Related papers: Limit theorems for bifurcating integer-valued auto…
In this paper the asymptotic behaviour of a critical 2-type Galton-Watson process with immigration is described when its offspring mean matrix is reducible, in other words, when the process is decomposable. It is proved that, under second…
In this paper the asymptotic distribution of estimators is derived in a general regression setting where rank restrictions on a submatrix of the coefficient matrix are imposed and the regressors can include stationary or I(1) processes.…
We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourself to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and…
Limit distributions for the greatest convex minorant and its derivative are considered for a general class of stochastic processes including partial sum processes and empirical processes, for independent, weakly dependent and long range…
In this paper we introduce the \textit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for…
We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $\alpha$-stable $(1< \alpha \le 2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $\lambda…
We prove conditional asymptotic normality of a class of quadratic U-statistics that are dominated by their degenerate second order part and have kernels that change with the number of observations. These statistics arise in the construction…
In this paper the asymptotic behavior of the conditional least squares estimators of the offspring mean matrix for a 2-type critical positively regular Galton-Watson branching process with immigration is described.We also study this…
If multiway cluster-robust standard errors are used routinely in applied economics, surprisingly few theoretical results justify this practice. This paper aims to fill this gap. We first prove, under nearly the same conditions as with…
In this paper we survey the almost sure central limit theorem and its functional form (quenched) for stationary and ergodic processes. For additive functionals of a stationary and ergodic Markov chain these theorems are known under the…
For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace of the observed Fisher information matrix. The limiting…
We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method based on discretely observed processes. Under some certain…
We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate…
We consider a limit theorem for a triangular array of point processes generated by non-identically distributed random variables, and apply the result for the analysis of the limiting behavior of the Argmaximum of independent random…
We consider the class of simple Brown-Resnick max-stable processes whose spectral processes are continuous exponential martingales. We develop the asymptotic theory for the realized power variations of these max-stable processes, that is,…
The asymptotic analysis of covariance parameter estimation of Gaussian processes has been subject to intensive investigation. However, this asymptotic analysis is very scarce for non-Gaussian processes. In this paper, we study a class of…
We establish functional limit theorems for ergodic sums of observables with power singularities for expanding circle maps. In the regime where the observables have infinite variance, we show that when rescaled by $N^{1/s}(\ln N)^\alpha$,…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
Recent progress in reinforcement learning has led to remarkable performance in a range of applications, but its deployment in high-stakes settings remains quite rare. One reason is a limited understanding of the behavior of reinforcement…
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the asymptotic behavior of trimmed CUSUM statistics. We show…