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Self-Normalized Processes: Limit Theory and Statistical Applications (Probability and Its Applications) download epub

by Victor H. Peña,Tze Leung Lai,Qi-Man Shao


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Autoren: Peña, Victor . Lai, Tze Leung, Shao, Qi-Man. Systematically treats the theory and applications of self-normalization

Autoren: Peña, Victor . Systematically treats the theory and applications of self-normalization. Fills a current gap in PhD level courses in probability and statistics offered by major Statistics departments. Rich enough in its coverage to provide such a second course for PhD students. 2000), Monte Carlo Methods In Bayesian Computation. Springer Series in Statistics, Springer-Verlag, New York.

Self-normalized processes are of common occurrence in probabilistic and statistical studies. A prototypical example is Student's t-statistic introduced in 1908 by Gosset, whose portrait is on the front cover

Self-normalized processes are of common occurrence in probabilistic and statistical studies. A prototypical example is Student's t-statistic introduced in 1908 by Gosset, whose portrait is on the front cover. Due to the highly non-linear nature of these processes, the theory experienced a long period of slow development. In recent years, there have been a number of importa Self-normalized processes are of common occurrence in probabilistic and statistical studies.

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Asymptotic Theory in Probability and Statistics with Applications. Qi-Man Shao Department of Mathematics University of Oregon. 2000 Mathematics Subject Classification. It starts with the probability theory of self-normalization (Lai and Shao), followed by random partitions (Su), adaptive designs (Zhang), Gaussian processes (Wang), Gaussian random elds (Xiao), large deviations the-ory for two-parameter Gaussian processes (Chen and Cso¨rgo˝), intersec-tion local times (Chen), and ends with limit.

In this chapter we provide a general framework for the probability theory of self-normalized processes. We begin by describing another method to prove the large deviation result (. ) for self-normalized sums of . This approach leads to an exponential family of supermartingales associated with self-normalization in Sect.

Victor H. De la Peña, Tze Leung Lai, and Qi-Man Shao. Probability and Its Applications.

Self-Normalized Processes: Limit Theory and Statistical Applications. Victor H.

The limit distribution of the self-normalized sums Sn /Vn has been proved by. .Self-Normalized Processes: Limit Theory and Statistical Applications. MR2488094 MR2488094 V. Egorov.

The limit distribution of the self-normalized sums Sn /Vn has been proved by Efron (1969) and Logan et al. (1973). Giné, Götze and Mason (1997) prove that Tn has a limiting standard normal distribution if and only if X 1 is in the domain of attraction of a normal law by making use of exponential and L p bounds for the self-normalized sums Sn /Vn By replacing the denominator in (. ) by its upper bound which can be derived from (. ), we obtain an inequalityP comparable to (. ).

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Self-normalized processes are of common occurrence in probabilistic and statistical studies. A prototypical example is Student's t-statistic introduced in 1908 by Gosset, whose portrait is on the front cover. Due to the highly non-linear nature of these processes, the theory experienced a long period of slow development. In recent years there have been a number of important advances in the theory and applications of self-normalized processes. Some of these developments are closely linked to the study of central limit theorems, which imply that self-normalized processes are approximate pivots for statistical inference.

The present volume covers recent developments in the area, including self-normalized large and moderate deviations, and laws of the iterated logarithms for self-normalized martingales. This is the first book that systematically treats the theory and applications of self-normalization.


Self-Normalized Processes: Limit Theory and Statistical Applications (Probability and Its Applications) download epub
Mathematics
Author: Victor H. Peña,Tze Leung Lai,Qi-Man Shao
ISBN: 3540856358
Category: Science & Math
Subcategory: Mathematics
Language: English
Publisher: Springer; 2009 edition (January 29, 2009)
Pages: 275 pages