LIMIT-THEOREMS FOR MARKOV RANDOM-WALKS

被引：0

作者：

TANG, LC ^{[1
]}

机构：

[1] NATL UNIV SINGAPORE,DEPT IND & SYST ENGN,SINGAPORE 0511,SINGAPORE

来源：

STATISTICS & PROBABILITY LETTERS | 1993年 / 18卷 / 04期

关键词：

MARKOV RANDOM WALKS; CENTRAL LIMIT THEOREM; LAW OF ITERATED LOGARITHM;

D O I：

10.1016/0167-7152(93)90014-A

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For Markov Random walks we obtain the central limit theorem and law of iterated logarithm for the additive component of Markov random walks. The parameters involved are computed explicitly in terms of the transition measure of the Markov random walk. An application in finance is briefly discussed.

引用

页码：265 / 270

页数：6

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