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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Density estimation Kullback–Leibler divergence
2011/7/6
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model.
Perfect Simulation from the Quicksort Limit Distribution
Quicksort random variate generation simulation perfect simulation rejection method fixed-point equation
2009/5/4
The weak limit of the normalized number of comparisons needed by the Quicksort algorithm to sort n randomly permuted items is known to be determined implicitly by a distributional point equation. We g...
When Does a Randomly Weighted Self-normalized Sum Converge in Distribution?
Weighted Self-normalized Sum Distribution
2009/4/7
We determine exactly when a certain randomly weighted, self--normalized sum converges in distribution, partially verifying a 1965 conjecture of Leo Breiman. We, then, apply our results to characterize...