Let and , , be two discrete-time Markov chains such that , for all . Let be a non-negative random variable in (T may depend on X and Y).

Is it true that ?

Thanks

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- Aug 1st 2010, 10:15 AMtossifanComparison of stochastic processes at a random time 2
Let and , , be two discrete-time Markov chains such that , for all . Let be a non-negative random variable in (T may depend on X and Y).

Is it true that ?

Thanks - Aug 1st 2010, 12:11 PMuser
Good morning. Please can you help me to solve this exercise?. I must to use limiting distribution and change of variable. Thank you my friend.

Let Yn denote the nth order statistic, with Yn=qXn:n – ln(n), of a random sample X1,X2,…………..Xn from a exponential distribution Xi~exp(q). Find the limiting distribution of Yn. - Aug 3rd 2010, 02:43 AMtossifan
I think that still conditioning over T it should be ok, right?

- Aug 3rd 2010, 08:52 AMSpringFan25
yes i would think so.