Related papers: Local return rates in Sturmian subshifts
In the prediction of oscillating time series, the interest is in the turning points of successive oscillations rather than the samples themselves. For this purpose a scheme has been proposed; the state space reconstruction is limited to the…
We consider fractional operators of the form $$\mathcal{H}^s=(\partial_t -\mathrm{div}_{x} ( A(x,t)\nabla_{x}))^s,\ (x,t)\in\mathbb R^n\times\mathbb R,$$ where $s\in (0,1)$ and $A=A(x,t)=\{A_{i,j}(x,t)\}_{i,j=1}^{n}$ is an accretive,…
Convex and nonconvex finite-sum minimization arises in many scientific computing and machine learning applications. Recently, first-order and second-order methods where objective functions, gradients and Hessians are approximated by…
The Sharpe ratio, which is defined as the ratio of the excess expected return of an investment to its standard deviation, has been widely cited in the financial literature by researchers and practitioners. However, very little attention has…
We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the…
The local trace formula gives strong relations between two types of invariant distributions on a reductive group defined over a local field: orbital integrals and characters of representations. For connected reductive groups, the formula…
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/\Delta_n, with \Delta_n going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of the…
Haydn, Lacroix and Vaienti [Ann. Probab. 33 (2005)] proved that, for a given ergodic map, the entry time distribution converges in the small target limit, if and only if the corresponding return time distribution converges. The present note…
In recent years, random subspace methods have been actively studied for large-dimensional nonconvex problems. Recent subspace methods have improved theoretical guarantees such as iteration complexity and local convergence rate while…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…
We present a general method to derive continuity estimates for conditional probabilities of general (possibly continuous) spin models sub jected to local transformations. Such systems arise in the study of a stochastic time-evolution of…
We prove the local convergence to minima and estimates on the rate of convergence for the stochastic gradient descent method in the case of not necessarily globally convex nor contracting objective functions. In particular, the results are…
In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and…
Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…
The joint distribution of value and local time for Brownian Motion has been reported by Borodin and Salminen. Its asymptotic behavior for recurrent random walk has been presented by Jain and Pruitt. Motivated by the need for queue size…
This work establishes a quenched (trajectory-wise) linear response formula for random intermittent dynamical systems, consisting of Liverani-Saussol-Vaienti maps with varying parameters. This result complements recent annealed (averaged)…
Given an $n$-sample drawn on a submanifold $M \subset \mathbb{R}^D$, we derive optimal rates for the estimation of tangent spaces $T\_X M$, the second fundamental form $II\_X^M$, and the submanifold $M$.After motivating their study, we…
We consider a combined state and drift estimation problem for the linear stochastic heat equation. The infinite-dimensional Bayesian inference problem is formulated in terms of the Kalman-Bucy filter over an extended state space, and its…
The system of equations for parametric sub-resonant growth of the amplitude of oscillations was obtained. The time of turning point from the growing of the amplitude to the bounded oscillations in the slow variable was found. The comparison…