Related papers: Stable limits for sums of dependent infinite varia…
This paper considers the statistical inference of the class of asymmetric power-transformed $\operatorname{GARCH}(1,1)$ models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity…
This paper proves several weak limit theorems for the joint version of extreme order statistics and partial sums of independently and identically distributed random variables. The results are also extended to almost sure limit version.
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusion processes with killing on $[0,\infty)$. We obtain criteria for the exponential convergence to a unique quasi-stationary distribution in total…
In this paper we give a first attempt to define and study stable distributions with respect to the weak generalized convolution, focusing our attention on the symmetric weakly stable distribution. As in the case of the classical…
This paper deals with a one--dimensional model for granular materials, which boils down to an inelastic version of the Kac kinetic equation, with inelasticity parameter $p>0$. In particular, the paper provides bounds for certain distances…
The paper is dealing with semi-classical asymptotics of a characteristic function for a stochastic process. The main technical tool is provided by the stationary phase method. The extremal range for a stochastic process is defined by limit…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
Quasi-stationary distributions, as discussed by Darroch & Seneta (1965), have been used in biology to describe the steady state behaviour of population models which, while eventually certain to become extinct, nevertheless maintain an…
Existing methods for the estimation of stable distribution parameters, such as those based on sample quantiles, sample characteristic functions or maximum likelihood generally assume an independent sample. Little attention has been paid to…
In this paper, we give estimates of the minimal ${\mathbb{L}}^1$ distance between the distribution of the normalized partial sum and the limiting Gaussian distribution for stationary sequences satisfying projective criteria in the style of…
A functional limit theorem is established for the partial-sum process of a class of stationary sequences which exhibit both heavy tails and long-range dependence. The stationary sequence is constructed using multiple stochastic integrals…
Symmetric heavily tailed random walks on $Z^d, d\geq 1,$ are considered. Under appropriate regularity conditions on the tails of the jump distributions, global (i.e., uniform in $x,t, |x|+t\to\infty,$) asymptotic behavior of the transition…
We investigate the properties of a continuous time GARCH process as the solution to a L\'evy driven stochastic functional integral equation. This process occurs as a weak limit of a sequence of discrete time GARCH processes as the time…
Various classes of stable finite difference schemes can be constructed to obtain a numerical solution. It is important to select among all stable schemes such a scheme that is optimal in terms of certain additional criteria. In this study,…
We observe n possibly dependent random variables, the distribution of which is presumed to be stationary even though this might not be true, and we aim at estimating the stationary distribution. We establish a non-asymptotic deviation bound…
We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the…
The paper considers the properties of pseudo stationarity in a broad sense and pseudo strong mixing for sequences of random variables corresponding to arithmetic functions. Assertions on this topic have been proven. The implementation of…
This paper introduces a new concept of stochastic dependence among many random variables which we call conditional neighborhood dependence (CND). Suppose that there are a set of random variables and a set of sigma algebras where both sets…
A generalization of stable and casual stable probability distribution is proposed. The notion of $\go G$-casual stability can be used to introduce discrete analogues of stable distributions on the sent $\mathbb Z$ of integers. In contrary…