Related papers: An estimate about multiple stochastic integrals wi…

In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of interval type (in short: PSITs), stochastic integrals on…

This paper presents a probabilistic perspective on iterative methods for approximating the solution $\mathbf{x}_* \in \mathbb{R}^d$ of a nonsingular linear system $\mathbf{A} \mathbf{x}_* = \mathbf{b}$. In the approach a standard iterative…

We construct a family $I_{n_{\eps}}(f)_{t}$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-It\^o integral $I_{n}^{H}(f1^{\otimes n}_{[0,t]})$ with respect to the…

We study estimation of a multivariate function $f:{\bf R}^d \to {\bf R}$ when the observations are available from function $Af$, where $A$ is a known linear operator. Both the Gaussian white noise model and density estimation are studied.…

We consider the problem of computing the joint distribution of order statistics of stochastically independent random variables in one- and two-group models. While recursive formulas for evaluating the joint cumulative distribution function…

We propose the so-called jackknife empirical likelihood approach for the survey data of general unequal probability sampling designs, and analyze parameters defined according to U-statistics. We prove theoretically that jackknife…

Let $I=[0,1]$ and consider disjoint closed regions $G_{1},....,G_{n}$ in $% I\times I$ and subintervals $I_{1},......,I_{n},$ such that $G_{i}$ projects onto $I_{i.}$ We define the lower and upper maps $\tau_{1},$ $\tau_{2}$ by the lower…

Let S_k be the k-th partial sum of Banach space valued independent identically distributed random variables. In this paper, we compare the tail distribution of ||S_k|| with that of ||S_j||, and deduce some tail distribution maximal…

We provide a robust and general algorithm for computing distribution functions associated to induced orthogonal polynomial measures. We leverage several tools for orthogonal polynomials to provide a spectrally-accurate method for a broad…

Stochastic line integrals provide a useful tool for quantitatively characterizing irreversibility and detailed balance violation in noise-driven dynamical systems. A particular realization is the stochastic area, recently studied in coupled…

Let ${\mathcal M}\subset {\mathbb R}^n$ be a $C^2$-smooth compact submanifold of dimension $d$. Assume that the volume of ${\mathcal M}$ is at most $V$ and the reach (i.e. the normal injectivity radius) of ${\mathcal M}$ is greater than…

Mutual space-frequency distribution is proposed and it is shown that Wigner and Weyl distribution functions are only particular cases of these distribution. Mutual distribution for Gaussian signal is analytically obtained. The simple…

Let X_1,...., X_n be a collection of iid discrete random variables, and Y_1,..., Y_m a set of noisy observations of such variables. Assume each observation Y_a to be a random function of some a random subset of the X_i's, and consider the…

Let $X_1, \ldots, X_n$ be independent non-negative random variables with cumulative distribution functions $F_1,F_2,\ldots,F_n$, each satisfying certain (rather mild) conditions. We show that the median of $k$-th smallest order statistic of…

Suppose we observe a trajectory of length $n$ from an exponentially $\alpha$-mixing stochastic process over a finite but potentially large state space. We consider the problem of estimating the probability mass placed by the stationary…

This paper develops asymptotic theory of integrals of empirical quantile functions with respect to random weight functions, which is an extension of classical $L$-statistics. They appear when sample trimming or Winsorization is applied to…

We consider refined versions of Markov chains related to juggling introduced by Warrington. We further generalize the construction to juggling with arbitrary heights as well as infinitely many balls, which are expressed more succinctly in…

Suppose that $X_1,X_2,\ldots$ are a stream of independent, identically distributed Poisson random variables with mean $\mu$. This work presents a new estimate $\mu_k$ for $\mu$ with the property that the distribution of the relative error…

For each $n$, let $A_n=(\sigma_{ij})$ be an $n\times n$ deterministic matrix and let $X_n=(X_{ij})$ be an $n\times n$ random matrix with i.i.d. centered entries of unit variance. In the companion article Cook et al., we considered the…

The concentration of empirical measures is studied for dependent data, whose joint distribution satisfies Poincar\'{e}-type or logarithmic Sobolev inequalities. The general concentration results are then applied to spectral empirical…