Asymptotic Expansions for the Moments of a Randomly Stopped Average
Aras, Girish ; Woodroofe, Michael
Ann. Statist., Tome 21 (1993) no. 1, p. 503-519 / Harvested from Project Euclid
Let $S_1$, $S_2,\cdots$ denote a driftless random walk with values in an inner product space $\mathscr{W}$; let $Z_1$, $Z_2,\cdots$ denote a perturbed random walk of the form $Z_n=n+\langle c,S_n \rangle+\xi_n$, $n = 1, 2,\cdots$, where $\xi_1,\xi_2,\cdots$ are slowly changing, $\langle\centerdot,\centerdot\rangle$ denotes the inner product, and $c\in\mathscr{W}$; and let $t=t_a=inf{n\geq1:Z_n>a}$ for $0\leq a<\infty$. Conditions are developed under which the first four moments of $X_t:=S_t/t$ have asymptotic expansions, and the expansions are found. Stopping times of this form arise naturally in sequential estimation problems, and the main results may be used to find asymptotic expansions for risk functions in such problems. Examples of such applications are included.
Publié le : 1993-03-14
Classification:  Anscombe's theorem,  martingales,  maximal inequalities,  nonlinear renewal theory,  sequential estimation,  stopping times,  risk functions,  62L12
@article{1176349039,
     author = {Aras, Girish and Woodroofe, Michael},
     title = {Asymptotic Expansions for the Moments of a Randomly Stopped Average},
     journal = {Ann. Statist.},
     volume = {21},
     number = {1},
     year = {1993},
     pages = { 503-519},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349039}
}
Aras, Girish; Woodroofe, Michael. Asymptotic Expansions for the Moments of a Randomly Stopped Average. Ann. Statist., Tome 21 (1993) no. 1, pp.  503-519. http://gdmltest.u-ga.fr/item/1176349039/