相关论文: Note on limit distribution of normalized return ti…

Consider a discrete-time martingale, and let $V^2$ be its normalized quadratic variation. As $V^2$ approaches 1, and provided that some Lindeberg condition is satisfied, the distribution of the rescaled martingale approaches the Gaussian…

In this paper we introduce a new lifetime distribution by compounding exponential and Poisson-Lindley distributions, named exponential Poisson-Lindley distribution. Several properties are derived, such as density, failure rate, mean…

In this paper, we analyze the convergence rate of a collapsed Gibbs sampler for crossed random effects models. Our results apply to a substantially larger range of models than previous works, including models that incorporate missingness…

We characterize the convergence in distribution to a standard normal law for a sequence of multiple stochastic integrals of a fixed order with variance converging to 1. Some applications are given, in particular to study the limiting…

The limiting distribution of the normalized number of comparisons used by Quicksort to sort an array of n numbers is known to be the unique fixed point with zero mean of a certain distributional transformation S. We study the convergence to…

This study focuses on statistical inference for compound models of the form $X=\xi_1+\ldots+\xi_N$, where $N$ is a random variable denoting the count of summands, which are independent and identically distributed (i.i.d.) random variables…

Convergence of Extremum Seeking (ES) algorithms has been established in the limit of small gains. Using averaging theory and contraction analysis, we propose a framework for computing explicit bounds on the departure of the ES scheme from…

We examine a generalization of the binomial distribution associated with a strictly increasing sequence of numbers and we prove its Poisson-like limit. Such generalizations might be found in quantum optics with imperfect detection. We…

Accurate identification of effective epidemic threshold is essential for understanding epidemic dynamics on complex networks. The existing studies on the effective epidemic threshold of the susceptible-infected-removed (SIR) model generally…

We establish central limit theorems for the Sample Average Approximation (SAA) method in discrete-time, finite-horizon stochastic optimal control. Our analysis is based on an abstract limit theorem for stochastic backward recursions, which…

We prove a central limit theorem for the length of the longest subsequence of a random permutation which follows one of a class of repeating patterns. This class includes every fixed pattern of ups and downs having at least one of each,…

New bounds for the $k$-th order derivatives of the solutions of the normal and multivariate normal Stein equations are obtained. Our general order bounds involve fewer derivatives of the test function than those in the existing literature.…

In this work the diffusion in the quenched trap model with diverging mean waiting times is examined. The approach of randomly stopped time is extensively applied in order to obtain asymptotically exact representation of the disorder…

Some new results are derived concerning random coding error exponents and expurgated exponents for list decoding with a deterministic list size $L$. Two asymptotic regimes are considered, the fixed list-size regime, where $L$ is fixed…

The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…

We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval $[0,A]$ as $A\to\infty$. We provide an alternative method of proof of asymptotic exponentiality of the first exit time (suitably…

For normalized sums $Z_n$ of i.i.d. random variables, we explore necessary and sufficient conditions which guarantee the normal approximation with respect to the R\'enyi divergence of infinite order. In terms of densities $p_n$ of $Z_n$,…

We present deviation bounds for self-normalized averages and applications to estimation with a random number of observations. The results rely on a peeling argument in exponential martingale techniques that represents an alternative to the…

We present an exact expression for the mean exit time through the cap of a confining sphere for particles alternating phases of surface and of bulk diffusion. The present approach is based on an integral equation which can be solved…

The problem of guessing a random string is revisited. A close relation between guessing and compression is first established. Then it is shown that if the sequence of distributions of the information spectrum satisfies the large deviation…