Moderate and Small Deviations for the Ranges of One-Dimensional Random Walks

We establish moderate and small deviations for the ranges of integer valued random walks. Our theorems apply to the limsup and the liminf laws of the iterated logarithm. We establish moderate and small deviations for the ranges of integer valued random walks. Our theorems apply to the limsup and the liminf laws of the iterated logarithm.     

Almost-sure path properties of fractional Brownian sheet

The almost sure sample function behavior of the vector-valued fractional Brownian sheet is investigated. In particular, the global and the local moduli of continuity of the sample functions are studied. These results give precise information about the continuity and the oscillation behavior of the sample functions.     

随机删失场合半参数回归模型参数估计的重对数律‘

本文探讨了随机删失场合半参数回归模型的参数估计问题.考虑半参数回归模型Y =X}}3 + g(T)十。，其中(X,T)’为取值于Kp X [0,1〕上的随机向量，月为1'维未知参数向量，8为定义于【0.1]上的未知函数，。为随机误差，Ee = 0 . Eez = az }。未知，且(X ,T)与。独立，).被一个与之独立的随机变量V所截.此时仅能观察到:Z=min(Y,V),o=1(Y簇V)，参数I3,az的估计量禽及公 z可综合非参数的权函数估计法与参数的最小二乘估计方法得到.本文对核函数的情形得到了念及ar z的精确收敛速度即重对数律.     

A Glivenko-Cantelli Theorem and Strong Laws for L-Statistics

We prove a weighted Glivenko-Cantelli theorem and apply it to study the rate of convergence in the strong law for L-statistics.     

Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

   Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature.     

Estimation of a quantile in some nonstandard cases

A necessary condition for the asymptotic normality of the sample quantile estimator isf(Q(p))=F(Q(p))>0, whereQ(p) is thep-th quantile of the distribution functionF(x). In this paper, we estimate a quantile by a kernel quantile estimator when this condition is violated. We have shown that the kernel quantile estimator is asymptotically normal in some nonstandard cases. The optimal convergence rate of the mean squared error for the kernel estimator is obtained with respect to the asymptotically optimal bandwidth. A law of the iterated logarithm is also established.This research was partially supported by the new faculty award from the University of Oregon.     

A law of the iterated logarithm for processes with independent increments

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Small ball probabilities for a Wiener process under weighted sup-norms,with an application to the supremum of bessel local times

LetR be the radial part of ad-dimensional Wiener process, starting from 0. In this paper, small ball probabilities are evaluated for sup_0<11(t ^–p R(t)) and sup _t 0(e ^–1 R(t)), withp[0, 1/2]. Chung's law of the iterated logarithm is established for the supremum of the local times of a two-dimensional Bessel process.     

One-Step Generalized Estimating Equations With Large Cluster Sizes

Medical studies increasingly involve a large sample of independent clusters, where the cluster sizes are also large. Our motivating example from the 2010 Nationwide Inpatient Sample (NIS) has 8,001,068 patients and 1049 clusters, with average cluster size of 7627. Consistent parameter estimates can be obtained naively assuming independence, which are inefficient when the intra-cluster correlation (ICC) is high. Efficient generalized estimating equations (GEE) incorporate the ICC and sum all pairs of observations within a cluster when estimating the ICC. For the 2010 NIS, there are 92.6 billion pairs of observations, making summation of pairs computationally prohibitive. We propose a one-step GEE estimator that (1) matches the asymptotic efficiency of the fully iterated GEE; (2) uses a simpler formula to estimate the ICC that avoids summing over all pairs; and (3) completely avoids matrix multiplications and inversions. These three features make the proposed estimator much less computationally intensive, especially with large cluster sizes. A unique contribution of this article is that it expresses the GEE estimating equations incorporating the ICC as a simple sum of vectors and scalars.     

Comment on “Extending Hirshfeld‐I to bulk and periodic materials”

In recent years, several methods have been developed that partition the electron density among atoms using spherically symmetric atomic weights. D. E. P. Vanpoucke, P. Bultinck, and I. Van Driessche (J. Comput. Chem. 2012, doi: 10.1002/jcc.23088) recently reported a periodic implementation of the Hirshfeld‐I method that uses a combination of Becke‐style and uniform integration grids and modified atomic reference densities to compute net atomic charges in periodic materials. Herein, this method is discussed in the context of earlier periodic implementations of the Hirshfeld‐I method, the Iterated Stockholder Atoms method, and the density derived electrostatic and chemical method.