CHANGE LANGUAGE | Home > Doc > On fractal distribution function estimation and applications > Theorem 8 - (Forte and Vrscay, 1998)

On fractal distribution function estimation and applications

Introduction

Theoretical background for affine IFS

2.1 Minimization approach

Theorem 1

Theorem 2 (Collage theorem)

Theorem 3 (Forte and Vrscay, 1995)

2.2 Direct approach

Theorem 4 (Iacus and La Torre, 2001).

Theorem 5 (Iacus and La Torre, 2001)

Corollary 6

Theorem 7

2.3 The choice of affine maps

3 Fourier analysis results

Theorem 8 (Forte and Vrscay, 1998)

Theorem 9 (Collage Theorem for FT, (Forte and Vrscay, 1998))

4 Statistical applications

4.1 Asymptotic results for the quantile-based IFS estimator

Theorem 10

Theorem 11

Theorem 12 (Gill and Levit, 1995)

Theorem 13

4.2 Characteristic function and Fourier density estimation

5 Monte Carlo analysis

5.1 Applications to survival analysis

Final remarks

References

On fractal distribution function estimation and applications

Theorem 8 - (Forte and Vrscay, 1998)

The operator B is contractive in (FT(X), dFT ), and has a unique fixed point. In particular, if

 is the FT of the invariant measure of the Markov operator M, then the fixed point is

The following final results holds true.

Stefano M. Iacus, Davide La Torre

PerformanceTrading.it ed il suo contenuto sono di esclusiva proprietà degli autori. E' vietata la riproduzione anche parziale di qualsiasi parte del sito senza autorizzazione, compresa la grafica e il layout. Prima della consultazione del sito leggere il disclaimer nella sezione [info].