کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527250 958744 2014 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A martingale decomposition for quadratic forms of Markov chains (with applications)
ترجمه فارسی عنوان
تجزیه مارپیانگ برای فرمهای درجه دوم زنجیره مارکوف (با کاربرد)
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی
We develop a martingale-based decomposition for a general class of quadratic forms of Markov chains, which resembles the well-known Hoeffding decomposition of U-statistics of i.i.d. data up to a reminder term. To illustrate the applicability of our results, we discuss how this decomposition may be used to studying the large-sample properties of certain statistics in two problems: (i) we examine the asymptotic behavior of lag-window estimators in time series, and (ii) we derive an asymptotic linear representation and limiting distribution of U-statistics with varying kernels in time series. We also discuss simplified examples of interest in statistics and econometrics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 1, January 2014, Pages 646-677
نویسندگان
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