Related papers: FunctionaL Regular Variation of L\'evy-driven Mult…
Motivated by the study of dependent random variables by coupling with independent blocks of variables, we obtain first sufficient conditions for the moderate deviation principle in its functional form for triangular arrays of independent…
We study natural invariance properties of functionals defined on L\'evy processes and show that they can be described by a simplified structure of the deterministic chaos kernels in It\^o's chaos expansion. These structural properties of…
Let $X$ be a L\'evy process with regularly varying L\'evy measure $\nu$. We obtain sample-path large deviations for scaled processes $\bar X_n(t) \triangleq X(nt)/n$ and obtain a similar result for random walks. Our results yield detailed…
Several formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a multivariate normal…
Given a low frequency sample of an infinitely divisible moving average random field $\{\int_{\mathbb{R}^d} f(x-t)\Lambda(dx); \ t \in \mathbb{R}^d \}$ with a known simple function $f$, we study the problem of nonparametric estimation of the…
Continuous-time autoregressive moving average (CARMA) process driven by simple semi-L\'evy process has periodically correlated property with many potential application in finance. In this paper, we study on the estimation of the parameters…
A novel first-order moving-average model for analyzing time series observed at irregularly spaced intervals is introduced. Two definitions are presented, which are equivalent under Gaussianity. The first one relies on normally distributed…
We investigate long and short memory in $\alpha$-stable moving averages and max-stable processes with $\alpha$-Fr\'echet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence suggested…
We analyze a class of linear partial differential equations that arise as deterministic descriptions of the scaling limits of L\'evy walks, in which transport is driven by a convex combination of fractional material derivatives and a source…
Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here,…
Functions satisfying the functional equation \begin{align*} \sum_{r=0}^{n-1} (-1)^r f(x+ry, ny) = f(x,y), \quad \text{for any positive odd integer $n$}, \end{align*} are named the alternating invariant functions. Examples of such functions…
We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…
In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…
In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can be represented as a sum of a L\'evy process and a stationary…
We consider the regularity of sample paths of Volterra-L\'{e}vy processes. These processes are defined as stochastic integrals $$ M(t)=\int_{0}^{t}F(t,r)dX(r), \ \ t \in \mathds{R}_{+}, $$ where $X$ is a L\'{e}vy process and $F$ is a…
Suppose $ E$ is a space with a null-recurrent Markov kernel $ P$. Furthermore, suppose there are infinite particles with variable weights on $ E$ performing a random walk following $ P$. Let $ X_{t}$ be a weighted functional of the position…
The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estimation of the spectrum. In the present paper we study such…
Under certain initial conditions, we prove the existence of set-valued selectors of univariate compact-valued multifunctions of bounded (Jordan) variation when the notion of variation is defined taking into account only the Pompeiu…
Let $\mathbb{R}^N_+= [0,\infty)^N$. We here consider a class of random fields $(X_t)_{t\in \mathbb{R}^N_+}$ which are known as Multiparameter L\'evy processes. Related multiparameter semigroups of operators and their generators are…
We derive an explicit formula for likelihood function for Gaussian VARMA model conditioned on initial observables where the moving-average (MA) coefficients are scalar. For fixed MA coefficients the likelihood function is optimized in the…