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Please use this identifier to cite or link to this item:
http://ir.ncue.edu.tw/ir/handle/987654321/14077
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| Title: | On the Rate of Moment Convergence for a Normalized Random Walk |
| Authors: | Cheng, Tsung-Lin;Chow, Yuan-Shih;Yan, Yung-Lu |
| Contributors: | 數學系 |
| Keywords: | Convergence of moment;Edgeworth expansion;Random walk |
| Date: | 2011-03
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| Issue Date: | 2012-09-10T06:02:37Z
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| Publisher: | 中國統計學社 |
| Abstract: | In this paper, we study the convergence rate of the r-th moments of a normalized
simple random walk. When r = 1, we use the discrete-time version of Ito-Tanaka formula
to obtain an exact convergence rate. Since there is no corresponding Ito-Tanaka
formula for general r > 0, we adopt the Edgeworth expansion to derive bounds for the
rates of convergence. Finally, we carry out some simulations to illustrate the convergence
and, as a byproduct, propose an alternative way, among others, to approximate
the value of π. |
| Relation: | Journal of the Chinese Statistical Association, 49(1): 1-25 |
| Appears in Collections: | [數學系] 期刊論文
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