expansions over classical Fourier series–namely, both faster and higher-order convergence–and provide a full asymptotic expansion for the error incurred by the truncated expansion. Finally, we derive conditions that completely determine the convergence rate.     

Optimal convergence rate for Yosida approximations of bounded holomorphic semigroups

In this paper, we obtain optimal bounds for convergence rate for Yosida approximations of bounded holomorphic semigroups. We also provide asymptotic expansions for semigroups in terms of Yosida approximations and obtain optimal error bounds for these expansions.     

Some Special Tauberian Theorems for Fourier Type Integrals and Eigenfunction Expansions of Sturm-Liouville Equations on the Whole Line

We offer a new proof of a special Tauberian theorem for Fourier type integrals. This Tauberian theorem was already considered by us in the papers [1] and [2]. The idea of our initial proof was simple, but the details were complicated because we used Bochner's definition of generalized Fourier transform for functions of polynomial growth. In the present paper we work with L. Schwartz's generalization. This leads to significant simplification. The paper consists of six sections. In Section 1 we establish an integral representation of functions of polynomial growth (subjected to some Tauberian conditions), in Section 2 we prove our main Tauberian theorems (Theorems 2.1 and 2.2.), using the integral representation of Section 1, in Section 3 we study the asymptotic behavior of M. Riesz's means of functions of polynomial growth, in Sections 4 and 5 we apply our Tauberian theorems to the problem of equiconvergence of eigenfunction expansions of Sturm-Liouville equations and expansion in ordinary Fourier integrals, and in Section 6 we compare our general equiconvergence theorems of Sections 4 and 5 with the well known theorems on eigenfunction expansions in classical orthogonal polynomials. In some sense this paper is a re-made survey of our results obtained during the period 1953-58. Another proof of our Tauberian theorem and some generalization can be found in the papers [3] and [4].     

A note on testing hypotheses for stationary processes in the frequency domain

In a recent paper, Eichler (2008) [11] considered a class of non- and semiparametric hypotheses in multivariate stationary processes, which are characterized by a functional of the spectral density matrix. The corresponding statistics are obtained using kernel estimates for the spectral distribution and are asymptotically normally distributed under the null hypothesis and local alternatives. In this paper, we derive the asymptotic properties of these test statistics under fixed alternatives. In particular, we also show weak convergence but with a different rate compared to the null hypothesis. We also discuss potential statistical applications of the asymptotic theory by means of a small simulation study.     

Asymptotic property and convergence estimation for the eigenelements of the Laplace operator

In this article, we provide a rigorous derivation of asymptotic expansions for eigenfunctions and we establish convergence estimation for both eigenvalues and eigenfunctions of the Laplacian. We address the integral equation method to investigate the interplay between the geometry, boundary conditions and spectral properties of the eigenelements of the Laplace operator under deformation of the domain. The asymptotic formula and convergence estimation are tested by numerical examples.     

关于自助 U-统计量的渐近性质

一、引言设 X_1,X_2,…,X_n 为来自分布 F 的独立随机变量,h(x_1,x_2)为关于两个变元 x_1,x_2对称的 Borel 可测函数。设 Eh(X_1,X_2)=θ,那么下面定义的 U-统计量     

Convergence in L space for the homogenization problems of elliptic and parabolic equations in the plane

We study the convergence rate of an asymptotic expansion for the elliptic and parabolic operators with rapidly oscillating coefficients. First we propose homogenized expansions which are convolution forms of Green function and given force term of elliptic equation. Then, using local L^p-theory, the growth rate of the perturbation of Green function is found. From the representation of elliptic solution by Green function, we estimate the convergence rate in L^p space of the homogenized expansions to the exact solution. Finally, we consider L2(0,T:H1(Ω)) or L∞(Ω×(0,T)) convergence rate of the first order approximation for parabolic homogenization problems.     

Central limit asymptotics for shifts of finite type

We study the rate of convergence and asymptotic expansions in the central limit theorem for the class of Hölder continuous functions on a shift of finite type endowed with a stationary equilibrium state. It is shown that the rate of convergence in the theorem isO(n ^?1/2) and when the function defines a non-lattice distribution an asymptotic expansion to the order ofo(n ^?1/2) is given. Higher-order expansions can be obtained for a subclass of functions. We also make a remark on the central limit theorem for (closed) orbital measures.     

随机足标U-统计量逼近正态的阶

随机变量随机和的收敛性问题无论在理论上还是实用上都是有重要意义的。关于随机和的中心极限定理已有相当一般的结果。近十年来又有一系列讨论收敛速度的文章(如Landers和Rogge[1],Sreehari[2]和Prakasa Rao[3])。关于U-统计量,它的随机中心极限定理已在Sproule[4]中给出。近年采对U-统计量的Berry-Esseen不等式也有相当深入的结果(如赵林城[5],林正炎[6])。本文进一步讨论U-统计量的随机中心极限定理的收敛速度。     

Numerical methods and asymptotic error expansions for the Emden-Fowler equations

In the present paper we analyse a numerical method for computing the solution of some boundary-value problems for the Emden-Fowler equations. The differential equations are discretized by a finite-difference method and we derive asymptotic expansions for the discretization error. Based on these asymptotic expansions, we use an extrapolation algorithm to accelerate the convergence of the numerical method.     

Continuous-Time Approximation of Short-Term Interest Rates in Generalized Ho-Lee Framework

In this paper, we study the weak convergence of short-term interest rate processes in multinomial (one-factor) and squared binomial (two-factor) generalizations of the Ho-Lee framework. We show that, under appropriate conditions on the rate of convergence of state probabilities and volatility parameter, in the one-factor case, the spot interest rate process converges to either Wiener process or superposition of Poisson processes. In the two-factor case, the limit process can have the form of the superposition of Wiener and Poisson components. The asymptotic results are proved under risk-neutral probability and local alternatives. Research is supported by the Lithuanian State Science and Studies Foundation, program “Mathematical Models of Lithuanian Economy for Forecasting of the Macroeconomic Processes” (registration No C-03004). __________ Translated from Lietuvos Matematikos Rinkinys, Vol. 45, No. 3, pp. 287–314, July–September, 2005.     

Asymptotic behavior of compound nonordinary Cox processes with nonzero means

We present necessary and sufficient conditions for the weak convergence of compound, nonordinary, doubly stochastic Poisson processes (also called compound nonordinary Cox processes) when the jumps have nonzero means and finite variances, describe the class of limit laws, give the convergence rate estimate, and construct the asymptotic expansions for the distributions of compound nonordinary Cox processes and the estimates for their concentration functions. Supported by the Russian Foundation for Fundamental Research (grant Nos. 96-01-01919 and 97-01-00271) and by the Russian Humanitarian Scientific Foundation (grant No. 97-02-02235). Proceedings of the Seminar on Stability Problems for Stochastic Models, Hajdúszoboszló, Hungary, 1997, Part I.     

Asymptotic expansions for degenerate parabolic equations

We prove asymptotic convergence results for some analytical expansions of solutions to degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders”, and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case.     

An Exponential Inequality for U-Statistics Under Mixing Conditions

The family of U-statistics plays a fundamental role in statistics. This paper proves a novel exponential inequality for U-statistics under the time series setting. Explicit mixing conditions are given for guaranteeing fast convergence, the bound proves to be analogous to the one under independence, and extension to non-stationary time series is straightforward. The proof relies on a novel decomposition of U-statistics via exploiting the temporal correlatedness structure. Such results are of interest in many fields where high-dimensional time series data are present. In particular, applications to high-dimensional time series inference are discussed.     

The Bergström–Grigelionis asymptotic expansions

We consider a triangular array of independent identically distributed discrete random variables. We assume that the probability distribution of sums satisfies the necessary and sufficient conditions for the weak convergence to the compound Poisson distribution. The first known result (the case where random variables take only integer values) is due to B. Grigelionis, who estimated the convergence rate to the compound Poisson distribution. We extend the summation of random variables by including the variables taking discrete values and by using the Grigelionis ideas to obtain “lengthy” asymptotic expansions. These expansions are based on the well-known Bergstrom identity [H. Bergstrom, On asymptotic expansions of probability functions, Scand. Actuarial J., 34(1):1–33, 1951].