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Saddlepoint Approximation for Moments of Random Variables
Saddlepoint Approximation Higher moments Sums of i.i.d.ran- dom variables
2016/1/19
In this paper we introduce a saddlepoint approximation method for higher-order moments like E(S − a) m+ ,a > 0, where the random variable S in these expectations could be a single random variabl...
Mixing Coefficients Between Discrete and Real Random Variables: Computation and Properties
Mixing Coefficients Between Discrete Real Random Variables Computation Properties
2012/9/17
In this paper we study the problem of estimating the mixing coefficients between two random vari-ables. Three different mixing coefficients are studied,namely alpha-mixing, beta-mixing and phi-mixing ...
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
convolution istribution functions
2011/7/5
We propose a new algorithm to compute numerically the distribution function of the sum of $d$ dependent, non-negative random variables with given joint distribution.
Moments of Sums of Independent and Identically Distributed Random Variables
iid random variables sums of iid random variables
2011/6/20
Let X1,X2, . . . ,Xn be independent and identically distributed random
variables. We present an analytic method for computing the
moments of Sn =
Pn
i=1 Xi. The method is illustrated with a simple...
On the Regular Variation of Ratios of Jointly Frechet Random Variables
Regular variation multivariate Frechet distribution spectral
2011/3/18
We provide a necessary and sufficient condition for the ratio of two jointly alpha-Frechet random variables to be regularly varying. This condition is based on the spectral representation of the joint...
Uniform error bounds for a continuous approximation of non-negative random variables
gamma distribution Laplace transform phase-type distribution
2010/10/19
In this work, we deal with approximations for distribution functions of non-negative random variables. More specifically, we construct continuous approximants using an acceleration technique over a w...
A new method for obtaining sharp compound Poisson approximation error estimates for sums of locally dependent random variables
compound Poisson approximation coupling inequality law of small numbers
2010/10/19
Let $X_1,X_2,...,X_n$ be a sequence of independent or locally dependent random variables taking values in $\mathbb{Z}_+$. In this paper, we derive sharp bounds, via a new probabilistic method, for the...
Exact lower bounds on the exponential moments of Winsorized and truncated random variables
exponential moments exact lower bounds Win-sorization truncation large deviations nonuniform Berry-Esseen bounds
2010/3/9
Exact lower bounds on the exponential moments of min(y,X)
and X I {X < y} are provided given the first two moments of a random
variable X. These bounds are useful in work on large deviations probabi...
A functional limit theorem for partial sums of dependent random variables with infinite variance
convergence in distribution functional limit the-orem GARCH mixing moving average partial sum point processes reg-ular variation
2010/3/9
Under an appropriate regular variation condition, the affinely
normalized partial sums of a sequence of independent and identically dis-
tributed random variables converges weakly to a non-Gaussian ...
On the convergence rate in the central limit theorem of some functions of the average of independent random variables
the convergence rate the central limit theorem independent random variables
2009/9/24
This note gives the convergence rate in the central
limit theorem and the random central limit theorem of some
functions of the average of independent random variables.
On the limit behaviour of random sums of independent random variables
the limit behaviour random sums independent random variables
2009/9/24
On the limit behaviour of random sums of independent random variables。
Notions of independence for random variables。
Conditioned limit theorems for functions of the average of i.i.d. random variables
Conditioned limit theorems i.i.d. random variables
2009/9/24
Conditioned limit theorems for functions of the average of i.i.d. random variables。
Weak convergence of random sums of infima of independent random variables
Weak convergence random sums independent random variables
2009/9/24
Weak convergence of random sums of infima of independent random variables。
Convergence rates in the strong law of large numbers for sums of random variables with multidimensional indices
Convergence rates random variables with multidimensional indices
2009/9/23
Convergence rates in the strong law of large numbers for sums of random variables with multidimensional indices。