Evaluation for moments of a ratio with application to regression estimation
Doukhan, Paul ; Lang, Gabriel
Bernoulli, Tome 15 (2009) no. 1, p. 1259-1286 / Harvested from Project Euclid
Ratios of random variables often appear in probability and statistical applications. We aim to approximate the moments of such ratios under several dependence assumptions. Extending the ideas in Collomb [C. R. Acad. Sci. Paris 285 (1977) 289–292], we propose sharper bounds for the moments of randomly weighted sums and for the Lp-deviations from the asymptotic normal law when the central limit theorem holds. We indicate suitable applications in finance and censored data analysis and focus on the applications in the field of functional estimation.
Publié le : 2009-11-15
Classification:  division,  ratio,  regression estimation,  weighted sums
@article{1262962235,
     author = {Doukhan, Paul and Lang, Gabriel},
     title = {Evaluation for moments of a ratio with application to regression estimation},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 1259-1286},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1262962235}
}
Doukhan, Paul; Lang, Gabriel. Evaluation for moments of a ratio with application to regression estimation. Bernoulli, Tome 15 (2009) no. 1, pp.  1259-1286. http://gdmltest.u-ga.fr/item/1262962235/