Related papers: On the asymptotic distribution of certain bivariat…

For a stochastic difference equation $D_n=A_nD_{n-1}+B_n$ which stabilises upon time we study tail distribution asymptotics of $D_n$ under the assumption that the distribution of $\log(1+|A_1|+|B_1|)$ is heavy-tailed, that is, all its…

Let X_n=(x_{ij}) be an n by p data matrix, where the n rows form a random sample of size n from a certain p-dimensional population distribution. Let R_n=(\rho_{ij}) be the p\times p sample correlation matrix of X_n; that is, the entry…

I study the product of independent identically distributed $D\times D$ random probability matrices. Some exact asymptotic results are obtained. I find that both the left and the right products approach exponentially to a probability…

Asymptotics deviation probabilities of the sum S n = X 1 + $\times$ $\times$ $\times$ + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not…

We determine the asymptotic distribution of the sum of correlated variables described by a matrix product ansatz with finite matrices, considering variables with finite variances. In cases when the correlation length is finite, the law of…

We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples of a Poisson and geometric number of summands serve as an…

This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…

The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including…

Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail distribution of the maxima of the random walk generated by F.…

We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the…

We calculate finite sample and asymptotic distributions for the largest censored and uncensored survival times, and some related statistics, from a sample of survival data generated according to an iid censoring model. These statistics are…

In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. Unlike previously known facts in this field, our main…

A telegraph process with an elastic barrier at the origin was studied in [5]; in particular the number of visits of the origin before the absorption is a geometric distributed random variable M. Some asymptotic results (large and moderate…

Asymptotic normality of intermediate order statistics taken from univariate iid random variables is well-known. We generalize this result to random vectors in arbitrary dimension, where the order statistics are taken componentwise.

This study investigates the dynamics of alternating minimization applied to a bilinear regression task with normally distributed covariates, under the asymptotic system size limit where the number of parameters and observations diverge at…

This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted)…

Let $X_{1,n}\le\cdots\le X_{n,n}$ be the order statistics of $n$ independent random variables with a common distribution function $F$ having right heavy tail with tail index $\gamma$. Given known constants $d_{i,n}$, $1\le i\le n$, consider…

A distributed average consensus algorithm in which every sensor transmits with bounded peak power is proposed. In the presence of communication noise, it is shown that the nodes reach consensus asymptotically to a finite random variable…

In this paper, we consider a bidimensional renewal risk model with constant force of interest, in which the claim size vector with certain local subexponential marginal distribution and its inter-arrival time are subject to a new…

We study two types of probability measures on the set of integer partitions of $n$ with at most $m$ parts. The first one chooses the random partition with a chance related to its largest part only. We then obtain the limiting distributions…