Related papers: On a Rapid Simulation of the Dirichlet Process

Estimation methods for the L\'{e}vy density of a L\'{e}vy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. The first step consists in the selection of a good…

L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in…

This paper introduces the $(\alpha, \Gamma)$-descent, an iterative algorithm which operates on measures and performs $\alpha$-divergence minimisation in a Bayesian framework. This gradient-based procedure extends the commonly-used…

We prove a result related to Dirichlet spectrum for simultaneous approximation to two real numbers in Euclidean norm and badly or very well approximability.

We provide the strong approximation of empirical copula processes by a Gaussian process. In addition we establish a strong approximation of the smoothed empirical copula processes and a law of iterated logarithm.

For extreme value estimation we propose to use a model with a Dirichlet process mixture of gamma densities in the center and generalized Pareto densities for the tails. Due to the randomness in the center and a heavy tailed density in the…

Let $\{L(t),t\geq 0\}$ be a L\'{e}vy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and L\'{e}vy measure of this process. We…

Due to their flexibility, Gaussian processes (GPs) have been widely used in nonparametric function estimation. A prior information about the underlying function is often available. For instance, the physical system (computer model output)…

Consider a measure $\mu_\lambda = \sum_x \xi_x \delta_x$ where the sum is over points $x$ of a Poisson point process of intensity $\lambda$ on a bounded region in $d$-space, and $\xi_x$ is a functional determined by the Poisson points near…

We consider a type of nonnormal approximation of infinitely divisible distributions that incorporates compound Poisson, Gamma, and normal distributions. The approximation relies on achieving higher orders of cumulant matching, to obtain…

In a recently developed approximation technique for quantum field theory the standard one-loop result is used as a seed for a recursive formula that gives a sequence of improved Gaussian approximations for the generating functional. In this…

In this paper, we propose a fast and accurate numerical method based on Fourier transform to solve Kolmogorov forward equations of symmetric scalar L\'evy processes. The method is based on the accurate numerical formulas for Fourier…

We consider sums of the form $\sum \phi(\gamma)$, where $\phi$ is a given function, and $\gamma$ ranges over the ordinates of nontrivial zeros of the Riemann zeta-function in a given interval. We show how the numerical estimation of such…

An exact and efficient new method to simulate dynamics in dissipative quantum systems is presented. A stochastic Liouville equation, deduced from Feynman and Vernon's path-integral expression of the reduced density matrix, is used to…

We give an algorithm that finds a sequence of approximations with Dirichlet coefficients bounded by a constant only depending on the dimension. The algorithm uses the LLL-algorithm for lattice basis reduction. We present a version of the…

In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…

The paper focuses on an approximation of the first passage time probability density function of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial approximation. The feasibility of the method relies on closed…

We employ the recent generalization of the Hardy--Stein identity to extend the previous Littlewood--Paley estimates to general pure-jump Dirichlet forms. The results generalize those for symmetric pure-jump L\'evy processes in Euclidean…

This paper deals with the \emph{integral} version of the Dirichlet homogeneous fractional Laplace equation. For this problem weighted and fractional Sobolev a priori estimates are provided in terms of the H\"older regularity of the data. By…

Let $(X_t)_{t \ge 0}$ be the solution of the stochastic differential equation $$dX_t = b(X_t) dt+A dZ_t, \quad X_{0}=x,$$ where $b: \mathbb{R}^d \rightarrow \mathbb R^d$ is a Lipschitz function, $A \in \mathbb R^{d \times d}$ is a positive…