Related papers: Multivariate sequential analysis with linear bound…

This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate…

We prove a general transfer theorem for multivariate random sequences with independent random indexes in the double array limit setting. We also prove its partial inverse providing necessary and sufficient conditions for the convergence of…

Let $X_1$, $X_2$, $...$ be a sequence of independently and identically distributed random variables with $\mathsf{E}X_1=0$, and let $S_0=0$ and $S_t=S_{t-1}+X_t$, $t=1,2,...$, be a random walk. Denote $\tau={cases}\inf\{t>1: S_t\leq0\},…

We study (asymmetric) $U$-statistics based on a stationary sequence of $m$-dependent variables; moreover, we consider constrained $U$-statistics, where the defining multiple sum only includes terms satisfying some restrictions on the gaps…

A key feature of a sequential study is that the actual sample size is a random variable that typically depends on the outcomes collected. While hypothesis testing theory for sequential designs is well established, parameter and precision…

We study a scenario under which variable step random walks give anomalous statistics. We begin by analyzing the Martingale Central Limit Theorem to find a sufficient condition for the limit distribution to be non-Gaussian. We note that the…

In this paper, we consider the nonasymptotic sequential estimation of means of random variables bounded in between zero and one. We have rigorously demonstrated that, in order to guarantee prescribed relative precision and confidence level,…

In this note we consider the finite-dimensional parameter estimation problem associated to inverse problems. In such scenarios, one seeks to maximize the marginal likelihood associated to a Bayesian model. This latter model is connected to…

Let a sequence of iid. random variables $\xi_1,...,\xi_n$ be given on a measurable space $(X,\cal X)$ with distribution $\mu$ together with a function $f(x_1,...,x_k)$ on the product space $(X^k,{\cal X}^k)$. Let $\mu_n$ denote the…

In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These…

In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…

The Bergsma-Dassios sign covariance is a recently proposed extension of Kendall's tau. In contrast to tau or also Spearman's rho, the new sign covariance $\tau^*$ vanishes if and only if the two considered random variables are independent.…

We study the first passage time $\tau_u = \inf \{ n \geq 1: |V_n| > u \}$ for the multivariate perpetuity sequence $V_n = Q_1 + M_1 Q_2 + \cdots + (M_1 \ldots M_{n-1}) Q_n$, where $(M_n, Q_n)$ is a sequence of independent and identically…

We derive subexponential tail asymptotics for the distribution of the maximum of a compound renewal process with linear component and of a L\'evy process, both with negative drift, over random time horizon $\tau$ that does not depend on the…

The paper is devoted to infinite Bernoulli convolutions generated by positive multigeometric series and to probability distributions of random variables whose digits in an even integer base-$s$ expansion with two redundant digits form a…

In this article we establish for the superdiffusive regime $p \in (1/2,1)$ that the fluctuations of a general step-reinforced random walk around $a_n \hat{W}$, where $(a_n)_{n \in \mathbb{N}}$ is a non-negative sequence of order $n^p$ and…

Some asymptotic notions for random variables are discussed. In particular, different versions of O and o for sequences of random variables are studied. The results are elementary and more or less well-known, but collected here for future…

We consider a one-dimensional Brownian motion of fixed duration $T$. Using a path-integral technique, we compute exactly the probability distribution of the difference $\tau=t_{\min}-t_{\max}$ between the time $t_{\min}$ of the global…

We consider the sequential composite binary hypothesis testing problem in which one of the hypotheses is governed by a single distribution while the other is governed by a family of distributions whose parameters belong to a known set…

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…