Related papers: Asymptotic equivalence of nonparametric diffusion …
We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of multivariate or non-Euclidean observations. We study a nonparametric framework that utilizes similarity information…
Although the assumption of elliptical symmetry is quite common in multivariate analysis and widespread in a number of applications, the problem of testing the null hypothesis of ellipticity so far has not been addressed in a fully…
Random walk has wide applications in many fields, such as machine learning, biology, physics, and chemistry. Random walk can be discrete or continuous in time and space. Asymmetric random walk could be described by drift-diffusion equation.…
We consider the long-time behavior of an explicit tamed Euler scheme applied to a class of stochastic differential equations driven by additive noise, under a one-sided Lipschitz continuity condition. The setting encompasses drift…
In this paper, we study a method to sample from a target distribution $\pi$ over $\mathbb{R}^d$ having a positive density with respect to the Lebesgue measure, known up to a normalisation factor. This method is based on the Euler…
We obtain non-asymptotic Gaussian concentration bounds for the difference between the invariant measure $\nu$ of an ergodic Brownian diffusion process and the empirical distribution of an approximating scheme with decreasing time step along…
We consider a general class of statistical experiments, in which an $n$-dimensional centered Gaussian random variable is observed and its covariance matrix is the parameter of interest. The covariance matrix is assumed to be…
Asymptotic methods for hypothesis testing in high-dimensional data usually require the dimension of the observations to increase to infinity, often with an additional condition on its rate of increase compared to the sample size. On the…
Given a smooth R^d-valued diffusion, we study how fast the Euler scheme with time step 1/n converges in law. To be precise, we look for which class of test functions f the approximate expectation E[f(X^{n,x}_1)] converges with speed 1/n to…
Self-similar solutions of the coherent diffusion equation are derived and measured. The set of real similarity solutions is generalized by the introduction of a nonuniform phase surface, based on the elegant Gaussian modes of optical…
In search for mathematically tractable models of anomalous diffusion, we introduce a simple dynamical system consisting of a chain of coupled maps of the interval whose Lyapunov exponents vanish everywhere. The volume preserving property…
The design and analysis of a unified asymptotic preserving (AP) and well-balanced scheme for the Euler Equations with gravitational and frictional source terms is presented in this paper. The asymptotic behaviour of the Euler system in the…
We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of H{\"o}lder continuous coefficients as well as piecewise smooth drifts with…
This paper is aimed to study the ergodic short-term behaviour of discretizations of circle expanding maps. More precisely, we prove some asymptotics of the distance between the $t$-th iterate of Lebesgue measure by the dynamics $f$ and the…
In this work, we prove the convergence of residual distribution schemes to dissipative weak solutions of the Euler equations. We need to guarantee that the residual distribution schemes are fulfilling the underlying structure preserving…
Distance correlation has become an increasingly popular tool for detecting the nonlinear dependence between a pair of potentially high-dimensional random vectors. Most existing works have explored its asymptotic distributions under the null…
In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a recent work \cite{Yoshida2013}, which establishes Edgeworth…
Many practical samplers rely on time-dependent drifts -- often induced by annealing or tempering schedules -- to improve exploration and stability. This motivates a unified non-asymptotic analysis of the corresponding Langevin diffusions…
In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the case of discrete time observations of diffusion processes. The proof is based on the geometric ergodicity property for diffusion processes.…
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a…