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Strong Approximation for Mixing Sequences with Infinite Variance
Approximation Mixing Sequences
2009/4/1
In this paper we prove a strong approximation result for a mixing sequence with infinite variance and logarithmic decay rate of the mixing coefficient. The result is proved under the assumption that t...
Gaussian model selection with an unknown variance
Model selection penalized criterion AIC FPE BIC AMDL variable selection change-points detection adaptive estimation
2010/4/26
Let Y be a Gaussian vector whose components are independent
with a common unknown variance. We consider the problem of estimating
the mean μ of Y by model selection. More precisely, we start
with a...
Central limit theorems for Markov chains are considered, and in particular the relationships between various expressions for asymptotic variance known from the literature. These turn out to be equal u...
Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.
Markov chain state space transition kernel
2009/3/23
We consider a ψ-irreducible, discrete-time Markov chain on a general state space with transition kernel P. Under suitable conditions on the chain, kernels can be treated as bounded linear operators...
A Class of Estimators for Estimating the Variance of the Ratio Estimator
class of estimators estimation of variance ratio and regression type estimators
2009/3/9
In this paper we have proposed a class of estimators for the variance of the ratio estimator which includes two standard estimators V0, V2 and the estimators VH and V3 suggested by Royall and Eberhard...
An Efficient Class of Chain Estimators of Population Variance under Sub-Sampling Scheme
auxiliary variable chain estimator consistent estimator double sampling technique mean square error optimum estimator study variable
2009/3/9
For estimating the population variance S2y of study variable y, a class of chain estimators of S2y has been proposed in the presence of two auxiliary variables x and z by using known information on po...
Prediction of the Sample Variance of Marks for a Marked Spatial Point Process by the Threshold Method
marked spatial point process mean square error mixing condition non-ergodicity threshold method
2009/3/6
We discuss the prediction of the sample variance of marks of a marked spatial point process on a continuous space by the threshold method. The threshold method is a statistical prediction using only t...
A note on the stationary bootstrap's variance
Asymptotic expansion block bootstrap periodogram spectralestimation
2010/3/18
Because the stationary bootstrap resamples data blocks of random
length, this method has been thought to have the largest asymptotic
variance among block bootstraps Lahiri [Ann. Statist. 27 (1999)
...
NETWORKMOTIFS：MEAN AND VARIANCE FOR THE COUNT
network motif motif count random graph sequence of degrees
2009/2/25
Network motifs are at the core of modern studies on biological networks, trying to
encompass global features such as small-world or scale-free properties. Detection of
significant motifs may be base...
MINIMUM-VARIANCE REDUCED-BIAS TAIL INDEX AND HIGH QUANTILE ESTIMATION
statistics of extremes tail index high quantiles second-order reduced-bias semi-parametric estimation third order framework
2009/2/25
Heavy tailed-models are quite useful in many fields, like insurance, finance, telecom-
munications, internet traffic, among others, and it is often necessary to estimate a
high quantile, i.e., a val...
An alternative analysis of variance
Mean squared error model selection shrinkage estimation synthetic estimation
2009/2/23
The one-way analysis of variance is a staple of elementary statistics courses. The hypothesis test of homogeneity of the means encourages the use of the selected-model based estimators which are usual...
Sampling design variance estimation of small area estimators in the Spanish Labour Force Survey
Labour Force Survey small area estimation linear models mean squared error bootstrap jackknife unemployment totals calibrated weights
2009/2/23
The main goal of this paper is to investigate how to estimate sampling design variances of modelbased and model-assisted small area estimators in a complex survey sampling setup. For this purpose the ...
Variance reduction for particle filters of systems with time-scale separation
particle filter multiscale dimensional reduction variance reduction Rao-Blackwellization stochastic differential equations jump Markov processes
2010/4/29
We present a particle filter construction for a system
that exhibits time scale separation. The separation of time
scales allows two simplifications that we exploit: i) the use
of the averaging pri...
Exact distribution of the sample variance from a gamma parent distribution
Exact distribution of quadratic forms in non–normal random variables Exact distribution of the sample variance Gamma distribution
2010/4/28
Several representations of the exact cdf of the sum of squares of n independent
identically gamma–distributed random variables Xi are given, in particular by a
series of gamma distribution functions...
Fractional constant elasticity of variance model
fractional Black-Scholes model fractional Brownian motion fractionalconstant elasticity of volatility model fractional Ito’s lemma
2010/4/27
This paper develops a European option pricing formula for fractional
market models. Although there exist option pricing results for a fractional
Black-Scholes model, they are established without acc...