Let {F-n} be a filtration, {X-n} an adapted sequence of real random variables, and {a(n)} a predictable sequence of non-negative random variables with alpha(1) > 0. Set beta(n) = Sigma(i=1)(n) alpha(i) and define the random distribution functions F-n(t) = (1/beta(n)) Sigma(i=1)(n) alpha(i)I{X-iless than or equal tot} and B-n(t) = (1/beta(n)) Sigma(i=1)(n) alpha(i)P(X-i less than or equal to t\Ft-1). Under mild assumptions on {alpha(n)}, it is shown that sup\F-n,(t) - B-n(t)\ --> 0, a.s. on the set {F-n or B-n converges uniformly}. Moreover, conditions are given under which F-n converges uniformly with probability 1.

A uniform limit theorem for predictive distributions / Berti, Patrizia; P., Rigo. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 56(2002), pp. 113-120.

A uniform limit theorem for predictive distributions

BERTI, Patrizia;
2002

Abstract

Let {F-n} be a filtration, {X-n} an adapted sequence of real random variables, and {a(n)} a predictable sequence of non-negative random variables with alpha(1) > 0. Set beta(n) = Sigma(i=1)(n) alpha(i) and define the random distribution functions F-n(t) = (1/beta(n)) Sigma(i=1)(n) alpha(i)I{X-iless than or equal tot} and B-n(t) = (1/beta(n)) Sigma(i=1)(n) alpha(i)P(X-i less than or equal to t\Ft-1). Under mild assumptions on {alpha(n)}, it is shown that sup\F-n,(t) - B-n(t)\ --> 0, a.s. on the set {F-n or B-n converges uniformly}. Moreover, conditions are given under which F-n converges uniformly with probability 1.
56
113
120
A uniform limit theorem for predictive distributions / Berti, Patrizia; P., Rigo. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 56(2002), pp. 113-120.
Berti, Patrizia; P., Rigo
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11380/305847
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 3
social impact