A CENTRAL-LIMIT-THEOREM FOR AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESSES

被引：1

作者：

ANGUS, JE

机构：

[1] Department of Mathematics, The Claremont Graduate School, Claremont, CA 91711

来源：

MATHEMATICAL AND COMPUTER MODELLING | 1993年 / 17卷 / 10期

关键词：

D O I：

10.1016/0895-7177(93)90112-C

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A central limit theorem for normalized sums of random variables that form an autoregressive integrated moving average (ARIMA) process is developed. The need for such a limit theorem is discussed in connection with modeling total compensation costs associated with insurance or medical claims.

引用

页码：3 / 9

页数：7

共 50 条

[1] CONVERGENCE-RATES IN THE CENTRAL-LIMIT-THEOREM FOR MEANS OF AUTOREGRESSIVE AND MOVING AVERAGE SEQUENCES
HALL, P
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1992, 43 (01) : 115 - 131
[2] AVERAGE ERROR IN THE CENTRAL-LIMIT-THEOREM FOR THE CUMULATIVE PROCESSES
ROGINSKY, A
[J]. STATISTICS & PROBABILITY LETTERS, 1995, 24 (03) : 199 - 204
[3] A CENTRAL-LIMIT-THEOREM FOR CUMULATIVE PROCESSES
ROGINSKY, AL
[J]. ADVANCES IN APPLIED PROBABILITY, 1994, 26 (01) : 104 - 121
[4] A CENTRAL-LIMIT-THEOREM FOR WEIGHTED AND INTEGRATED MARTINGALES
SRINIVASAN, C
ZHOU, M
[J]. SCANDINAVIAN JOURNAL OF STATISTICS, 1995, 22 (04) : 493 - 504
[5] THE CENTRAL-LIMIT-THEOREM FOR STOCHASTIC-PROCESSES
ANDERSEN, NT
DOBRIC, V
[J]. ANNALS OF PROBABILITY, 1987, 15 (01): : 164 - 177
[6] A CENTRAL-LIMIT-THEOREM FOR D(A)-VALUED PROCESSES
BASS, RF
PYKE, R
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1987, 24 (01) : 109 - 131
[7] LECTURES ON THE CENTRAL-LIMIT-THEOREM FOR EMPIRICAL PROCESSES
GINE, E
ZINN, J
[J]. LECTURE NOTES IN MATHEMATICS, 1986, 1221 : 50 - 113
[8] A CENTRAL-LIMIT-THEOREM FOR CYCLIC RANK PROCESSES
EPLETT, WJR
[J]. SANKHYA-THE INDIAN JOURNAL OF STATISTICS SERIES A, 1986, 48 : 240 - 246
[9] THE FUNCTIONAL CENTRAL-LIMIT-THEOREM FOR STRONGLY MIXING PROCESSES
DOUKHAN, P
MASSART, P
RIO, E
[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 1994, 30 (01): : 63 - 82
[10] RATES OF CONVERGENCE IN THE CENTRAL-LIMIT-THEOREM FOR EMPIRICAL PROCESSES
MASSART, P
[J]. LECTURE NOTES IN MATHEMATICS, 1986, 1193 : 73 - 109

← 1 2 3 4 5 →