Related papers: Estimating Moving Average Processes with an improv…
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic can disappear.
Many relevant statistical and econometric models for the analysis of longitudinal data include a latent process to account for the unobserved heterogeneity between subjects in a dynamic fashion. Such a process may be continuous (typically…
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A, d s)$. We give sufficient conditions…
Estimation of the intensity of a point process is considered within a nonparametric framework. The intensity measure is unknown and depends on covariates, possibly many more than the observed number of jumps. Only a single trajectory of the…
The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…
Many chemical reactions and molecular processes occur on timescales that are significantly longer than those accessible by direct simulation. One successful approach to estimating dynamical statistics for such processes is to use many short…
In this work we consider the unbiased estimation of expectations w.r.t.~probability measures that have non-negative Lebesgue density, and which are known point-wise up-to a normalizing constant. We focus upon developing an unbiased method…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
Turning pass-through network architectures into iterative ones, which use their own output as input, is a well-known approach for boosting performance. In this paper, we argue that such architectures offer an additional benefit: The…
We propose a simple stochastic process for modeling improper or noncircular complex-valued signals. The process is a natural extension of a complex-valued autoregressive process, extended to include a widely linear autoregressive term. This…
High-frequency sampled multivariate continuous time autoregressive moving average processes are investigated. We obtain asymptotic expansion for the spectral density of the sampled MCARMA process $(Y_{n\Delta})_{n \in \mathbb{Z}}$ as…
In this paper, we investigate the parameter estimation for threshold Ornstein$\mathit{-}$Uhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-type estimators for the drift parameters based on continuous…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
This paper proposes a new estimation technique for fitting parametric Gibbs point process models to a spatial point pattern dataset. The technique is a counterpart, for spatial point processes, of the variational estimators for Markov…
Stationary ergodic processes with finite alphabets are estimated by finite memory processes from a sample, an n-length realization of the process, where the memory depth of the estimator process is also estimated from the sample using…
We consider Adaptively Restrained Langevin dynamics, in which the kinetic energy function vanishes for small velocities. Properly parameterized, this dynamics makes it possible to reduce the computational complexity of updating…
Bayesian model averaging (BMA) is a statistical method for post-processing forecast ensembles of atmospheric variables, obtained from multiple runs of numerical weather prediction models, in order to create calibrated predictive probability…
We propose a simple method that combines neural networks and Gaussian processes. The proposed method can estimate the uncertainty of outputs and flexibly adjust target functions where training data exist, which are advantages of Gaussian…
Ornstein-Uhlenbeck processes driven by general L\'{e}vy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying L\'{e}vy process and for the mean reverting parameter of the…
We develop estimation and inference methods for a stylized macroeconomic model with potentially multiple behavioural equilibria, where agents form expectations using a constant-gain learning rule. We first show geometric ergodicity of the…