Weak limits of sample range

1974 ◽  
Vol 11 (4) ◽  
pp. 836-841 ◽  
Author(s):  
Laurens De Haan
Keyword(s):  
Weak Convergence ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Weak Limits ◽  
Sample Range ◽  
Necessary And Sufficient

Necessary and sufficient conditions are obtained for the weak convergence of the sample range of i.i.d. random variables as the number of observations tends to infinity.

Weak limits of sample range

1974 ◽  
Vol 11 (04) ◽  
pp. 836-841 ◽  
Author(s):  
Laurens De Haan
Keyword(s):  
Weak Convergence ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Weak Limits ◽  
Sample Range ◽  
Necessary And Sufficient

Necessary and sufficient conditions are obtained for the weak convergence of the sample range of i.i.d. random variables as the number of observations tends to infinity.

Asymptotic behavior of the records of multivariate random sequences in a norm sense

2020 ◽  
Vol 70 (6) ◽  
pp. 1457-1468
Author(s):  
Haroon M. Barakat ◽  
M. H. Harpy
Keyword(s):  
Asymptotic Behavior ◽  
Weak Convergence ◽  
Sufficient Conditions ◽  
Record Values ◽  
Necessary And Sufficient Conditions ◽  
Random Sequences ◽  
Necessary And Sufficient

AbstractIn this paper, we investigate the asymptotic behavior of the multivariate record values by using the Reduced Ordering Principle (R-ordering). Necessary and sufficient conditions for weak convergence of the multivariate record values based on sup-norm are determined. Some illustrative examples are given.

scholarly journals On the law of the iterated logarithm in the infinite variance case

1980 ◽  
Vol 30 (1) ◽  
pp. 5-14 ◽  
Author(s):  
R. A. Maller
Keyword(s):  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Infinite Variance ◽  
Iterated Logarithm ◽  
The Law ◽  
Necessary And Sufficient ◽  
Independent And Identically Distributed

AbstractThe main purpose of the paper is to give necessary and sufficient conditions for the almost sure boundedness of (Sn – αn)/B(n), where Sn = X1 + X2 + … + XmXi being independent and identically distributed random variables, and αnand B(n) being centering and norming constants. The conditions take the form of the convergence or divergence of a series of a geometric subsequence of the sequence P(Sn − αn > a B(n)), where a is a constant. The theorem is distinguished from previous similar results by the comparative weakness of the subsidiary conditions and the simplicity of the calculations. As an application, a law of the iterated logarithm general enough to include a result of Feller is derived.

Stability of maxima of random variables defined on a Markov chain

1972 ◽  
Vol 4 (2) ◽  
pp. 285-295 ◽  
Author(s):  
Sidney I. Resnick
Keyword(s):  
Markov Chain ◽  
Regularity Condition ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Finite Markov Chain ◽  
Finite Product ◽  
Normalizing Constants ◽  
Necessary And Sufficient

Consider maxima Mn of a sequence of random variables defined on a finite Markov chain. Necessary and sufficient conditions for the existence of normalizing constants Bn such that are given. The problem can be reduced to studying maxima of i.i.d. random variables drawn from a finite product of distributions πi=1mHi(x). The effect of each factor Hi(x) on the behavior of maxima from πi=1mHi is analyzed. Under a mild regularity condition, Bn can be chosen to be the maximum of the m quantiles of order (1 - n-1) of the H's.

scholarly journals The law of the iterated logarithm for exchangeable random variables

1995 ◽  
Vol 18 (2) ◽  
pp. 391-396
Author(s):  
Hu-Ming Zhang ◽  
Robert L. Taylor
Keyword(s):  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Exchangeable Random Variables ◽  
Iterated Logarithm ◽  
The Law ◽  
Necessary And Sufficient

In this note, necessary and sufficient conditions for laws of the iterated logarithm are developed for exchangeable random variables.

Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift

1986 ◽  
Vol 18 (04) ◽  
pp. 865-879 ◽  
Author(s):  
Svante Janson
Keyword(s):  
Random Walks ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Partial Sums ◽  
Exit Times ◽  
First Passage ◽  
Partial Sum ◽  
Positive Expectation ◽  
Necessary And Sufficient

Consider the sequence of partial sums of a sequence of i.i.d. random variables with positive expectation. We study various random quantities defined by the sequence of partial sums, e.g. the time at which the first or last crossing of a given level occurs, the value of the partial sum immediately before or after the crossing, the minimum of all partial sums. Necessary and sufficient conditions are given for the existence of moments of these quantities.

On the existence of submultiplicative moments for the stationary distributions of some Markovian random walks

1999 ◽  
Vol 36 (1) ◽  
pp. 78-85 ◽  
Author(s):  
M. S. Sgibnev
Keyword(s):  
Markov Chains ◽  
Random Walks ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Stationary Distributions ◽  
Necessary And Sufficient ◽  
Submultiplicative Function ◽  
Independent Identically Distributed

This paper is concerned with submultiplicative moments for the stationary distributions π of some Markov chains taking values in ℝ+ or ℝ which are closely related to the random walks generated by sequences of independent identically distributed random variables. Necessary and sufficient conditions are given for ∫φ(x)π(dx) < ∞, where φ(x) is a submultiplicative function, i.e. φ(0) = 1 and φ(x+y) ≤ φ(x)φ(y) for all x, y.

Malliavin Calculus and the Optimal Weighting Function in a Pure Jump Lévy Setting

2021 ◽  
Vol 55 ◽  
pp. 66-81
Author(s):  
Farai Julius Mhlanga
Keyword(s):  
Malliavin Calculus ◽  
Weighting Function ◽  
Sufficient Conditions ◽  
Option Price ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Weighted Function ◽  
Weighting Functions ◽  
Optimal Weighting ◽  
Necessary And Sufficient

The paper is devoted to the problem of obtaining weighting functions for the Greeks of an option price written on a stock whose dynamics are of pure jump type. The problem is motivated by the work of Fourni\'e et al. [8, 9], who considered the price sensitivities of a frictionless market and proved that Greeks can be computed as the expectation of the product of the discounted payoff $\Phi$ and a suitable weighted function, i.e.Greek = E[Φ(XT)weight]. Since the weighting functions are random variables that need to be explicitly computed on each specific case, we establish necessary and sufficient conditions to be satisfied. The method used relied on the Malliavin calculus for Levy processes.

scholarly journals Complete Convergence for Maximal Sums of Negatively Associated Random Variables

2010 ◽  
Vol 2010 ◽  
pp. 1-17 ◽  
Author(s):  
Victor M. Kruglov
Keyword(s):  
Complete Convergence ◽  
Sufficient Conditions ◽  
Random Variables ◽  
Necessary And Sufficient Conditions ◽  
Associated Random Variables ◽  
Negatively Associated ◽  
Maximal Inequalities ◽  
Negatively Associated Random Variables ◽  
Necessary And Sufficient

Necessary and sufficient conditions are given for the complete convergence of maximal sums of identically distributed negatively associated random variables. The conditions are expressed in terms of integrability of random variables. Proofs are based on new maximal inequalities for sums of bounded negatively associated random variables.

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