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Search Results: 1 - 10 of 212113 matches for " Zhang Li-Xin "
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Self-normalized moderate deviation and laws of the iterated logarithm under G-expectation
Li-Xin Zhang
Mathematics , 2015,
Abstract: The sub-linear expectation or called G-expectation is a nonlinear expectation having advantage of modeling non-additive probability problems and the volatility uncertainty in finance. Let $\{X_n;n\ge 1\}$ be a sequence of independent random variables in a sub-linear expectation space $(\Omega, \mathscr{H}, \widehat{\mathbb E})$. Denote $S_n=\sum_{k=1}^n X_k$ and $V_n^2=\sum_{k=1}^n X_k^2$. In this paper, a moderate deviation for self-normalized sums, that is, the asymptotic capacity of the event $\{S_n/V_n \ge x_n \}$ for $x_n=o(\sqrt{n})$, is found both for identically distributed random variables and independent but not necessarily identically distributed random variables. As an applications, the self-normalized laws of the iterated logarithm are obtained.
Rosenthal's inequalities for independent and negatively dependent random variables under sub-linear expectations with applications
Li-Xin Zhang
Mathematics , 2014,
Abstract: Classical Kolmogorov's and Rosenthal's inequalities for the maximum partial sums of random variables are basic tools for studying the strong laws of large numbers. In this paper, motived by the notion of independent and identically distributed random variables under the sub-linear expectation initiated by Peng (2006, 2008b), we introduce the concept of negative dependence of random variables and establish Kolmogorov's and Rosenthal's inequalities for the maximum partial sums of negatively dependent random variables under the sub-linear expectations. As an application, we show that Kolmogorov's strong law of larger numbers holds for independent and identically distributed under a continuous sub-linear expectation if and only if the corresponding Choquet integral is finite.
Adaptive Allocation Theory in Clinical Trials
Li-Xin Zhang
Mathematics , 2006,
Abstract: Various adaptive randomization procedures (adaptive designs) have been proposed to clinical trials. This paper discusses several broad families of procedures, such as the play-the-winner rule and Markov chain model, randomized play-the-winner rule and urn models, drop-the-loser rule, doubly biased coin adaptive design. Asymptotic theories are presented with several pivotal proofs. The effect of delayed responses, the power and variability comparison of these designs are also discussed.
On the rates of the other law of the logarithm
Li-Xin Zhang
Mathematics , 2006,
Abstract: By using the strong approximation, this paper establishes several limit results on the convergent rate of a infinite series of probabilities on the other law of iterated logarithm.
Precise rates in the law of the iterated logarithm
Li-Xin Zhang
Mathematics , 2006,
Abstract: Let $X$, $X_1$, $X_2$, $...$ be i.i.d. random variables, and let $S_n=X_1+... + X_n$ be the partial sums and $M_n=\max_{k\le n}|S_k|$ be the maximum partial sums. We give the sufficient and necessary conditions for a kind of limit theorems to hold on the convergence rate of the tail probabilities of both $S_n$ and $M_n$. These results are related to the law of the iterated logarithm. The results of Gut and Spataru (2000) are special cases of ours.
Precise Asymptotics in Chung's law of the iterated logarithm
Li-Xin Zhang
Mathematics , 2006,
Abstract: This paper gives sufficent and necessary conditions on a kind of limit results to hold on the precise convergent rate of an infinite series of probabilities on the Chung type law of the iterated logarithm.
Exponential inequalities under sub-linear expectations with applications to laws of the iterated logarithm
Li-Xin Zhang
Mathematics , 2014,
Abstract: Kolmogorov's exponential inequalities are basic tools for studying the strong limit theorems such as the classical laws of the iterated logarithm for both independent and dependent random variables. This paper establishes the Kolmogorov type exponential inequalities of the partial sums of independent random variables as well as negatively dependent random variables under the sub-linear expectations. As applications of the exponential inequalities, the laws of the iterated logarithm in the sense of non-additive capacities are proved for independent or negatively dependent identically distributed random variables with finite second order moments. For deriving a lower bound of an exponential inequality, a central limit theorem is also proved under the sub-linear expectation for random variables with only finite variances.
Convergence to a self-normalized G-Brownian motion
Li-Xin Zhang
Mathematics , 2015,
Abstract: G-Brownian motion has a very rich and interesting new structure which nontrivially generalizes the classical one. Its quadratic variation process is also a continuous process with independent and stationary increments. We prove a self-normalized functional central limit theorem for independent and identically distributed random variables under the sub-linear expectation with the limit process being a G-Browian motion self-normalized by its quadratic variation. To prove the self-normalized central limit theorem, we also establish a new Donsker's invariance principle.
Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm
Li-Xin Zhang
Mathematics , 2015, DOI: 10.1007/s40304-015-0055-0
Abstract: We prove a new Donsker's invariance principle for independent and identically distributed random variables under the sub-linear expectation. As applications, the small deviations and Chung's law of the iterated logarithm are obtained.
A Gaussian Process Approximation for a two-color Randomly Reinforced Urns
Li-Xin Zhang
Statistics , 2011,
Abstract: We prove a Gaussian process approximation for the sequence of random compositions of a two-color randomly reinforced urn for both the cases with the equal and unequal reinforcement means. By using the Gaussian approximation, the law of the iterated logarithm and the functional limit central limit theorem in both the stable convergence sense and the almost-sure conditional convergence sense are established. Also as a consequence, we are able to to prove that the distribution of the urn composition has no points masses both when the reinforcement means are equal and unequal under the assumption of only finite $(2+\epsilon)$-th moments.
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