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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

1 vote

Solution for 2 variable recurrence for a problem similar to gambler's ruin

See Example 8d of Section 4.8 of "A 1st course in Probability" by Sheldon Ross. Here it is: If independent trials, each resulting in a success with probability $p$, are performed, what is the probab …
Serguei Popov's user avatar
0 votes

The necessary sufficient condition for recurrence of a Markovian random walk

No, it's not sufficient, you need assumptions on the tails of $\sigma$'s. See Chapter 5 of http://www.ime.unicamp.br/~popov/book_lyapunov.pdf
Serguei Popov's user avatar
0 votes

A question in central limit theorem

Doesn't it follow from the Lévy's continuity theorem? I mean, consider the characteristic functions of $S_{n-1}/s_n$ and $X_n/s_n$, the product of them converges to $e^{-t^2/2}$, so the characteristic …
Serguei Popov's user avatar