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A rigorous study is carried out for the randomly forced Burgers equation in the inviscid limit. No closure approximations are made. Instead the probability density functions of velocity and velocity gradient are related to the statistics of…
The challenges posed by complex stochastic models used in computational ecology, biology and genetics have stimulated the development of approximate approaches to statistical inference. Here we focus on Synthetic Likelihood (SL), a…
The paper is primarily concerned with the asymptotic behavior as $N\to\infty$ of averages of nonconventional arrays having the form $N^{-1}\sum_{n=1}^N\prod_{j=1}^\ell T^{P_j(n,N)}f_j$ where $f_j$'s are bounded measurable functions, $T$ is…
As well known, for a supercritical Galton-Watson process $Z_n$ whose offspring distribution has mean $m>1$, the ratio $W_n:=Z_n/m^n$ has a.s. limit, say $W$. We study tail behaviour of the distributions of $W_n$ and $W$ in the case where…
We consider two independent random variables with the given tail asymptotic (e.g. power or exponential). We find tail asymptotic for their sum and product. This is done by some cumbersome but purely technical computations and requires the…
The present paper is a sequel to and generalization of Fung and Seneta (2016) whose main result gives the asymptotic behaviour as $ u \to 0^{+}$ of $\lambda_L(u) = P(X_1 \leq F_1^{-1}(u) | X_2 \leq F_2^{-1}(u)),$ when $\bf{X} \sim…
Parameters defined via general estimating equations (GEE) can be estimated by maximizing the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219--255] have recently shown that this EL estimator exhibits desirable…
In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape…
While standard estimation assumes that all datapoints are from probability distribution of the same fixed parameters $\theta$, we will focus on maximum likelihood (ML) adaptive estimation for nonstationary time series: separately estimating…
Consider exponential Carmichael function $\lambda^{(e)}$ such that $\lambda^{(e)}$ is multiplicative and $\lambda^{(e)}(p^a) = \lambda(a)$, where $\lambda$ is usual Carmichael function. We discuss the value of $\sum \lambda^{(e)}(n)$, where…
By combining classical techniques together with two novel asymptotic identities contained in [FL], we analyse certain single sums of Riemann-zeta type. In addition, we analyse Euler-Zagier double exponential sums for particular values of…
This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation…
Classical Edgeworth expansions provide asymptotic correction terms to the Central Limit Theorem (CLT) up to an order that depends on the number of moments available. In this paper, we provide subsequent correction terms beyond those given…
Local increases in the mean of a random field are detected (conservatively) by thresholding a field of test statistics at a level $u$ chosen to control the tail probability or $p$-value of its maximum. This $p$-value is approximated by the…
In this paper, we derive higher-order expansions of $L$-statistics of independent risks $X_1, \ldots, X_n$ under conditions on the underlying distribution function $F$. The new results are applied to derive the asymptotic expansions of…
We develop an unsupervised mixture model for non-negative, skewed and heavy-tailed data, such as losses in actuarial and risk management applications. The mixture has a lognormal component, which is usually appropriate for the body of the…
The family of symmetric powers of an $L$-function associated with an elliptic curve with complex multiplication has received much attention from algebraic, automorphic and p-adic points of view. Here we examine one explicit such family from…
We consider the sums $S_n=\xi_1+\cdots+\xi_n$ of independent identically distributed random variables. We do not assume that the $\xi$'s have a finite mean. Under subexponential type conditions on distribution of the summands, we find the…
For certain types of statistical models, the characteristic function (Fourier transform) is available in closed form, whereas the probability density function has an intractable form, typically as an infinite sum of probability weighted…
Heavy-tailed fluctuations and power law statistics pervade physics, finance, and economics, yet their origin is often ascribed to systems poised near criticality. Here we show that such behavior can emerge far from instability through a…