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Some Remarks On The Martingale Central Limit Theorem
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Book Synopsis Martingale Limit Theory and Its Application by : P. Hall
Download or read book Martingale Limit Theory and Its Application written by P. Hall and published by Academic Press. This book was released on 2014-07-10 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: Martingale Limit Theory and Its Application discusses the asymptotic properties of martingales, particularly as regards key prototype of probabilistic behavior that has wide applications. The book explains the thesis that martingale theory is central to probability theory, and also examines the relationships between martingales and processes embeddable in or approximated by Brownian motion. The text reviews the martingale convergence theorem, the classical limit theory and analogs, and the martingale limit theorems viewed as the rate of convergence results in the martingale convergence theorem. The book explains the square function inequalities, weak law of large numbers, as well as the strong law of large numbers. The text discusses the reverse martingales, martingale tail sums, the invariance principles in the central limit theorem, and also the law of the iterated logarithm. The book investigates the limit theory for stationary processes via corresponding results for approximating martingales and the estimation of parameters from stochastic processes. The text can be profitably used as a reference for mathematicians, advanced students, and professors of higher mathematics or statistics.
Download or read book Probability written by Allan Gut and published by Springer Science & Business Media. This book was released on 2013 with total page 619 pages. Available in PDF, EPUB and Kindle. Book excerpt: Like its predecessor, this book starts from the premise that, rather than being a purely mathematical discipline, probability theory is an intimate companion of statistics. The book starts with the basic tools, and goes on to cover a number of subjects in detail, including chapters on inequalities, characteristic functions and convergence. This is followed by a thorough treatment of the three main subjects in probability theory: the law of large numbers, the central limit theorem, and the law of the iterated logarithm. After a discussion of generalizations and extensions, the book concludes with an extensive chapter on martingales. The new edition is comprehensively updated, including some new material as well as around a dozen new references.
Book Synopsis Probability: A Graduate Course by : Allan Gut
Download or read book Probability: A Graduate Course written by Allan Gut and published by Springer Science & Business Media. This book was released on 2006-03-16 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook on the theory of probability starts from the premise that rather than being a purely mathematical discipline, probability theory is an intimate companion of statistics. The book starts with the basic tools, and goes on to cover a number of subjects in detail, including chapters on inequalities, characteristic functions and convergence. This is followed by explanations of the three main subjects in probability: the law of large numbers, the central limit theorem, and the law of the iterated logarithm. After a discussion of generalizations and extensions, the book concludes with an extensive chapter on martingales.
Book Synopsis A History of the Central Limit Theorem by : Hans Fischer
Download or read book A History of the Central Limit Theorem written by Hans Fischer and published by Springer Science & Business Media. This book was released on 2010-10-08 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study discusses the history of the central limit theorem and related probabilistic limit theorems from about 1810 through 1950. In this context the book also describes the historical development of analytical probability theory and its tools, such as characteristic functions or moments. The central limit theorem was originally deduced by Laplace as a statement about approximations for the distributions of sums of independent random variables within the framework of classical probability, which focused upon specific problems and applications. Making this theorem an autonomous mathematical object was very important for the development of modern probability theory.
Book Synopsis Limit Theorems for Stochastic Processes by : Jean Jacod
Download or read book Limit Theorems for Stochastic Processes written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an elementary introduction to the main topics: theory of martingales and stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.
Book Synopsis Probability with Martingales by : David Williams
Download or read book Probability with Martingales written by David Williams and published by Cambridge University Press. This book was released on 1991-02-14 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a masterly introduction to the modern, and rigorous, theory of probability. The author emphasises martingales and develops all the necessary measure theory.
Book Synopsis Fluctuations in Markov Processes by : Tomasz Komorowski
Download or read book Fluctuations in Markov Processes written by Tomasz Komorowski and published by Springer Science & Business Media. This book was released on 2012-07-05 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses. The second concerns application to exclusion processes, in which the duality methods are fully exploited. The third part is about the homogenization of diffusions in random fields, including passive tracers in turbulent flows (including the superdiffusive behavior). There are no other books in the mathematical literature that deal with this kind of approach to the problem of the central limit theorem. Hence, this volume meets the demand for a monograph on this powerful approach, now widely used in many areas of probability and mathematical physics. The book also covers the connections with and application to hydrodynamic limits and homogenization theory, so besides probability researchers it will also be of interest also to mathematical physicists and analysts.
Book Synopsis Continuous Martingales and Brownian Motion by : Daniel Revuz
Download or read book Continuous Martingales and Brownian Motion written by Daniel Revuz and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.
Book Synopsis Bulletin - Institute of Mathematical Statistics by : Institute of Mathematical Statistics
Download or read book Bulletin - Institute of Mathematical Statistics written by Institute of Mathematical Statistics and published by . This book was released on 1990 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Uniform Central Limit Theorems by : R. M. Dudley
Download or read book Uniform Central Limit Theorems written by R. M. Dudley and published by Cambridge University Press. This book was released on 2014-02-24 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: This expanded edition of the classic work on empirical processes now boasts several new proved theorems not in the first.
Book Synopsis Journal of Statistical Planning and Inference by : North-Holland Publishing Company
Download or read book Journal of Statistical Planning and Inference written by North-Holland Publishing Company and published by . This book was released on 2000 with total page 1300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Geometrical and Statistical Aspects of Probability in Banach Spaces by : Xavier Fernique
Download or read book Geometrical and Statistical Aspects of Probability in Banach Spaces written by Xavier Fernique and published by Springer. This book was released on 2006-11-14 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Counting Processes and Survival Analysis by : Thomas R. Fleming
Download or read book Counting Processes and Survival Analysis written by Thomas R. Fleming and published by John Wiley & Sons. This book was released on 2013-08-12 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "The book is a valuable completion of the literature in this field. It is written in an ambitious mathematical style and can be recommended to statisticians as well as biostatisticians." -Biometrische Zeitschrift "Not many books manage to combine convincingly topics from probability theory over mathematical statistics to applied statistics. This is one of them. The book has other strong points to recommend it: it is written with meticulous care, in a lucid style, general results being illustrated by examples from statistical theory and practice, and a bunch of exercises serve to further elucidate and elaborate on the text." -Mathematical Reviews "This book gives a thorough introduction to martingale and counting process methods in survival analysis thereby filling a gap in the literature." -Zentralblatt für Mathematik und ihre Grenzgebiete/Mathematics Abstracts "The authors have performed a valuable service to researchers in providing this material in [a] self-contained and accessible form. . . This text [is] essential reading for the probabilist or mathematical statistician working in the area of survival analysis." -Short Book Reviews, International Statistical Institute Counting Processes and Survival Analysis explores the martingale approach to the statistical analysis of counting processes, with an emphasis on the application of those methods to censored failure time data. This approach has proven remarkably successful in yielding results about statistical methods for many problems arising in censored data. A thorough treatment of the calculus of martingales as well as the most important applications of these methods to censored data is offered. Additionally, the book examines classical problems in asymptotic distribution theory for counting process methods and newer methods for graphical analysis and diagnostics of censored data. Exercises are included to provide practice in applying martingale methods and insight into the calculus itself.
Book Synopsis Algorithmics of Nonuniformity by : Micha Hofri
Download or read book Algorithmics of Nonuniformity written by Micha Hofri and published by CRC Press. This book was released on 2018-07-16 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithmics of Nonuniformity is a solid presentation about the analysis of algorithms, and the data structures that support them. Traditionally, algorithmics have been approached either via a probabilistic view or an analytic approach. The authors adopt both approaches and bring them together to get the best of both worlds and benefit from the advantage of each approach. The text examines algorithms that are designed to handle general data—sort any array, find the median of any numerical set, and identify patterns in any setting. At the same time, it evaluates "average" performance, "typical" behavior, or in mathematical terms, the expectations of the random variables that describe their operations. Many exercises are presented, which are essential since they convey additional material complementing the content of the chapters. For this reason, the solutions are more than mere answers, but explain and expand upon related concepts, and motivate further work by the reader. Highlights: A unique book that merges probability with analysis of algorithms Approaches analysis of algorithms from the angle of uniformity Non-uniformity makes more realistic models of real-life scenarios possible Results can be applied to many applications Includes many exercises of various levels of difficulty About the Authors: Micha Hofri is a Professor of Computer Science, and former department head at Worcester Polytechnic Institute. He holds a Ph.D. of Industrial Engineering (1972), all from Technion, the Israel Institute of Technology. He has 39 publications in Mathematics. Hosam Mahmoud is a Professor at, the Department of Statistics at George Washington University in Washington D.C., where he used to be the former chair. He holds an Ph.D. in Computer Science from Ohio State University. He is on the editorial board of five academic journals.
Book Synopsis Probability Measures on Metric Spaces by : K. R. Parthasarathy
Download or read book Probability Measures on Metric Spaces written by K. R. Parthasarathy and published by Academic Press. This book was released on 2014-07-03 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probability Measures on Metric Spaces presents the general theory of probability measures in abstract metric spaces. This book deals with complete separable metric groups, locally impact abelian groups, Hilbert spaces, and the spaces of continuous functions. Organized into seven chapters, this book begins with an overview of isomorphism theorem, which states that two Borel subsets of complete separable metric spaces are isomorphic if and only if they have the same cardinality. This text then deals with properties such as tightness, regularity, and perfectness of measures defined on metric spaces. Other chapters consider the arithmetic of probability distributions in topological groups. This book discusses as well the proofs of the classical extension theorems and existence of conditional and regular conditional probabilities in standard Borel spaces. The final chapter deals with the compactness criteria for sets of probability measures and their applications to testing statistical hypotheses. This book is a valuable resource for statisticians.
Book Synopsis Mathematical Methods in Survival Analysis, Reliability and Quality of Life by : Catherine Huber
Download or read book Mathematical Methods in Survival Analysis, Reliability and Quality of Life written by Catherine Huber and published by John Wiley & Sons. This book was released on 2013-03-01 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reliability and survival analysis are important applications of stochastic mathematics (probability, statistics and stochastic processes) that are usually covered separately in spite of the similarity of the involved mathematical theory. This title aims to redress this situation: it includes 21 chapters divided into four parts: Survival analysis, Reliability, Quality of life, and Related topics. Many of these chapters were presented at the European Seminar on Mathematical Methods for Survival Analysis, Reliability and Quality of Life in 2006.
Book Synopsis Probability Theory and Stochastic Processes by : Pierre Brémaud
Download or read book Probability Theory and Stochastic Processes written by Pierre Brémaud and published by Springer Nature. This book was released on 2020-04-07 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate objective of this book is to present a panoramic view of the main stochastic processes which have an impact on applications, with complete proofs and exercises. Random processes play a central role in the applied sciences, including operations research, insurance, finance, biology, physics, computer and communications networks, and signal processing. In order to help the reader to reach a level of technical autonomy sufficient to understand the presented models, this book includes a reasonable dose of probability theory. On the other hand, the study of stochastic processes gives an opportunity to apply the main theoretical results of probability theory beyond classroom examples and in a non-trivial manner that makes this discipline look more attractive to the applications-oriented student. One can distinguish three parts of this book. The first four chapters are about probability theory, Chapters 5 to 8 concern random sequences, or discrete-time stochastic processes, and the rest of the book focuses on stochastic processes and point processes. There is sufficient modularity for the instructor or the self-teaching reader to design a course or a study program adapted to her/his specific needs. This book is in a large measure self-contained.
