頁籤選單縮合
題 名 | A Note on First Passage Times of Stationary Sequences |
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作 者 | Ho,Hwai-chung; | 書刊名 | Statistica Sinica |
卷 期 | 9:3 1999.07[民88.07] |
頁 次 | 頁725-733 |
分類號 | 319.5 |
關鍵詞 | Elementary renewal theorem; First passage time; Gaussian sequence; Long-memory; Long-range dependence; Self-similar; |
語 文 | 英文(English) |
英文摘要 | Let G(.) be a Borel function applied to a stationary, possibly long-memory, sequence of standard Gaussian random variables { Xi }. Define the first passage time T(c) = inf{ n ≥ 1, Sn ≥ c }, c >0, for partial sums Sn=∑□G(Xi). Suppose G(Xi) has finite positive mean µ. When G(Xi) itself is positive or its negative part is under some moment conditions, it is proved that E(T(c)/c)^γ→µ^-γ for γ>0 as c tends to infinity. |
本系統中英文摘要資訊取自各篇刊載內容。