On Uniform Laws of Large Numbers for Ergodic Diffusions and Consistency of Estimators

Consider a regular diffusion process X with finite speed measure m. Denote the normalized speed measure by μ. We prove that the uniform law of large numbers holds if the class has an envelope function that is μ-integrable, or if is bounded in L _p(μ) for some p>1. In contrast with uniform laws of large numbers for i.i.d. random variables, we do not need conditions on the ‘size’ of the class in terms of bracketing or covering numbers. The result is a consequence of a number of asymptotic properties of diffusion local time that we derive. We apply our abstract results to improve consistency results for the local time estimator (LTE) and to prove consistency for a class of simple M-estimators. This revised version was published online in June 2006 with corrections to the Cover Date.     

Second-Order Efficient Test for Inhomogeneous Poisson Processes

We observe a realization X ⁽ⁿ⁾ of a Poisson process on the set with intensity function depending on the unknown real parameter . Based on X ⁽ⁿ⁾ we test simple null hypothesis against one sided alternative for given . We improve the level of the well-known locally asymptotically uniformly most powerful (LAUMP) test by using the Edgeworth type expansion for stochastic integral. We show that the improved test is second-order efficient under certain regularity conditions.      

The Law of Iterated Logarithm of Rescaled Range Statistics for AR（1） Model

Let {Xn,n ≥ 0} be an AR（1） process. Let Q（n） be the rescaled range statistic, or the R/S statistic for {Xn} which is given by （max1≤k≤n（∑j=1^k（Xj - ^-Xn）） - min 1≤k≤n（∑j=1^k（ Xj - ^Xn ））） /（n ^-1∑j=1^n（Xj -^-Xn）^2）^1/2 where ^-Xn = n^-1 ∑j=1^nXj. In this paper we show a law of iterated logarithm for rescaled range statistics Q（n） for AR（1） model.     

Short-time Asymptotics of the Heat Kernel on Bounded Domain with Piecewise Smooth Boundary Conditions and Its Applications to an Ideal Gas

The asymptotic expansion of the heat kernel Θ(t)=sum from ∞to j=1 exp(-tλ_j) where {λ_j}_(j=1)~∞are the eigen-values of the negative Laplacian -Δ_n=-sum from n to k=1((?))~2 in R~n(n=2 or 3) is studied for short-time t for a generalbounded domain Ωwith a smooth boundary (?)Ω.In this paper,we consider the case of a finite number of theDirichlet conditions φ=0 on Γ_i (i=1,...,J) and the Neumann conditions (?)=0 on Γ_i (i=J 1,...,k) andthe Robin conditions ((?) γ_i)φ=0 on Γ_i (i=k 1,...,m) where γ_i are piecewise smooth positive impedancefunctions,such that (?)Ωconsists of a finite number of piecewise smooth components Γ_i(i=1,...,m) where(?)Ω=(?)Γ_i.We construct the required asymptotics in the form of a power series over t.The senior coefficients inthis series are specified as functionals of the geometric shape of the domain Ω.This result is applied to calculatethe one-particle partition function of a“special ideal gas”,i.e.,the set of non-interacting particles set up in abox with Dirichlet,Neumann and Robin boundary conditions for the appropriate wave function.Calculationof the thermodynamic quantities for the ideal gas such as the internal energy,pressure and specific heat revealsthat these quantities alone are incapable of distinguishing between two different shapes of the domain.Thisconclusion seems to be intuitively clear because it is based on a limited information given by a one-particlepartition function;nevertheless,its formal theoretical motivation is of some interest.     

Discrete Periodic Sampling with Jitter and Almost Periodically Correlated Processes

The zero-mean process is said to be almost periodically correlated whenever its shifted covariance kernel is almost periodic in t uniformly with respect to . Then it admits a Fourier–Bohr decomposition: . This paper deals with the estimation of the spectral covariance a(λ,τ) from a discrete time observation of the process , when jitter and delay phenomena are present in conjunction with periodic sampling. Under mixing conditions, we establish the consistency and the asymptotic normality of empirical estimators as the sampling time step tends to 0 and the sampling period tends to infinity.      

Asymptotic Expansions of the Heat Kernel of the Laplacian for General Annular Bounded Domains with Robin Boundary Conditions：Further Results

The asymptotic expansions of the trace of the heat kernel θ(t)=∑^∞v=1^exp(-tλv) for small positive t,where {λv} are the eigenvalues of the negative Laplacian -△n=-∑^ni=1(D/Dx^1)^2 in R^2(n=2 or 3),are studied for a general annular bounded domain Ω with a smooth inner boundary DΩ1 and a smooth outer boundary DΩ2,where a finite number of piecewise smooth Robin boundary conditions(D/Dnj γh)Ф=0 on the components Гj(j= 1,...,m) of (DΩ1 and on the components Гj (j=k 1,…,m) of of DΩ2 are considered such that DΩl=U^kj=lГj and DΩ2= U^m=k 1Гj and where the coefficients γj(j=1,...,m) are piecewise smooth positive functions. Some applications of θ(t) for an ideal gas enclosed in the general annular bounded domain Ω are given. Further results are also obtained.     

Remarks on Estimation Problem for Stationary Processes in Continuous Time

The problem of estimating of the law (in the space of the paths) and the common marginal distribution for a strictly stationary ergodic process X is discussed. We show, in particular, that:(1) The empirical measure

MODIFIED APPROXIMATE PROXIMAL POINT ALGORITHMS FOR FINDING ROOTS OF MAXIMAL MONOTONE OPERATORS

§1　Introduction and preliminariesA set T Rn×Rnis called a monotone operator on Rn,if T has the property(x,y) ,(x′,y′)∈T 〈x -x′,y -y′〉≥0 ,where〈·,·〉denotes the inner product on Rn.T is maximal if(considered as a graph) itis not strictly contained in any other monotone operator on Rn.It is well known that thetheory of maximal monotone operators plays an important role in the study of convexprogramming and variational inequalities since itcan provide a powerful general framework…     

Stability results for scattered‐data interpolation on Euclidean spheres

Let denote the unit sphere in and the geodesic distance in . A spherical‐basis function approximant is a function of the form , where are real constants, is a fixed function, and is a set of distinct points in . It is known that if is a strictly positive definite function in , then the interpolation matrix is positive definite, hence invertible, for every choice of distinct points and every positive integer M. The paper studies a salient subclass of such functions , and provides stability estimates for the associated interpolation matrices. This revised version was published online in June 2006 with corrections to the Cover Date.     

An Application of U(g)-bimodules to Representation Theory of Affine Lie Algebras

Let be the affine Lie algebra associated to the simple finite-dimensional Lie algebra . We consider the tensor product of the loop -module associated to the irreducible finite-dimensional -module V() and the irreducible highest weight -module L _k,. Then L _k, can be viewed as an irreducible module for the vertex operator algebra M _k,0. Let A(L _k,) be the corresponding -bimodule. We prove that if the -module is zero, then the -module is irreducible. As an example, we apply this result on integrable representations for affine Lie algebras.     

On a Poincaré-type Inequality for Energy Forms in L p

We consider Dirichlet spaces ( ) in L ² and more general energy forms in L ^p , . For the latter we introduce the notions of an extended ’Dirichlet’ space and a transient form. Under the assumption that , resp. , are compactly embedded in L ², resp. L ^p , we prove a Poincaré inequality for transient (Dirichlet) forms. If both and its adjoint are sub-Markovian semigroups, we show that the transience of T _t is independent of ) and that it is implied by the transience of the energy form of and the form belonging to .     

Efficient Estimation in a Semiparametric Autoregressive Model

This paper constructs efficient estimates of the parameter in the semiparametric auto-regression model ,with a smooth function and independent and identically distributed innovations _t with zero means and finite variances. This will be done under the assumptions that and that the errors have a density with finite Fisher information for location. The former condition guarantees that the process can be chosen to be stationary and ergodic.     

On estimation and detection of a function of infinitely many variables

We observe an unknown function of infinitely many variables f = f(t), t = (t₁, ..., t_n, ... ) ∈, [0, 1]^∞, in the Gaussian white noise of level ε > 0. We suppose that in each variable there exists a 1-periodical σ-smooth extension of the function f(t) to IR ^∞. Taking a quantity σ > 0 and a positive sequence a = {a_k}, we consider the set that consists of functions f such that . We consider the cases a_k = k^α and a_k = exp(λk), α > 0, λ > 0. We would like to estimate a function f ∈ or to test the null hypothesis H₀: f = 0 against the alternatives f ∈ , where the set consists of functions f ∈ such that ∥f∥₂ ≥ r. In the estimation problem, we obtain the asymptotics (as ε → 0) of the minimax quadratic risk. In the detection problem, we study the sharp asymptotics of minimax separation rates f _ɛ ^* that provide distiguishability in the problems. Bibliography: 12 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 328, 2005, pp. 91–113.     

The area of an exponential random walk and partial sums of uniform order statistics

Let S_i be a random walk with standard exponential increments. The sum ∑ _i=1 ^k S_i is called the k-step area of the walk. The random variable ∑ _i=1 ^k S_i plays an important role in the study of the so-called one-dimensional sticky particles model. We find the distribution of this variable and prove that

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 .     

The 3D Inverse Problem of the Wave Equation for a General Multi-connected Vibrating Membrane with a Finite Number of Piecewise Smooth Boundary Conditions

The trace of the wave kernel μ（t） =∑ω=1^∞ exp（-itEω^1/2）, where {Eω}ω^∞=1 are the eigenvalues of the negative Laplacian -△↓2 = -∑k^3=1 （δ/δxk）^2 in the （x^1, x^2, x^3）-space, is studied for a variety of bounded domains, where -∞ 〈 t 〈 ∞ and i= √-1. The dependence of μ （t） on the connectivity of bounded domains and the Dirichlet, Neumann and Robin boundary conditions are analyzed. Particular attention is given for a multi-connected vibrating membrane Ω in Ra surrounded by simply connected bounded domains Ω j with smooth bounding surfaces S j （j = 1,……, n）, where a finite number of piecewise smooth Dirichlet, Neumann and Robin boundary conditions on the piecewise smooth components Si^＊ （i = 1 ＋ kj-1,……, kj） of the bounding surfaces S j are considered, such that S j = Ui-1＋kj-1^kj Si^＊, where k0=0. The basic problem is to extract information on the geometry Ω by using the wave equation approach from a complete knowledge of its eigenvalues. Some geometrical quantities of Ω （e.g. the volume, the surface area, the mean curvuture and the Gaussian curvature） are determined from the asymptotic expansion ofexpansion of μ（t） for small │t│.     

On Measure-Valued Processes Generated by Differential Equations

We study the problem of representation of a homogeneous semigroup { _t } _{t 0} of transformations of probability measures on in the form where satisfies a differential equation of a special form dependent on the measure . We give necessary and sufficient conditions for this representation.     

Fundamental Solution of the Anisotropic Porous Medium Equation

We establish the existence of fundamental solutions for the anisotropic porous medium equation, ut = ∑n i=1（u^mi）xixi in R^n × （O,∞）, where m1,m2,..., and mn, are positive constants satisfying min1≤i≤n{mi}≤ 1, ∑i^n=1 mi 〉 n - 2, and max1≤i≤n{mi} ≤1/n（2 ＋ ∑i^n=1 mi）.     

Metrics in the sphere of a C*-module

Given a unital C*-algebra and a right C*-module over , we consider the problem of finding short smooth curves in the sphere = {x ∈ : 〈x, x〉 = 1}. Curves in are measured considering the Finsler metric which consists of the norm of at each tangent space of . The initial value problem is solved, for the case when is a von Neumann algebra and is selfdual: for any element x ₀ ∈ and any tangent vector ν at x ₀, there exists a curve γ(t) = e ^tZ (x ₀), Z ∈ , Z* = −Z and ∥Z∥ ≤ π, such that γ(0) = x ₀ and (0) = ν, which is minimizing along its path for t ∈ [0, 1]. The existence of such Z is linked to the extension problem of selfadjoint operators. Such minimal curves need not be unique. Also we consider the boundary value problem: given x ₀, x ₁ ∈ , find a curve of minimal length which joins them. We give several partial answers to this question. For instance, let us denote by f ₀ the selfadjoint projection I − x ₀ ⊗ x ₀, if the algebra f ₀ f ₀ is finite dimensional, then there exists a curve γ joining x ₀ and x ₁, which is minimizing along its path.