Related papers: Pointwise characteristic factors for the multiterm…

This paper studies high-dimensional curve time series with common stochastic trends. A dual functional factor model structure is adopted with a high-dimensional factor model for the observed curve time series and a low-dimensional factor…

Prediction is a key issue in time series analysis. Just as classical mean regression models, classical autoregressive methods, yielding L$^2$ point-predictions, provide rather poor predictive summaries; a much more informative approach is…

Within convex analysis, a rich theory with various applications has been evolving since the proximal average of convex functions was first introduced over a decade ago. When one considers the subdifferential of the proximal average, a…

This brief pedagogical note re-proves a simple theorem on the convergence, in $L_2$ and in probability, of time averages of non-stationary time series to the mean of expectation values. The basic condition is that the sum of covariances…

We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly…

We derive and present a collection of properties about the Steklov averages, including some results about the derivation with respect to spatial variables, and with respect to time, and a form of the fundamental theorem of the calculus.

We establish results with an arithmetic flavor that generalize the polynomial multidimensional Szemeredi theorem and related multiple recurrence and convergence results in ergodic theory. For instance, we show that in all these statements…

This work concerns about forward-backward multivalued stochastic systems. First of all, we prove one average principle for general stochastic differential equations in the $L^{2p}$ ($p\geq 1$) sense. Moreover, for $p=1$ a convergence rate…

We consider change-point latent factor models for high-dimensional time series, where a structural break may exist in the underlying factor structure. In particular, we propose consistent estimators for factor loading spaces before and…

This paper introduces a couple of new time-frequency transforms, designed to adapt their scale to specific features of the analyzed function. Such an adaptation is implemented via so-called focus functions, which control the window scale as…

Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable law…

We use the concept of Baire Ergodicity and Ergodic Formalism introduced to study topological and statistical attractors for interval maps, even with discontinuities. For that we also analyze the {\em wandering intervals attractors}. As a…

In the proof of the invariance principle for locally perturbed periodic Lorentz process with finite horizon, a lot of delicate results were needed concerning the recurrence properties of its unperturbed version. These were analogous to the…

Number theorists have studied extensively the connections between the distribution of zeros of the Riemann $\zeta$-function, and of some generalizations, with the statistics of the eigenvalues of large random matrices. It is interesting to…

We establish formulae for the moments of the moments of the characteristic polynomials of random orthogonal and symplectic matrices in terms of certain lattice point count problems. This allows us to establish asymptotic formulae when the…

This article primarily aims to unify the various formalisms of multivariate coefficients of variation, leveraging advanced concepts of generalized means, whether weighted or not, applied to the eigenvalues of covariance matrices. We…

We restrict our attention to space-time point pattern data for which we have a single realisation within a finite region. Second-order characteristics are used to analyse the spatio-temporal structure of the underlying point process. In…

We revisit panel regressions with unobserved heterogeneity through the lens of variance-weighted average treatment effects. Building on established results for cross-sectional OLS and one-way fixed effects panels, we show that two-way panel…

Nonstandard ergodic averages can be defined for a measure-preserving action of a group on a probability space, as a natural extension of classical (nonstandard) ergodic averages. We extend the one-dimensional theory, obtaining L^1 pointwise…

Under some mild condition, a random walk in the plane is recurrent. In particular each trajectory is dense, and a natural question is how much time one needs to approach a given small neighborhood of the origin. We address this question in…