Related papers: Asymptotics of Asynchronicity
A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…
We provide a statistical analysis of a tool in nonlinear-type time-frequency analysis, the synchrosqueezing transform (SST), for both the null and non-null cases. The intricate nonlinear interaction of different quantities in SST is…
This paper is devoted to two different two-time-scale stochastic approximation algorithms for superquantile estimation. We shall investigate the asymptotic behavior of a Robbins-Monro estimator and its convexified version. Our main…
For long memory time series models with uncorrelated but dependent errors, we establish the asymptotic normality of the Whittle estimator under mild conditions. Our framework includes the widely used FARIMA models with GARCH-type…
This paper is concerned with estimation and inference for the location of a change point in the mean of independent high-dimensional data. Our change point location estimator maximizes a new U-statistic based objective function, and its…
We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…
Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of…
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…
In this paper, we consider the problem of determining the presence of a given signal in a high-dimensional observation with unknown covariance matrix by using an adaptive matched filter. Traditionally such filters are formed from the sample…
This paper studies the asymptotic distribution of a constrained lasso-type estimator for denoising signals defined on the nodes of a graph, where the underlying structure encodes relationships between variables. We show that, under suitable…
We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified…
Recently, it has been shown that incoherence is an unrealistic assumption for compressed sensing when applied to many inverse problems. Instead, the key property that permits efficient recovery in such problems is so-called local…
Spectral singularities at non-zero frequencies play an important role in investigating cyclic or seasonal time series. The publication [2] introduced the generalized filtered method-of-moments approach to simultaneously estimate singularity…
Synchronization in quantum systems has been recently studied through persistent oscillations of local observables, which stem from undamped modes of the dissipative dynamics. However, the existence of such modes requires fine-tuning the…
We develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the…
We study a Hamiltonian describing a pendulum coupled with several anisochronous oscillators, devising an asymptotic expansion for the splitting (matrix) associated with a homoclinic point. This expansion consists of contributions that are…
We provide asymptotic theory for certain functions of the sample autocovariance matrices of a high-dimensional time series with infinite fourth moment. The time series exhibits linear dependence across the coordinates and through time.…
The question under which conditions oscillators with slightly different frequencies synchronize appears in various settings. We show that synchronization can be achieved even for harmonic oscillators that are bilinearly coupled via a purely…
We present a new estimator for causal effects with panel data that builds on insights behind the widely used difference in differences and synthetic control methods. Relative to these methods we find, both theoretically and empirically,…
An oscillator with stochastic frequency is discussed as a model for evaluating the quantum coherence properties of a physical system. It is found that the choice of jump statistics has to be considered with care if unphysical consequences…