Title of article
Limit Theorems for a Correlated Moving Window Model
Author/Authors
Singh ، Deepak Department of Mathematics - Faculty of Sciences - Indian Institute of Technology , Kumar ، Somesh Department of Mathematics - Faculty of Sciences - Indian Institute of Technology
From page
2883
To page
2898
Abstract
A new dependent model for a sequence of moving window variables that has an application in multiple scan statistics is proposed in this paper. In continuation of the existing conditional models, this model seems to be a generalization when the length of a window is greater than one. Moment structure and some basic properties for the model are established. These are used to prove limit theorems for the sums of dependent moving window variables. The central limit theorem is validated using simulation.
Keywords
Moving windows , Multiple scan statistic , Martingale , Central limit theorem , Strong law of large numbers , Law of iterated logarithm
Journal title
Bulletin of the Iranian Mathematical Society
Journal title
Bulletin of the Iranian Mathematical Society
Record number
2757041
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