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Limit theorems for moving averages of discretized processes plus noise
Central limit theorem high-frequency observations microstructure noise
2010/10/14
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approac...
On the convergence of weighted averages of random variables arising from a finite Markov chain
the convergence of weighted averages random variables a finite Markov chain
2009/9/23
On the convergence of weighted averages of random variables arising from a finite Markov chain。
Convergence of weighted averages of associated random variables
Convergence of weighted averages associated random variables
2009/9/22
We study the almost sure convergence of weighted
averages of associated and negatively associated random variables.
Our theorems extend and generalize strong laws of large numbers for
positively an...
Ergodic averages for monotone functions using upper and lower dominating processes
Markov chain Monte Carlo Mixture model Monotonocity Random walk Spatial models Upper and lower dominating processes
2009/9/22
We show how the mean of a monotone function (dened on a state
space equipped with a partial ordering) can be estimated, using ergodic averages
calculated from upper and lower dominating processes of...
On the Values of Optimal Stopping Problems for Generalized Averages of Discrete Random Variables
Optimal Stopping Problems Generalized Averages Discrete Random Variables
2009/9/17
On the Values of Optimal Stopping Problems for Generalized Averages of Discrete Random Variables。
Extremes of periodic moving averages of random variables with regularly varying tail probabilities
Periodic moving average processes extremal index mixing condition
2009/2/23
We define a family of local mixing conditions that enable the computation of the extremal index of periodic sequences from the joint distributions of k consecutive variables of the sequence. By applyi...