Related papers: Large deviations asymptotics for large waiting tim…
This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with an infinite time horizon. Specifically, the data are…
We consider a family of positive operator valued measures associated with representations of compact connected Lie groups. For many independent copies of a single state and a tensor power representation we show that the observed probability…
A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a…
Affine point processes are a class of simple point processes with self- and mutually-exciting properties, and they have found useful applications in several areas. In this paper, we obtain large-time asymptotic expansions in large…
We consider the asymptotic normality in $L^2$ of kernel estimators of the long run covariance kernel of stationary functional time series. Our results are established assuming a weakly dependent Bernoulli shift structure for the underlying…
We prove a large deviation type estimate for the asymptotic behavior of a weighted local time of $\varepsilon W$ as $\varepsilon\to0$.
We consider the class of simple Brown-Resnick max-stable processes whose spectral processes are continuous exponential martingales. We develop the asymptotic theory for the realized power variations of these max-stable processes, that is,…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
The paper investigates properties of generalized Hermite-type processes that arise in non-central limit theorems for integral functionals of long-range dependent random fields. The case of increasing multidimensional domain asymptotics is…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
We relate the large time asymptotics of the energy statistics in open harmonic networks to the variance-gamma distribution and prove a full Large Deviation Principle. We consider both Hamiltonian and stochastic dynamics, the later case…
We formulate the large deviations for a class of two scale chemical kinetic processes motivated from biological applications. The result is successfully applied to treat a genetic switching model with positive feedbacks. The corresponding…
Large deviation principles and related results are given for a class of Markov chains associated to the "leaves" in random recursive trees and preferential attachment random graphs, as well as the "cherries" in Yule trees. In particular,…
We identify general conditions under which regenerative processes with dependent cycles and cycle lengths are asymptotically independent. The result is applied to various models. In particular, independent L\'evy processes with dependent…
The theory of large deviations deals with the probabilities of rare events (or fluctuations) that are exponentially small as a function of some parameter, e.g., the number of random components of a system, the time over which a stochastic…
Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by \citet{TT2012a} and related central limit theorem has been well established. In this paper, we investigate the asymptotic…
A unified treatment for the existence of free energy in several random energy models is presented. If the sequence of distributions associated with the particle systems obeys a large deviation principle, then the free energy exists almost…
The large deviations analysis of solutions to stochastic differential equations and related processes is often based on approximation. The construction and justification of the approximations can be onerous, especially in the case where the…
Let $M_{l,n}$ be the number of blocks with frequency $l$ in the exchangeable random partition induced by a sample of size $n$ from the Ewens-Pitman sampling model. We show that, as $n$ tends to infinity, $n^{-1}M_{l,n}$ satisfies a large…
We present a large deviation property for the pattern statistics representing the number of occurrences of a symbol in words of given length generated at random according to a rational stochastic model. The result is obtained assuming that…