An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds

This paper is concerned with the rate of convergence of the distribution of the sequence {Fn/Gn}, where Fn and Gn are each functionals of infinite-dimensional Gaussian fields. This form very frequently appears in the estimation problem of parameters occurring in Stochastic Differential Equations (SDEs) and Stochastic Partial Differential Equations (SPDEs). We develop a new technique to compute the exact rate of convergence on the Kolmogorov distance for the normal approximation of Fn/Gn. As a tool for our work, an Edgeworth expansion for the distribution of Fn/Gn, with an explicitly expressed remainder, will be developed, and this remainder term will be controlled to obtain an optimal bound. As an application, we provide an optimal Berry–Esseen bound of the Maximum Likelihood Estimator (MLE) of an unknown parameter appearing in SDEs and SPDEs.

On the exact rate of convergence of frequencies of digits and local dimensions of multinomial measures

We study the Hausdorff dimensions of certain sets of non-normal numbers defined in terms of the exact rate of convergence of digits in theirN-adic expansions. As an application of our results we analyse the rate of convergence of local dimensions of multinomial measures.

Empirical multifractal moment measures and moment scaling functions of self-similar multifractals

Let Si: ℝd → ℝd for i = 1, …, n be contracting similarities, and let (p1, …, pn) be a probability vector. Let K and μ be the self-similar set and the self-similar measure associated with (Si,pi)i. For q ∈ ℝ and r > 0, define the qth covering moment and the qth packing moment of μ by[formula here]where the infimum is taken over all r-spanning subsets E of K, and the supremum is taken over all r-separated subsets F of K. If the Open Set Condition (OSC) is satisfied then it is well known that[formula here]where β(q) is defined by [sum ]ipqirβi(q) = 1 (here ri denotes the Lipschitz constant of Si). Assuming the OSC, we determine the exact rate of convergence in (*): there exist multiplicatively periodic functions πq, Πq: (0,∞) → ℝ such that[formula here]where ε(r) → 0 as r[searr ]0. As an application of (**) we show that the empirical multi-fractal moment measures converges weakly:[formula here]where, for each positive r, Er is a (suitable) minimal r-spanning subset of K and Fr is a (suitable) maximal r-separated subset of K, and [Hscr ]q,β(q)μ and [Pscr ]q,β(q)μ are the multifractal Hausdorff measure and the multifractal packing measure, respectively.

Some asymptotic results for transient random walks with applications to insurance risk

We consider a real-valued random walk which drifts to -∞ and is such that the step distribution is heavy tailed, say, subexponential. We investigate the asymptotic tail behaviour of the distribution of the upwards first passage times. As an application, we obtain the exact rate of convergence for the ruin probability in finite time. Our result supplements similar theorems in risk theory.