On Probabilities of Moderate Deviations of Empirical Measures for Contiguous Distributions
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Mathematical Sciences"
DOI: 10.1007/s10958-018-3706-3
Abstract: The large deviation principle for moderate deviation probabilities of empirical measures for contiguous distributions is proved. read more here.
Keywords: probabilities moderate; moderate deviations; deviations empirical; measures contiguous ... See more keywords
Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
Sign Up to like & getrecommendations! Published in 2018 at "Frontiers of Mathematics in China"
DOI: 10.1007/s11464-018-0705-0
Abstract: We consider the Euler-Maruyama discretization of stochastic volatility model dSt = σtStdWt, dσt = ωσtdZt, t ∈ [0, T], which has been widely used in financial practice, where Wt,Zt, t ∈ [0, T], are two… read more here.
Keywords: stochastic volatility; volatility; moderate deviations; euler maruyama ... See more keywords
Cramér-type moderate deviations for stationary sequences of bounded random variables
Sign Up to like & getrecommendations! Published in 2019 at "Comptes Rendus Mathematique"
DOI: 10.1016/j.crma.2019.05.003
Abstract: Abstract We derive Cramer-type moderate deviations for stationary sequences of bounded random variables. Our results imply the moderate deviation principles and a Berry–Esseen bound. Applications to quantile coupling inequalities, functions of ϕ-mixing sequences, and contracting… read more here.
Keywords: bounded random; moderate deviations; deviations stationary; stationary sequences ... See more keywords
Moderate deviations-based importance sampling for stochastic recursive equations
Sign Up to like & getrecommendations! Published in 2017 at "Advances in Applied Probability"
DOI: 10.1017/apr.2017.31
Abstract: Abstract Subsolutions to the Hamilton–Jacobi–Bellman equation associated with a moderate deviations approximation are used to design importance sampling changes of measure for stochastic recursive equations. Analogous to what has been done for large deviations subsolution-based… read more here.
Keywords: stochastic recursive; moderate deviations; importance sampling; based importance ... See more keywords
Moderate deviations for quantile regression processes
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1473429
Abstract: Abstract This paper mainly discusses the asymptotic properties of quantile regression processes. In view of the exponential tightness and convexity argument, we prove the quantile regression estimators satisfy the functional moderate deviation principle. This method… read more here.
Keywords: quantile regression; regression; regression processes; deviations quantile ... See more keywords
Moderate deviations for the random weighted sums of WUOD random variables with consistently varying tails
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1543775
Abstract: Abstract In this paper, we investigate the moderate deviations for random weighted sums of widely upper orthant dependent (WUOD) random variables with consistently varying tails, which are not necessarily identically distributed. In the end, we… read more here.
Keywords: random variables; deviations random; weighted sums; moderate deviations ... See more keywords
Moderate deviations of subgraph counts in the Erdős-Rényi random graphs 𝐺(𝑛,𝑚) and 𝐺(𝑛,𝑝)
Sign Up to like & getrecommendations! Published in 2020 at "Transactions of the American Mathematical Society"
DOI: 10.1090/tran/8117
Abstract: The main contribution of this article is an asymptotic expression for the rate associated with moderate deviations of subgraph counts in the Erdős-Rényi random graph G ( n , m ) G(n,m) . Our approach… read more here.
Keywords: subgraph counts; erd nyi; moderate deviations; nyi random ... See more keywords
Achievable Moderate Deviations Asymptotics for Streaming Compression of Correlated Sources
Sign Up to like & getrecommendations! Published in 2018 at "IEEE Transactions on Information Theory"
DOI: 10.1109/tit.2017.2787183
Abstract: Motivated by streaming multi-view video coding and wireless sensor networks, we consider the problem of blockwise streaming compression of a pair of correlated sources, which we term streaming Slepian-Wolf coding. We study the moderate deviations… read more here.
Keywords: tex math; moderate deviations; streaming compression; inline formula ... See more keywords
Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
Sign Up to like & getrecommendations! Published in 2020 at "Stochastics and Dynamics"
DOI: 10.1142/s0219493721500271
Abstract: For the Ornstein–Uhlenbeck process in stationary and explosive cases, this paper studies Cramer-type moderate deviations for the log-likelihood ratio process. As an application, we give the negativ... read more here.
Keywords: uhlenbeck process; moderate deviations; likelihood ratio; ornstein uhlenbeck ... See more keywords