Exactly and strongly consistent representations of effectivity functions

2010 ◽  
pp. 113-121
Author(s):  
Bezalel Peleg ◽  
Hans Peters
Keyword(s):  
Effectivity Functions ◽  
Strongly Consistent

scholarly journals Identification of an unstable ARMA equation

2001 ◽  
Vol 7 (1) ◽  
pp. 97-112 ◽  
Author(s):  
Yulia R. Gel ◽  
Vladimir N. Fomin
Keyword(s):  
Time Series ◽  
Least Squares ◽  
Infinite Order ◽  
Time Series Model ◽  
Identification Algorithm ◽  
Data Handling ◽  
Stochastic Time Series ◽  
Stochastic Time ◽  
Strongly Consistent ◽  
Minimal Phase

Usually the coefficients in a stochastic time series model are partially or entirely unknown when the realization of the time series is observed. Sometimes the unknown coefficients can be estimated from the realization with the required accuracy. That will eventually allow optimizing the data handling of the stochastic time series.Here it is shown that the recurrent least-squares (LS) procedure provides strongly consistent estimates for a linear autoregressive (AR) equation of infinite order obtained from a minimal phase regressive (ARMA) equation. The LS identification algorithm is accomplished by the Padé approximation used for the estimation of the unknown ARMA parameters.

Almost sure convergence of the Hill estimator

1988 ◽  
Vol 104 (2) ◽  
pp. 371-381 ◽  
Author(s):  
Paul Deheuvels ◽  
Erich Haeusler ◽  
David M. Mason
Keyword(s):  
Order Statistics ◽  
Almost Sure Convergence ◽  
Tail Index ◽  
Hill Estimator ◽  
Type Distribution ◽  
The Hill ◽  
Strongly Consistent

AbstractIn this note we characterize those sequences kn such that the Hill estimator of the tail index based on the kn upper order statistics of a sample of size n from a Pareto-type distribution is strongly consistent.

Strongly consistent identification algorithms and noise insensitive MSE criteria

1992 ◽  
Vol 40 (8) ◽  
pp. 1955-1970 ◽  
Author(s):  
A.N. Delopoulos ◽  
G.B. Giannakis
Keyword(s):  
Strongly Consistent

scholarly journals Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift

2020 ◽  
Vol 25 (6) ◽  
pp. 1059-1078
Author(s):  
Kęstutis Kubilius
Keyword(s):  
Differential Equations ◽  
Positive Solution ◽  
Euler Scheme ◽  
Hurst Index ◽  
Unique Positive Solution ◽  
Backward Euler Scheme ◽  
Asymptotically Normal ◽  
Backward Euler ◽  
Locally Lipschitz ◽  
Strongly Consistent

Strongly consistent and asymptotically normal estimates of the Hurst index H are obtained for stochastic differential equations (SDEs) that have a unique positive solution. A strongly convergent approximation of the considered SDE solution is constructed using the backward Euler scheme. Moreover, it is proved that the Hurst estimator preserves its properties, if we replace the solution with its approximation.

Effectivity functions, game forms, games, and rights

1997 ◽  
Vol 15 (1) ◽  
pp. 67-80 ◽  
Author(s):  
Bezalel Peleg
Keyword(s):  
Effectivity Functions ◽  
Game Forms
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