Related papers: Beyond Wald's Equation and the Optional Sampling T…
Hoeffding has shown that tail bounds on the distribution for sampling from a finite population with replacement also apply to the corresponding cases of sampling without replacement. (A special case of this result is that binomial tail…
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. This is a widely useful assumption, but there are…
We describe a statistical test for association of two autocorrelated time series, one of which generated randomly at each time point from a known but possibly history-dependent distribution. The null hypothesis is that at each time point,…
We develop a method based on martingales to study first-passage problems of time-additive observables exiting an interval of finite width in a Markov process. In the limit that the interval width is large, we derive generic expressions for…
Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling. By…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of…
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities…
In a Monte-Carlo test, the observed dataset is fixed, and several resampled or permuted versions of the dataset are generated in order to test a null hypothesis that the original dataset is exchangeable with the resampled/permuted ones.…
It is often claimed that Bayesian methods, in particular Bayes factor methods for hypothesis testing, can deal with optional stopping. We first give an overview, using elementary probability theory, of three different mathematical meanings…
In this paper, we consider partial sums of triangular martingale differences weighted by random variables drawn uniformly on the sphere, and globally independent of the martingale differences. Starting from the so-called principle of…
The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form expressions for the ruin probabilities and the expected game…
Given a random sample from a random variable $T$ which is bounded from above, $T\le\tau$ a.s., we define processes that are positive supermartingales if $E(T)\ge\mu$. Such processes are called test martingales. Tests of the supermartingale…
We study sums of a random multiplicative function; this is an example, of number-theoretic interest, of sums of products of independent random variables (chaoses). Using martingale methods, we establish a normal approximation for the sum…
A run of all failures, a run of all successes, or complete separation in a logistic regression each tempts the analyst to declare a probability of exactly zero or one. The central message of this paper is that all three phenomena share a…
We revisit the problem of condensation for independent, identically distributed random variables with a power-law tail, conditioned by the value of their sum. For large values of the sum, and for a large number of summands, a condensation…
In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…
For a martingale $(X_n)$ converging almost surely to a random variable $X$, the sequence $(X_n - X)$ is called martingale tail sum. Recently, Neininger [Random Structures Algorithms, 46 (2015), 346-361] proved a central limit theorem for…
Sampling theory concerns the problem of reconstruction of functions from the knowledge of their values at some discrete set of points. In this paper we derive an orthogonal sampling theory and associated Lagrange interpolation formulae from…