Approximation of distributions of sums of random variables

2020 ◽  
pp. 39-135
Keyword(s):  
Random Variables ◽  
Sums Of Random Variables

First-order autoregressive gamma sequences and point processes

1980 ◽  
Vol 12 (3) ◽  
pp. 727-745 ◽  
Author(s):  
D. P. Gaver ◽  
P. A. W. Lewis
Keyword(s):  
Parameter Estimation ◽  
Point Processes ◽  
Random Variables ◽  
Innovation Process ◽  
Sums Of Random Variables ◽  
First Order ◽  
Wide Range ◽  
Serial Correlations ◽  
Generating Sequences ◽  
Stieltjes Transforms

It is shown that there is an innovation process {∊n} such that the sequence of random variables {Xn} generated by the linear, additive first-order autoregressive scheme Xn = pXn-1 + ∊n are marginally distributed as gamma (λ, k) variables if 0 ≦p ≦ 1. This first-order autoregressive gamma sequence is useful for modelling a wide range of observed phenomena. Properties of sums of random variables from this process are studied, as well as Laplace-Stieltjes transforms of adjacent variables and joint moments of variables with different separations. The process is not time-reversible and has a zero-defect which makes parameter estimation straightforward. Other positive-valued variables generated by the first-order autoregressive scheme are studied, as well as extensions of the scheme for generating sequences with given marginal distributions and negative serial correlations.

First-order autoregressive gamma sequences and point processes

1980 ◽  
Vol 12 (03) ◽  
pp. 727-745 ◽  
Author(s):  
D. P. Gaver ◽  
P. A. W. Lewis
Keyword(s):  
Parameter Estimation ◽  
Point Processes ◽  
Random Variables ◽  
Innovation Process ◽  
Sums Of Random Variables ◽  
First Order ◽  
Wide Range ◽  
Serial Correlations ◽  
Generating Sequences ◽  
Stieltjes Transforms

It is shown that there is an innovation process {∊ n } such that the sequence of random variables {X n } generated by the linear, additive first-order autoregressive scheme X n = pXn-1 + ∊ n are marginally distributed as gamma (λ, k) variables if 0 ≦p ≦ 1. This first-order autoregressive gamma sequence is useful for modelling a wide range of observed phenomena. Properties of sums of random variables from this process are studied, as well as Laplace-Stieltjes transforms of adjacent variables and joint moments of variables with different separations. The process is not time-reversible and has a zero-defect which makes parameter estimation straightforward. Other positive-valued variables generated by the first-order autoregressive scheme are studied, as well as extensions of the scheme for generating sequences with given marginal distributions and negative serial correlations.

scholarly journals CLT-related large deviation bounds based on Stein's method

2007 ◽  
Vol 39 (3) ◽  
pp. 731-752 ◽  
Author(s):  
Martin Raič
Keyword(s):  
Random Graphs ◽  
Finite Population ◽  
Large Deviation ◽  
Random Variables ◽  
Stein’S Method ◽  
Stein's Method ◽  
Population Statistics ◽  
Sums Of Random Variables ◽  
Dependence Structures

Large deviation estimates are derived for sums of random variables with certain dependence structures, including finite population statistics and random graphs. The argument is based on Stein's method, but with a novel modification of Stein's equation inspired by the Cramér transform.

Sign in / Sign up

Export Citation Format

Share Document