Related papers: A short note on small deviations of sequences of i…

Let X_1,X_2,... be a sequence of [0,1]-valued i.i.d. random variables, let c\geq 0 be a sampling cost for each observation and let Y_i=X_i-ic, i=1,2,.... For n=1,2,..., let M(Y_1,...,Y_n)=E(max_{1\leq i\leq n}Y_i) and…

The effect that weighted summands have on each other in approximations of $S=w_1S_1+w_2S_2+\cdots+w_NS_N$ is investigated. Here, $S_i$'s are sums of integer-valued random variables, and $w_i$ denote weights, $i=1,\dots,N$. Two cases are…

We consider a sequence $X^n=(X^n_t)_{t\ge 0},n\ge 1$ of semimartingales. Each $X^n$ is a weak solution to an It\^o equation with respect to a Wiener process and a Poissonian martingale measure and is in general non-Markovian process. For…

We study the asymptotic behaviour of solutions of Forward Backward Stochastic Differential Equations in the coupled case, when the diffusion coefficient of the forward equation is multiplicatively perturbed by a small parameter that…

We give exponential upper bounds for $P(S \le k)$, in particular $P(S=0)$, where $S$ is a sum of indicator random variables that are positively associated. These bounds allow, in particular, a comparison with the independent case. We give…

We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…

We consider high-dimensional estimation problems where the number of parameters diverges with the sample size. General conditions are established for consistency, uniqueness, and asymptotic normality in both unpenalized and penalized…

Let $P_n$ and $Q_n$ be two probability measures representing two different probabilistic models of some system (e.g., an $n$-particle equilibrium system, a set of random graphs with $n$ vertices, or a stochastic process evolving over a time…

We obtain the exact large deviation functions of the density profile and of the current, in the non-equilibrium steady state of a one dimensional symmetric simple exclusion process coupled to boundary reservoirs with slow rates. Compared to…

Let $R_{m, \mathrm{sq-full}}(N)$ be a representation function for the sum of a prime and a square-full number. In this article, we prove an asymptotic formula for the sum of $R_{m, \mathrm{sq-full}}(N)$ over positive integers $N$ in a short…

In this paper, we establish a small time large deviation principles for scalar stochastic conservation laws driven by multiplicative noise. The doubling of variables method plays a key role.

For a multivariate random walk with i.i.d. jumps satisfying the Cramer moment condition and having a mean vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant…

We study the properties of variational Bayes approximations for exponential family models with missing values. It is shown that the iterative algorithm for obtaining the variational Bayesian estimator converges locally to the true value…

Let $\{X_n;n\ge 1\}$ be a sequence of independent random variables on a probability space $(\Omega, \mathcal{F}, P)$ and $S_n=\sum_{k=1}^n X_k$. It is well-known that the almost sure convergence, the convergence in probability and the…

In various disordered systems or non-equilibrium dynamical models, the large deviations of some observables have been found to display different scalings for rare values bigger or smaller than the typical value. In the present paper, we…

We formulate uncertainty relations for arbitrary $N$ observables. Two uncertainty inequalities are presented in terms of the sum of variances and standard deviations, respectively. The lower bounds of the corresponding sum uncertainty…

We establish asymptotic normality of weighted sums of periodograms of a stationary linear process where weights depend on the sample size. Such sums appear in numerous statistical applications and can be regarded as a discretized versions…

There is a well-known sequence of constants c_n describing the growth of supercritical Galton-Watson processes Z_n. With 'lower deviation probabilities' we refer to P(Z_n=k_n) with k_n=o(c_n) as n increases. We give a detailed picture of…

We establish an ordering criterion for the asymptotic variances of two consistent Markov chain Monte Carlo (MCMC) estimators: an importance sampling (IS) estimator, based on an approximate reversible chain and subsequent IS weighting, and a…

We prove a large deviation type estimate for the asymptotic behavior of a weighted local time of $\varepsilon W$ as $\varepsilon\to0$.