• Journal of applied mathematics & informatics
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• 제30권3_4호
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• pp.677-683
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• 2012

W.Choi([1]) obtains a complete description of ergodic property and several property by making use of the semigroup method. In this note, we shall consider separately the martingale problems for two operators A and B as a detail decomposition of operator L. A key point is that the (K, L, $p$)-martingale problem in population genetics model is related to diffusion processes, so we begin with some a priori estimates and we shall show existence of contraction semigroup {$T_t$} associated with decomposition operator A.

• Journal of the Korean Statistical Society
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• 제23권2호
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• pp.499-501
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• 1994

Let ${X_n}$ be conditionally i.i.d. given $g \subset \sigma(X_n, n \geq 1)$. We will prove that $g$ is degenerate if and only if ${X_n, n \geq 1}$ are i.i.d. random variable(r.v.s). As a corollary the Hewitt-Savage zero-one law is obtained using the fact that interchageable process is conditionally i.i.d. given the $\sigma$-algebra of permutable events.

• Communications for Statistical Applications and Methods
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• 제14권2호
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• pp.267-280
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• 2007

In this paper, we consider the robust estimation for diffusion processes when the sample is observed discretely. As a robust estimator, we consider the minimizing density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE for diffusion process is weakly consistent. A simulation study demonstrates the robustness of the MDPDE.

• Communications for Statistical Applications and Methods
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• 제17권5호
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• pp.639-645
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• 2010

We consider a subdiagonal bilinear model and give sufficient conditions for the associated Markov chain defined by Pham (1985) to be uniformly ergodic and then obtain the $\beta$-mixing property for the given process. To derive the desired properties, we employ the results of generalized random coefficient autoregressive models generated by a matrix-valued polynomial function and vector-valued polynomial function.

• Journal of the Korean Statistical Society
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• 제23권1호
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• pp.1-12
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• 1994

We consider the markov process ${X_n}$ on R which is genereated by $X_{n+1} = f(X_n) + \epsilon_{n+1}$. Sufficient conditions for irreducibility and geometric ergodicity are obtained for such Markov processes. In additions, when ${X_n}$ is geometrically ergodic, the functional central limit theorem is proved for every bounded functions on R.

• Communications for Statistical Applications and Methods
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• 제21권4호
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• pp.327-334
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• 2014

Various modified GARCH(1, 1) models have been found adequate in many applications. We are interested in their continuous time versions and limiting properties. We first define a stochastic integral that includes useful continuous time versions of modified GARCH(1, 1) processes and give sufficient conditions under which the process is exponentially ergodic and ${\beta}$-mixing. The central limit theorem for the process is also obtained.

• 대한수학회보
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• 제35권2호
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• pp.227-234
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• 1998

Criteria are derived for the existence of a unique invariant oprobability distribution of a class of nonlinear pth-order autoregressive oprocesses, which reformulate those of Tweedie's. It will be shown that the criteria in this paper are easily applicable to the linear or piecewise linear case so that some of the earlier results are immediate consequences of our main results.

• 대한수학회논문집
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• 제15권1호
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• pp.123-131
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• 2000

Let {X(t) : t $\geq$B 0} be a Symmetric $\alpha$ Stable and H-Self-similar process with stationary increments. We examine a.s. Holder unboundedness of S$\alpha$S H-sssi Chentsov processes and H-sssi Chentsov fields for order ${\gamma}$>H. Finally, we prove a.s. Holder continuity of S$\alpha$S H-sssi processes with ergodic seating transformations for the case of H>1/$\alpha$.

• Communications for Statistical Applications and Methods
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• 제6권1호
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• pp.267-274
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• 1999

We consider a doubly stochastically perturbed dynamical system {$X_n$} generated by $X_n\Gamma_n(X_{n-1})+W_n where \Gamma_n$ is a Markov chain of random functions and $W_n$ is i.i.d. random elements. Sufficient conditions for stationarity and geometric ergodicity of $X_n$ are obtained by considering asymptotic behaviours of the associated Markov chain. Ergodic theorem and functional central limit theorem are proved.

• Journal of applied mathematics & informatics
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• 제5권2호
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• pp.403-426
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• 1998

We present an algorithm to find an approximation for the stationary distribution for the general ergodic spatially-inhomogeneous block-partitioned upper Hessenberg form. Our approximation makes use of an associated upper block-Hessenberg matrix which is spa-tially homogeneous except for a finite number of blocks. We treat the MAP/G/1 retrial queue and the retrial queue with two types of customer as specific instances and give some numerical examples. The numerical results suggest that our method is superior to the ordinary finite-truncation method.