Evaluation for moments of a ratio with application to regression estimation

Details Evaluation for moments of a ratio with application to regression estimation Evaluation for moments of a ratio with application to regression estimation

2008-05-02

arxiv.org/abs/0805.0228v2

Bernoulli 2009, Vol. 15, No. 4, 1259-1286

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ190 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ190

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 $L^p$-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.

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