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Martingale Limit Theory and Its Application
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The article was published on 2014-09-23 and is currently open access. It has received 3075 citations till now. The article focuses on the topics: Local martingale & Doob's martingale inequality.read more
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Quantile Estimation with Adaptive Importance Sampling
Daniel Egloff,Markus Leippold +1 more
TL;DR: In this article, the adaptive quantile estimators with adaptive importance sampling are introduced, which are based on weighted samples that are neither independent nor identically distributed, and they are shown to converge with the law of iterated logarithm for martingales.
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Limit theorems for non-hyperbolic automorphisms of the torus
TL;DR: For non-hyperbolic automorphisms of the torus, this paper proved the Donsker and Strassen invariance principles and other results for ergodic sums associated to regular functions.
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Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
TL;DR: Moreira et al. as discussed by the authors provided a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests.
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Immigrated urn models - asymptotic properties and applications
TL;DR: In this article, the authors proposed a new and general class of immigrated urn (IMU) models that incorporated the immigration mechanism into the urn process, which has been widely studied and applied in both scientific and social science disciplines.
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Portmanteau test and simultaneous inference for serial covariances
Han Xiao,Wei Biao Wu +1 more
TL;DR: In this article, the authors present a systematic theory for asymptotic inferences based on autocovariances of stationary processes, and develop a normal comparison principle and propose a sufficient condition for summability of joint cumulants.