Doob, Ignatov and optional skipping

Doob, Ignatov and optional skipping

Gordon Simons, Yi-Ching Yao, and Lijian Yang

Source: Ann. Probab. Volume 30, Number 4 (2002), 1933-1958.

Abstract

A general set of distribution-free conditions is described under which an i.i.d. sequence of random variables is preserved under optional skipping. This work is motivated by theorems of J. L. Doob and Z. Ignatov, unifying and extending aspects of both.

Primary Subjects: 60G40, 28D05

Keywords: Ignatov's theorem; indexical stopping times; disentangled stopping times; records; $k$-records; optional skipping

Full-text: Open access

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.aop/1039548377
Digital Object Identifier: doi:10.1214/aop/1039548377
Mathematical Reviews number (MathSciNet): MR1944011
Zentralblatt MATH identifier: 01906105

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CHAPEL HILL, NORTH CAROLINA 27599-3260 E-MAIL: simons@stat.unc.edu Y.-C. YAO INSTITUTE OF STATISTICAL SCIENCE ACADEMIA SINICA TAIPEI TAIWAN E-MAIL: yao@stat.sinica.edu.tw L. YANG DEPARTMENT OF STATISTICS MICHIGAN STATE UNIVERSITY

EAST LANSING, MICHIGAN 48824 E-MAIL: yang@stt.msu.edu

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