Approximation to the moments of ratios of cumulative sums
نویسندگان
چکیده
We propose an approximation to the mean of the ratio of cumulative sums of a sequence of independently distributed nonnegative random variables. Both leading term and higher-order saddlepoint approximations are presented, and the results are applied to a vector ratio approximation, change-point analysis, and kernel regression. The Canadian Journal of Statistics 42: 325–336; 2014 © 2014 Statistical Society of Canada Résumé: Les auteurs proposent une approximation pour la moyenne du ratio de la somme cumulative d’une séquence de variables aléatoires non négatives indépendantes. Des approximations en point de selle sont présentées pour le terme principal et les termes d’ordre supérieur. Les résultats sont appliqués à la distribution d’un vecteur de ratios, à une analyse du point de rupture et à la régression à noyau. La revue canadienne de statistique 42: 325–336; 2014 © 2014 Société statistique du Canada
منابع مشابه
Approximation to the moments of cumulative sums
Abstract: We propose an approximation to the mean of the ratio of cumulative sums of a sequence of independently distributed nonnegative random variables. We investigate leading term and higher order approximations. The result is applied to vector ratio approximation, changepoint analysis, and kernel regression, and compared with results in the literature. The Canadian Journal of Statistics : 1...
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