共查询到20条相似文献,搜索用时 31 毫秒
1.
This paper considers the short- and long-memory linear processes with GARCH (1,1) noises. The functional limit distributions of the partial sum and the sample autocovariances are derived when the tail index α is in (0,2), equal to 2, and in (2,∞), respectively. The partial sum weakly converges to a functional of α-stable process when α<2 and converges to a functional of Brownian motion when α≥2. When the process is of short-memory and α<4, the autocovariances converge to functionals of α/2-stable processes; and if α≥4, they converge to functionals of Brownian motions. In contrast, when the process is of long-memory, depending on α and β (the parameter that characterizes the long-memory), the autocovariances converge to either (i) functionals of α/2-stable processes; (ii) Rosenblatt processes (indexed by β, 1/2<β<3/4); or (iii) functionals of Brownian motions. The rates of convergence in these limits depend on both the tail index α and whether or not the linear process is short- or long-memory. Our weak convergence is established on the space of càdlàg functions on [0,1] with either (i) the J1 or the M1 topology (Skorokhod, 1956); or (ii) the weaker form S topology (Jakubowski, 1997). Some statistical applications are also discussed. 相似文献
2.
In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X in a bounded κ-fat open set; if u is a positive harmonic function with respect to X in a bounded κ-fat open set D and h is a positive harmonic function in D vanishing on Dc, then the non-tangential limit of u/h exists almost everywhere with respect to the Martin-representing measure of h. 相似文献
3.
For α∈R, let pR(t,x,x) denote the diagonal of the transition density of the α-Bessel process in (0,1], killed at 0 and reflected at 1. As a function of x, if either α≥3 or α=1, then for t>0, the diagonal is nondecreasing. This monotonicity property fails if 1≠α<3. 相似文献
4.
We construct a sequence of processes that converges strongly to fractional Brownian motion uniformly on bounded intervals for any Hurst parameter H, and we derive a rate of convergence, which becomes better when H approaches 1/2. The construction is based on the Mandelbrot–van Ness stochastic integral representation of fractional Brownian motion and on a strong transport process approximation of Brownian motion. The objective of this method is to facilitate simulation. 相似文献
5.
An approximate martingale estimating function with an eigenfunction is proposed for an estimation problem about an unknown drift parameter for a one-dimensional diffusion process with small perturbed parameter ε from discrete time observations at n regularly spaced time points k/n, k=0,1,…,n. We show asymptotic efficiency of an M-estimator derived from the approximate martingale estimating function as ε→0 and n→∞ simultaneously. 相似文献
6.
We discuss joint temporal and contemporaneous aggregation of N independent copies of AR(1) process with random-coefficient a∈[0,1) when N and time scale n increase at different rate. Assuming that a has a density, regularly varying at a=1 with exponent −1<β<1, different joint limits of normalized aggregated partial sums are shown to exist when N1/(1+β)/n tends to (i) ∞, (ii) 0, (iii) 0<μ<∞. The limit process arising under (iii) admits a Poisson integral representation on (0,∞)×C(R) and enjoys ‘intermediate’ properties between fractional Brownian motion limit in (i) and sub-Gaussian limit in (ii). 相似文献
7.
Let ηt be a Poisson point process of intensity t≥1 on some state space Y and let f be a non-negative symmetric function on Yk for some k≥1. Applying f to all k-tuples of distinct points of ηt generates a point process ξt on the positive real half-axis. The scaling limit of ξt as t tends to infinity is shown to be a Poisson point process with explicitly known intensity measure. From this, a limit theorem for the m-th smallest point of ξt is concluded. This is strengthened by providing a rate of convergence. The technical background includes Wiener–Itô chaos decompositions and the Malliavin calculus of variations on the Poisson space as well as the Chen–Stein method for Poisson approximation. The general result is accompanied by a number of examples from geometric probability and stochastic geometry, such as k-flats, random polytopes, random geometric graphs and random simplices. They are obtained by combining the general limit theorem with tools from convex and integral geometry. 相似文献
8.
Quicksort on the fly returns the input of n reals in increasing natural order during the sorting process. Correctly normalized the running time up to returning the l-th smallest out of n seen as a process in l converges weakly to a limiting process with path in the space of cadlag functions. 相似文献
9.
We prove that if for a continuous map f on a compact metric space X, the chain recurrent set, R(f) has more than one chain component, then f does not satisfy the asymptotic average shadowing property. We also show that if a continuous map f on a compact metric space X has the asymptotic average shadowing property and if A is an attractor for f, then A is the single attractor for f and we have A=R(f). We also study diffeomorphisms with asymptotic average shadowing property and prove that if M is a compact manifold which is not finite with dimM=2, then the C1 interior of the set of all C1 diffeomorphisms with the asymptotic average shadowing property is characterized by the set of Ω-stable diffeomorphisms. 相似文献
10.
In this paper, we derive mixture representations for the reliability function of the conditional residual lifetime of a coherent system with n independent and identically distributed (i.i.d.) components under the condition that at least j and at most k−1 (j<k) components have failed by time t. Based on these mixture representations, we then discuss stochastic comparisons of the conditional residual lifetimes of two coherent systems with independent and identical components. 相似文献
11.
It is known that in the critical case the conditional least squares estimator (CLSE) of the offspring mean of a discrete time branching process with immigration is not asymptotically normal. If the offspring variance tends to zero, it is normal with normalization factor n2/3. We study a situation of its asymptotic normality in the case of non-degenerate offspring distribution for the process with time-dependent immigration, whose mean and variance vary regularly with non-negative exponents α and β, respectively. We prove that if β<1+2α, the CLSE is asymptotically normal with two different normalization factors and if β>1+2α, its limit distribution is not normal but can be expressed in terms of the distribution of certain functionals of the time-changed Wiener process. When β=1+2α the limit distribution depends on the behavior of the slowly varying parts of the mean and variance. 相似文献
12.
13.
We develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G-normal distributions. With this nonlinear distribution we can introduce our G-expectation under which the canonical process is a multi-dimensional G-Brownian motion. We then establish the related stochastic calculus, especially stochastic integrals of Itô’s type with respect to our G-Brownian motion, and derive the related Itô’s formula. We have also obtained the existence and uniqueness of stochastic differential equations under our G-expectation. 相似文献
14.
It is shown that if a sequence of open n-sets Dk increases to an open n-set D then reflected stable processes in Dk converge weakly to the reflected stable process in D for every starting point x in D. The same result holds for censored α-stable processes for every x in D if D and Dk satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains. 相似文献
15.
In this note we study distance-regular graphs with a small number of vertices compared to the valency. We show that for a given α>2, there are finitely many distance-regular graphs Γ with valency k, diameter D≥3 and v vertices satisfying v≤αk unless (D=3 and Γ is imprimitive) or (D=4 and Γ is antipodal and bipartite). We also show, as a consequence of this result, that there are finitely many distance-regular graphs with valency k≥3, diameter D≥3 and c2≥εk for a given 0<ε<1 unless (D=3 and Γ is imprimitive) or (D=4 and Γ is antipodal and bipartite). 相似文献
16.
Rolando Magnanini Shigeru Sakaguchi 《Annales de l'Institut Henri Poincaré (C) Analyse Non Linéaire》2010
We consider nonlinear diffusion of some substance in a container (not necessarily bounded) with bounded boundary of class C2. Suppose that, initially, the container is empty and, at all times, the substance at its boundary is kept at density 1. We show that, if the container contains a proper C2-subdomain on whose boundary the substance has constant density at each given time, then the boundary of the container must be a sphere. We also consider nonlinear diffusion in the whole RN of some substance whose density is initially a characteristic function of the complement of a domain with bounded C2 boundary, and obtain similar results. These results are also extended to the heat flow in the sphere SN and the hyperbolic space HN. 相似文献
17.
The two-parameter Poisson–Dirichlet distribution is the law of a sequence of decreasing nonnegative random variables with total sum one. It can be constructed from stable and gamma subordinators with the two parameters, α and θ, corresponding to the stable component and the gamma component respectively. The moderate deviation principle is established for the distribution when θ approaches infinity, and the large deviation principle is established when both α and θ approach zero. 相似文献
18.
We give functional limit theorems for the fluctuations of the rescaled occupation time process of a critical branching particle system in Rd with symmetric α-stable motion in the cases of critical and large dimensions, d=2α and d>2α. In a previous paper [T. Bojdecki, L.G. Gorostiza, A. Talarczyk, Limit theorems for occupation time fluctuations of branching systems I: long-range dependence, Stochastic Process. Appl., this issue.] we treated the case of intermediate dimensions, α<d<2α, which leads to a long-range dependence limit process. In contrast, in the present cases the limits are generalized Wiener processes. We use the same space–time random field method of the previous paper, the main difference being that now the tightness requires a new approach and the proofs are more difficult. We also give analogous results for the system without branching in the cases d=α and d>α. 相似文献
19.
We derive a Molchan–Golosov-type integral transform which changes fractional Brownian motion of arbitrary Hurst index K into fractional Brownian motion of index H. Integration is carried out over [0,t], t>0. The formula is derived in the time domain. Based on this transform, we construct a prelimit which converges in L2(P)-sense to an analogous, already known Mandelbrot–Van Ness-type integral transform, where integration is over (−∞,t], t>0. 相似文献