摘要:

In this paper we are concerned with the theory of second order (linear) innovations for discrete random processes. We show that of existence of a finite dimensional linear filter realizing the mapping from a discrete random processto innovations is equivalent to a certain semiseparable structure of the covariance sequence of the process. We also show that existence of a finite dimensional realization (linear or nonlinear) of the mapping from a process to its innovations implies that the process have this semiseparable covariance sequence property. In particular, for a stationary random process, the spectral density function must be rational.

ISSN:0090-9491    

DOI:10.1080/17442508308833283

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

In this paper a continuous time version of the discrete time disorder problem with probability maximizing approach posed by Bojdecki[2]is considered.

ISSN:0090-9491    

DOI:10.1080/17442508408833284

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/17442508308833285

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

This paper is concerned with the optimal stopping problem. We study the approximation method of the Snell envelope by using the solution of the discretized problem and an interpretation of these processes. A treatment of the problem is given from the point of view of the martingale approach. A part of results is based on the penalty method.

ISSN:0090-9491    

DOI:10.1080/17442508408833286

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

In this paper, we investigate the stochastic two-point boundary value problems:Under some less restricted conditions, by considering the related initial value problem for every sample path, we prove the existence, uniqueness, measurability and vibro-stability of the solution processes.

ISSN:0090-9491    

DOI:10.1080/17442508408833287

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

Suppose Tukey's 3R (“running median”) smoothing algorithm is applied to a strictly stationary sequence X: = (Xk) of random variables, thereby creating a new stationary sequence Xœ IfXsatisfies the strong (Rosenblatt) mixing condition, then so does .Xœ If X is an i.i.d. sequence with each X(k:) uniformly distributed on the interval [0,1], then Xœ fails to be (mixing. Thus two questions ofC. Mallows are answered.

ISSN:0090-9491    

DOI:10.1080/17442508408833288

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

Sulficient conditions are given for cn-consistency of Bayesian and maximum likelihood estimators both in terms of variation distance and in so-called “predictable” terms.

ISSN:0090-9491    

DOI:10.1080/17442508408833289

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

In the present paper, the problem of efficient sequential estimation for single row of the unknown intensity matrix in finite-state Markov processes is considered. All efficient sequential plans are determined.

ISSN:0090-9491    

DOI:10.1080/17442508308833290

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor

摘要:

In the present work we give general sufficient conditions in terms of Lyapunov functions which ensure existence of a weak solution for a stochastic differential equation for which conditions of existence hold in every bounded region.

ISSN:0090-9491    

DOI:10.1080/17442508408833291

出版商:Gordon and Breach Science Publishers Inc    

年代:1984

数据来源: Taylor