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NCUEIR > College of Science > math > Periodical Articles > Item 987654321/14077

Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/14077

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
Issue Date:	2012-09-10T06:02:37Z
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:	[math] Periodical Articles

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