Asymptotic methods in stochastics : festschrift for Miklós Csörgő / Lajos Horváth, Barbara Szyszkowicz editors.

Format:

Book

Conference/Event

Contributor:

Csörgö, M.

Horváth, Lajos, 1956-

Szyszkowicz, Barbara.

Conference Name:

International Conference on Asymptotic Methods in Stochastics (2002 : Ottawa, Ont.)

Series:

Fields Institute communications 1069-5265 ; v. 44.

Fields Institute communications, 1069-5265 ; v. 44

Language:

English

Subjects (All):

Stochastic processes--Congresses.

Stochastic processes.

Asymptotic expansions--Congresses.

Asymptotic expansions.

Genre:

Conference papers and proceedings.

Festschriften.

Physical Description:

xiv, 530 pages : illustrations, portrait ; 26 cm.

Place of Publication:

Providence, R.I. : American Mathematical Society, [2004]

Contents:

Part 1 Path Properties of Stochastic Processes

Our Joint Work with Miklos Csorgo / Endre Csaki, Antonia Foldes, Zhan Shi 3

Brownian Sheet and Quasi-sure Analysis / Davar Khoshnevisan 25

Hardy's Inequality in L[superscript 2]([0, 1]) and Principal Values of Brownian Local Times / Giovanni Peccati, Marc Yor 49

Four Limit Theorems for Quadratic Functionals of Brownian Motion and Brownian Bridge / Giovanni Peccati, Marc Yor 75

Tell Me the Values of a Wiener at Integers, I Tell You Its Local Time / Pal Revesz 89

Part 2 Probability Theory with Applications

Chaotic Maps with Slowly Decaying Correlations and Intermittency / R.J. Bhansali, M.P. Holland, P.S. Kokoszka 99

Recent Results on p-Stable Convex Compact Sets with Applications / Youri Davydov, Vygantas Paulauskas 127

Convex Rearrangements of Random Elements / Youri Davydov, Ricardas Zitikis 141

Hierarchical Random Walks / D.A. Dawson, L.G. Gorostiza, A. Wakolbinger 173

On Helgason's Number and Khintchine's Inequality / Kenneth A. Ross, Qi-Man Shao 195

Part 3 Complete Convergence of Renewal Counting Processes and Bootstrap Means

Convergence Rates and Precise Asymptotics for Renewal Counting Processes and Some First Passage Times / Allan Gut, Josef Steinebach 205

On the Complete Convergence of Bootstrap Means / Sandor Csorgo 229

Part 4 Weak Convergence of Random Size Sums, Almost Sure Stability of Weighted Maxima

Weak Convergence of Random Sums and Maximum Radnom Sums under Nonrandom Norming / Iwona Cwiklinska, Zdzislaw Rychlik 245

Criteria for the Almost Sure Stability of Weighted Maxima of Bounded i.i.d. Random Variables / R.J. Tomkins 265

Part 5 Procedures for Detecting Changes in Statistical Models

Permutation Principle and Bootstrap in Change Point Analysis / Marie Huskova 273

Change Point Detection Based on L-statistics / Emad-Eldin A.A. Aly 293

Sequential Tests for Change in the Parameters of Nested Random Effects Model / Eshetu Atenafu, Edit Gombay 301

Using U-Statistics Based Processes to Detect Multiple Change-points / Markus Orasch 315

Part 6 Statistical Inference Via Conditional Quantiles, Cumulative Sums, Multinomial Samples, and Empirical Processes

Statistical Methods Learning and Conditional Quantiles / Emanuel Parzen 337

Testing Regression Models: A Strong Martingale Approach / Murray D. Burke 351

Conditional Distribution of the H-coefficient in Nonparametric Unfolding Models / Andre Robert Dabrowski, Herold Dehling 367

Empirical Processes Based on Pseudo-observations II: The Multivariate Case / Kilani Ghoudi, Bruno Remillard 381

Part 7 Applications to Economics

Probabilistic and Statistical Properties of GARCH Processes / Istvan Berkes, Lajos Horvath, Piotr Kokoszka 409

Stochastic Finance: Discrete Time Processes and Risk Neutral Pricing / Reg Kulperger 431

Estimating the Correlation of Processes Using Extreme Values / Don L. McLeish 447

Analyzing Residual Processes of (G)ARCH Time Series Models / Hao Yu 469

Part 8 Self-Normalized Partial Sums Processes

On Weighted Approximations and Strong Limit Theorems for Self-normalized Partial Sums Processes / Miklos Csorgo, Barbara Szyszkowicz, Qiying Wang 489

On Darling-Erdos Type Theorems for Self-normalized Sums / Qiying Wang 523.

Notes:

Includes bibliographical references.

ISBN:

0821835610

OCLC:

56192507