相关论文: Moment conditions for random coefficient AR($\inft…

Chen [Ann. Appl. Probab. {\bf 11} (2001), 1242--1262] derived exact convergence rates in a central limit theorem and a local limit theorem for a supercritical branching Wiener process.We extend Chen's results to a branching random walk…

We consider an optimization problem subject to an abstract constraint and finitely many nonlinear constraints. Using the recently introduced concept of $n$-polyhedricity, we are able to provide second-order optimality conditions under weak…

In this paper, we present methods of obtaining single moments of order statistics arising from posibly dependent and non-identically distributed discrete random variables. We derive exact and approximate formulas convenient for numerical…

We summarize significant classical results on (in)determinacy of measures in terms of their finite positive integer order moments. Well-known is the role of the smallest eigenvalues of Hankel matrices, starting from Hamburger's results a…

This paper studies a class of random nonlinear systems with time-varying delay, in which the $r$-order moment ($r\geq1$) of the random disturbance is finite. Firstly, some general conditions are proposed to guarantee the existence and…

The purpose of the present paper is to establish moment estimates of Rosenthal type for a rather general class of random variables satisfying certain bounds on the cumulants. We consider sequences of random variables which satisfy a central…

When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (ARH) arises. This model can be seen as a…

Concentration inequalities, a major tool in probability theory, quantify how much a random variable deviates from a certain quantity. This paper proposes a systematic convex optimization approach to studying and generating concentration…

We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in…

We consider the regular model of formula generation in conjunctive normal form (CNF) introduced by Boufkhad et. al. We derive an upper bound on the satisfiability threshold and NAE-satisfiability threshold for regular random $k$-SAT for any…

This paper aims at finding conditions on a Hamburger or Stieltjes moment sequence, under which the change of at most a finite number of its entries produces another sequence of the same type. It turns out that a moment sequence allows all…

In this paper we consider finite conditional random quantities and conditional previsions assessments in the setting of coherence. We use a suitable representation for conditional random quantities; in particular the indicator of a…

We provide new necessary and sufficient conditions for the convergence of positive series developing Bertran-De Morgan and Cauchy type tests given in [M. Martin, Bull. Amer. Math. Soc. 47(1941), 452-457] and [L. Bourchtein et al, Int. J.…

The conditional moment problem is a powerful formulation for describing structural causal parameters in terms of observables, a prominent example being instrumental variable regression. A standard approach reduces the problem to a finite…

We establish a new connection between moments of $n \times n$ random matrices $X_n$ and hypergeometric orthogonal polynomials. Specifically, we consider moments $\mathbb{E}\mathrm{Tr} X_n^{-s}$ as a function of the complex variable $s \in…

In this paper we study the existence of continuous solutions and their constructions for a second order iterative functional equation, which involves iterate of the unknown function and a nonlinear term. Imposing Lipschitz conditions to…

Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for higher-order inverse stochastic dominance are developed. These…

This paper explores some applications of a two-moment inequality for the integral of the $r$-th power of a function, where $0 < r< 1$. The first contribution is an upper bound on the R\'{e}nyi entropy of a random vector in terms of the two…

The volatility modeling for autoregressive univariate time series is considered. A benchmark approach is the stationary ARCH model of Engle (1982). Motivated by real data evidence, processes with non constant unconditional variance and ARCH…

We study the relationship between the well-known Carleman's condition guaranteeing that a probability distribution is uniquely determined by its moments, and a recent easily checkable condition on the rate of growth of the moments. We use…