Related papers: From intersection local time to the Rosenblatt pro…
Stroboscopic wavepacket basis sets [P. Bokes, F. Corsetti, R. W. Godby, Phys. Rev. Lett. 101, 046402 (2008)] are specifically tailored for a description of time-dependent processes in extended systems like non-periodic geometries of various…
In this note we show that the area of the partitions making up an oscillating tableaux is described by a random walk on the first quadrant of $\mathbb{Z}^2$ with certain position dependent weights. We are able to recursively calculate the…
The main result of the article is the rate of convergence to the Rosenblatt-type distributions in non-central limit theorems. Specifications of the main theorem are discussed for several scenarios. In particular, special attention is paid…
We investigate the statistical correlation between the first-reaction time of a diffusing particle and its boundary local time accumulated until the reaction event. Since the reaction event occurs after multiple encounters of the particle…
The purpose of this article is to derive the crossover from the Ornstein-Uhlenbeck process to energy solutions of the stochastic Burgers equation with characteristic operators given in terms of fractional operators, such as the regional…
We base ourselves on the construction of the two-dimensional random interlacements [12] to define the one-dimensional version of the process. For this constructions we consider simple random walks conditioned on never hitting the origin,…
We consider Random Walk in Random Scenery, denoted $X_n$, where the random walk is symmetric on $Z^d$, with $d>4$, and the random field is made up of i.i.d random variables with a stretched exponential tail decay, with exponent $\alpha$…
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…
By using chaos expansion into multiple stochastic integrals, we make a wavelet analysis of two self-similar stochastic processes: the fractional Brownian motion and the Rosenblatt process. We study the asymptotic behavior of the statistic…
In this paper, we derive a central limit theorem for collections of weakly correlated random variables indexed by discrete metric spaces, where the correlation decays in the distance of the indices. The correlation structure we study…
Considered a pair of random lifetimes whose dependence is described by a Time Transformed Exponential model, we provide analytical expressions for the distribution of their sum. These expressions are obtained by using a representation of…
We analyse the large time behaviour of the rate function that describes the probability of large fluctuations of an underlying microscopic model associated to the homogeneous Boltzmann equation, such as the Kac walk. We consider in…
This paper considers the motion of an object subjected to dry friction and an external random force. The objective is to characterize the role of the correlation time of the external random force. We develop efficient stochastic simulation…
This paper proposes a correlated random coefficient linear panel data model, where regressors can be correlated with time-varying and individual-specific random coefficients through both a fixed effect and a time-varying random shock. I…
In this work, a strategy to estimate the information transfer between the elements of a complex system, from the time series associated to the evolution of this elements, is presented. By using the nearest neighbors of each state, the local…
Attempts to quantify dependence between random elements X and Y via maximal correlation go back to Gebelein (1941) and R\'{e}nyi (1959). After summarizing properties (including some new) of the R\'{e}nyi measure of dependence, a calibrated…
This paper develops a simple two-stage variational Bayesian algorithm to estimate panel spatial autoregressive models, where N, the number of cross-sectional units, is much larger than T, the number of time periods without restricting the…
We introduce a family of local inhomogeneous mark-weighted summary statistics, of order two and higher, for general marked point processes. Depending on how the involved weight function is specified, these summary statistics capture…
We examine the asymptotic behaviour of the sample autocovariance in a continuous-time moving average model with long-range dependence. We show that it is either asymptotically Rosenblatt distributed or stable distributed. This shows that…
We introduce the Randomized Dependence Coefficient (RDC), a measure of non-linear dependence between random variables of arbitrary dimension based on the Hirschfeld-Gebelein-R\'enyi Maximum Correlation Coefficient. RDC is defined in terms…