Generalized Lorenz curves and convexifications of stochastic processes

2003 ◽  
Vol 40 (04) ◽  
pp. 906-925 ◽  
Author(s):  
Youri Davydov ◽  
Ričardas Zitikis
Keyword(s):  
Stochastic Processes ◽  
Limit Theorems ◽  
Asymptotic Theory ◽  
Fixed Time ◽  
Weak Limit ◽  
Time Intervals ◽  
Lorenz Curves ◽  
Stationary Increments ◽  
Weak Limit Theorems ◽  
Vervaat Process

We investigate convex rearrangements, called convexifications for brevity, of stochastic processes over fixed time intervals and develop the corresponding asymptotic theory when the time intervals indefinitely expand. In particular, we obtain strong and weak limit theorems for these convexifications when the processes are Gaussian with stationary increments and then illustrate the results using fractional Brownian motion. As a theoretical basis for these investigations, we extend some known, and also obtain new, results concerning the large sample asymptotic theory for the empirical generalized Lorenz curves and the Vervaat process when observations are stationary and either short-range or long-range dependent.

Generalized Lorenz curves and convexifications of stochastic processes

2003 ◽  
Vol 40 (4) ◽  
pp. 906-925 ◽  
Author(s):  
Youri Davydov ◽  
Ričardas Zitikis
Keyword(s):  
Stochastic Processes ◽  
Limit Theorems ◽  
Asymptotic Theory ◽  
Fixed Time ◽  
Weak Limit ◽  
Time Intervals ◽  
Lorenz Curves ◽  
Stationary Increments ◽  
Weak Limit Theorems ◽  
Vervaat Process

We investigate convex rearrangements, called convexifications for brevity, of stochastic processes over fixed time intervals and develop the corresponding asymptotic theory when the time intervals indefinitely expand. In particular, we obtain strong and weak limit theorems for these convexifications when the processes are Gaussian with stationary increments and then illustrate the results using fractional Brownian motion. As a theoretical basis for these investigations, we extend some known, and also obtain new, results concerning the large sample asymptotic theory for the empirical generalized Lorenz curves and the Vervaat process when observations are stationary and either short-range or long-range dependent.

A note on cumulative shock models

1988 ◽  
Vol 25 (01) ◽  
pp. 220-223 ◽  
Author(s):  
Kevin K. Anderson
Keyword(s):  
Limit Theorems ◽  
Domain Of Attraction ◽  
Weak Limit ◽  
Shock Model ◽  
Time Intervals ◽  
Stable Law ◽  
Shock Models ◽  
Weak Limit Theorems ◽  
First Time ◽  
Intershock Interval

A shock model in which the time intervals between shocks are in the domain of attraction of a stable law of order less than 1 or relatively stable is considered. Weak limit theorems are established for the cumulative magnitude of the shocks and the first time the cumulative magnitude exceeds z without any assumption on the dependence between the intershock interval and shock magnitude.

A note on cumulative shock models

1988 ◽  
Vol 25 (1) ◽  
pp. 220-223 ◽  
Author(s):  
Kevin K. Anderson
Keyword(s):  
Limit Theorems ◽  
Domain Of Attraction ◽  
Weak Limit ◽  
Shock Model ◽  
Time Intervals ◽  
Stable Law ◽  
Shock Models ◽  
Weak Limit Theorems ◽  
First Time ◽  
Intershock Interval

A shock model in which the time intervals between shocks are in the domain of attraction of a stable law of order less than 1 or relatively stable is considered. Weak limit theorems are established for the cumulative magnitude of the shocks and the first time the cumulative magnitude exceeds z without any assumption on the dependence between the intershock interval and shock magnitude.

scholarly journals Asymptotic behaviors with convergence rates of distributions of negative-binomial sums

2020 ◽  
Vol 22 (4) ◽  
pp. 415-421
Author(s):  
Tran Loc Hung ◽  
Phan Tri Kien ◽  
Nguyen Tan Nhut
Keyword(s):  
Limit Theorems ◽  
Negative Binomial ◽  
Convergence Rates ◽  
Random Variables ◽  
Rates Of Convergence ◽  
Weak Limit ◽  
Probability Metric ◽  
Weak Limit Theorems ◽  
Distribution Theorem ◽  
Binomial Sums

The negative-binomial sum is an extension of a geometric sum. It has been arisen from the necessity to resolve practical problems in telecommunications, network analysis, stochastic finance and insurance mathematics, etc. Up to the present, the topics related to negative-binomial sums like asymptotic distributions and rates of convergence have been investigated by many mathematicians. However, in a lot of various situations, the results concerned the rates of convergence for negative-binomial sums are still restrictive. The main purpose of this paper is to establish some weak limit theorems for negative-binomial sums of independent, identically distributed (i.i.d.) random variables via Gnedenko's Transfer Theorem originated by Gnedenko and Fahim (1969). Using Zolotarev's probability metric, the rate of convergence in weak limit theorems for negativebinomial sum are established. The received results are the rates of convergence in weak limit theorem for partial sum of i.i.d random variables related to symmetric stable distribution (Theorem 1), and asymptotic distribution together with the convergence rates for negative-binomial sums of i.i.d. random variables concerning to symmetric Linnik laws and Generalized Linnik distribution (Theorem 2 and Theorem 3). Based on the results of this paper, the analogous results for geometric sums of i.i.d. random variables will be concluded as direct consequences. However, the article has just been solved for the case of 1 <a < 2; it is quite hard to estimate in the case of a 2 (0;1) via the Zolotarev's probability metric. Mathematics Subject Classification 2010: 60G50; 60F05; 60E07.

scholarly journals SELF-NORMALIZED WEAK LIMIT THEOREMS FOR A ø-MIXING SEQUENCE

2010 ◽  
Vol 47 (6) ◽  
pp. 1139-1153 ◽  
Author(s):  
Yong-Kab Choi ◽  
Hee-Jin Moon
Keyword(s):  
Limit Theorems ◽  
Weak Limit ◽  
Weak Limit Theorems ◽  
Mixing Sequence

scholarly journals On chi-square type distributions with geometric degrees of freedom in relation to geometric sums

2019 ◽  
Vol 22 (1) ◽  
pp. 180-184
Author(s):  
Tran Loc Hung
Keyword(s):  
Degrees Of Freedom ◽  
Limit Theorems ◽  
Random Variables ◽  
Weak Limit ◽  
Random Sums ◽  
Chi Square ◽  
Asymptotic Behaviors ◽  
Weak Limit Theorems ◽  
Geometric Sums ◽  
Applied Fields

The chi-square distribution with degrees of freedom has an important role in probability, statistics and various applied fields as a special probability distribution. This paper concerns the relations between geometric random sums and chi-square type distributions whose degrees of freedom are geometric random variables. Some characterizations of chi-square type random variables with geometric degrees of freedom are calculated. Moreover, several weak limit theorems for the sequences of chi-square type random variables with geometric random degrees of freedom are established via asymptotic behaviors of normalized geometric random sums.

L2 Diffusion Approximation for Slow Motion in Averaging

2003 ◽  
Vol 03 (02) ◽  
pp. 213-246 ◽  
Author(s):  
Yuri Kifer
Keyword(s):  
Diffusion Approximation ◽  
Nonlinear Diffusion ◽  
Limit Theorems ◽  
Slow Motion ◽  
Weak Limit ◽  
Averaging Principle ◽  
Fast Motion ◽  
Weak Limit Theorems ◽  
The One ◽  
Nonlinear Stochastic Differential Equation

Assuming that the fast motion in averaging is sufficiently well mixing we show that the slow motion can be approximated in the L2-sense by a diffusion solving Hasselmann's nonlinear stochastic differential equation and which provides a much better approximation than the one suggested by the averaging principle. Previously, only weak limit theorems in averaging were known which cannot justify, in principle, a nonlinear diffusion approximation of the slow motion.

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