Related papers: Note on an intermediate Baum-Katz theorems under s…
In this paper, we obtain a new estimate for uniform integrability under sublinear expectations. Based on this, we establish the limit theorems under nonlinear expectations dominated by sublinear expectations through tightness, and the limit…
Sublinear expectations for uncertain processes have received a lot of attention recently, particularly methods to extend a downward-continuous sublinear expectation on the bounded finitary functions to one on the non-finitary functions. In…
In this paper we consider a sequence of random variables with mean uncertainty in a sublinear expectation space. Without the hypothesis of identical distributions, we show a new central limit theorem under the sublinear expectations.
Moment inequalities play important roles in probability limit theory and mathematical statistics. In this work, the von Bahr-Esseen type inequality for extended negatively dependent random variables under sub-linear expectations is…
Let $(\mu_{\alpha})$ be a net of Radon sub-probability measures on the real line, and $(t_{\alpha})$ be a net in $]0,+\infty[$ converging to 0. Assuming that the generalized log-moment generating function $L(\lambda)$ exists for all…
We consider the problem of guessing the realization of a random variable but under more general Tsallis' non-extensive entropic framework rather than the classical Maxwell-Boltzman-Gibbs-Shannon framework. We consider both the conditional…
In this paper, we present some multi-dimensional central limit theorems and laws of large numbers under sublinear expectations, which extend some previous results.
In this note, we study inequality and limit theory under sublinear expectations. We mainly prove Doob's inequality for submartingale and Kolmogrov's inequality. By Kolmogrov's inequality, we obtain a special version of Kolmogrov's law of…
Let $f=(f^x\mid x\in S)$, $S\subset\mathbb{Z}^m$, be a semigroup of ergodic measure-preserving transformations of a probability space $(\Omega,\mathsf{P})$ and $h$ a real random function on $S$, such that $h(x+y,\omega)\le…
In this paper, with the notion of independent identically distributed (IID) random variables under sublinear expectations introduced by Peng [7-9], we investigate moment bounds for IID sequences under sublinear expectations. We can obtain a…
In this paper, we investigate a central limit theorem for weighted sums of independent random variables under sublinear expectations. It is turned out that our results are natural extensions of the results obtained by Peng and Li and Shi.
We study complete convergence and closely related Hsu-Robbins-Erd\H{o}s-Spitzer-Baum-Katz series for sums whose terms are elements of linear autoregression sequences. We obtain criterions for convergence of this series expressed in moment…
Kolmogorov's exponential inequalities are basic tools for studying the strong limit theorems such as the classical laws of the iterated logarithm for both independent and dependent random variables. This paper establishes the Kolmogorov…
We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponentially tilted empirical likelihood function is constructed…
We prove a formula for the evaluation of expectations containing a scalar function of a Gaussian random vector multiplied by a product of the random vector components, each one raised to a non-negative integer power. Some of the powers…
We prove that the number of points of a stationary linear Hawkes process lying in any bounded subset of the real line has exponential moments, without any other assumption than the one needed for existence of such stationary process, namely…
A general moment bound for sums of products of Gaussian vector's functions extending the moment bound in Taqqu (1977, Lemma 4.5) is established. A general central limit theorem for triangular arrays of nonlinear functionals of…
In this paper we investigate sublinear semigroups whose pointwise generators are given by non-local Hamilton-Jacobi-Bellman operators. Our main result provides a stochastic representation in terms of a family of sublinear (conditional)…
An attempt is made to construct composable composite entropy with different $q$ indices of subsystems and address the H-theorem problem of the composite system. Though the H-theorem does not hold in general situations, it is shown that some…
Many important statistical models fall outside classical moment-based methods due to the non-existence of moments or moment generating functions. We propose a generalised probabilistic framework in which densities are replaced by pairs…