Related papers: On a Rapid Simulation of the Dirichlet Process

We develop new representations for the Levy measures of the beta and gamma processes. These representations are manifested in terms of an infinite sum of well-behaved (proper) beta and gamma distributions. Further, we demonstrate how these…

This paper considers discretization of the L\'evy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity…

We introduce a framework to derive quantitative central limit theorems in the context of non-linear approximation of Gaussian random variables taking values in a separable Hilbert space. In particular, our method provides an alternative to…

We demonstrate a simple analytic argument that may be used to bound the Levy concentration function of a sum of independent random variables. The main application is a version of a recent inequality due to Rudelson and Vershynin, and its…

In this work we propose an efficient and accurate multi-scale optical simulation algorithm by applying a numerical version of slowly varying envelope approximation in FEM. Specifically, we employ the fast iterative method to quickly compute…

We introduce a simple method for nearly simultaneous computation of all moments needed for quasi maximum likelihood estimation of parameters in discretely observed stochastic differential equations commonly seen in finance. The method…

We develop a new Gibbs sampler for a linear mixed model with a Dirichlet process random effect term, which is easily extended to a generalized linear mixed model with a probit link function. Our Gibbs sampler exploits the properties of the…

In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…

We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…

The Dirichlet process mixture (DPM) is a ubiquitous, flexible Bayesian nonparametric statistical model. However, full probabilistic inference in this model is analytically intractable, so that computationally intensive techniques such as…

We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…

Let $\Gamma = Z A +Z^n$ be a dense subgroup with rank $n+1$ in $R^n$ and let $\omega(A)$ denote the exponent of uniform simultaneous rational approximation to the point $A$. We show that for any real number $v\ge \omega(A)$, the Hausdorff…

This paper deals with Poisson approximation to weighted sums of locally dependent random variables using Stein's method. The derived result represents a significant improvement of existing results. To illustrate the effectiveness of our…

Let $\xi=(\xi_t)$ be a locally finite $(2,\beta)$-superprocess in $\RR^d$ with $\beta<1$ and $d>2/\beta$. Then for any fixed $t>0$, the random measure $\xi_t$ can be a.s. approximated by suitably normalized restrictions of Lebesgue measure…

We present an exact sampling method for the first passage event of a Levy process. The idea is to embed the process into another one whose first passage event can be sampled exactly, and then recover the part belonging to the former from…

This paper aims at semi-parametrically estimating the input process to a L\'evy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the L\'evy process' characteristic…

We consider a random process $Y(t)=\exp\{X(t)\}$, where $X(t)$ is a centered second-order process which correlation function $R(t,s)$ can be represented as $\int_{\mathbb{R}} u(t,y)\overline{u(s,y)} dy.$ A multiplicative wavelet-based…

Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymptotic normality of the likelihood is proved with a…

This article derives quantitative limit theorems for multivariate Poisson and Poisson process approximations. Employing the solution of Stein's equation for Poisson random variables, we obtain an explicit bound for the multivariate Poisson…

This work is about parameter estimation for a fast-slow stochastic system with non-Gaussian $\alpha$-stable L\'evy noise. When the observations are only available for slow components, a system parameter is estimated and the accuracy for…