Results 21 to 30 of about 577 (49)
Global Central Limit Theorems for Stationary Markov Chains
Annales Mathematicae SilesianaeLet P be a Markov operator on a general state space (S, Σ) with an invariant probability measure m, assumed to be ergodic. We study conditions which yield that for every centered non-zero f ∈ L2(m) a non-degenerate annealed CLT and an L2-normalized CLT ...
Lin Michael
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On the functional CLT for stationary Markov Chains started at a point
, 2016 We present a general functional central limit theorem started at a point also known under the name of quenched. As a consequence, we point out several new classes of stationary processes, defined via projection conditions, which satisfy this type of ...
Barrera, David +2 more
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Embedded Markov chain approximations in Skorokhod topologies
, 2018 In order to approximate a continuous time stochastic process by discrete time Markov chains one has several options to embed the Markov chains into continuous time processes.
Böttcher, Björn
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On limiting cluster size distributions for processes of exceedances for stationary sequences
, 2010 It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows.
Borovkov +10 more
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Optimal policies for discrete time risk processes with a Markov chain investment model [PDF]
, 2006 We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be invested in stock market assets. We adopt a realistic point of view and we let the investment return process to be statistically dependent over time.
Diasparra, Maikol, Romera, Rosario
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On the stability of nonlinear ARMA models [PDF]
In the present paper we study the stability of a class of nonlinear ARMA models. We derive a sufficient condition to ensure the geometric ergodicity and we apply it to a very general threshold ARMA model imposing a mild assumption on the ...
Fonseca Giovanni
core
, 2016 Let $(Z_n)$ be a supercritical branching process in an independent and identically distributed random environment $\xi$. We show the exact decay rate of the probability $\mathbb{P}(Z_n=j | Z_0 = k)$ as $n \to \infty$, for each $j \geq k,$ assuming that $\
Grama, Ion, Liu, Quansheng, Miqueu, Eric
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Maximum and minimum of modified gambler's ruin problem
, 2013 We obtain maximum and minimum of modified gambler's ruin problem by studying discrete random walk with absorbing barriers on the boundary. The modification is that our process can move one step forward or backward (standard gambler's ruin problem), but ...
van Uem, Theo
core
Multivariate Markov Families of Copulas
Dependence Modeling, 2015 Overbeck Ludger, Schmidt Wolfgang M.
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