Related papers: Weighted and vector-valued variational estimates f…
This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale with noise. The semimartingale possibly has jumps, while the…
Inference for statistics of a stationary time series often involve nuisance parameters and sampling distributions that are difficult to estimate. In this paper, we propose the method of orthogonal samples, which can be used to address some…
This brief pedagogical note re-proves a simple theorem on the convergence, in $L_2$ and in probability, of time averages of non-stationary time series to the mean of expectation values. The basic condition is that the sum of covariances…
We prove a multidimensional ergodic theorem with weighted averages for the action of the group $\mathbb{Z}^d$ on a probability space. At level $n$ weights are of the form $n^{-d} \psi(j/n)$, $ j\in \mathbb{Z}^d$, for real functions $\psi$…
We extend the notion of the associated random walk and the Wald martingale in random walks where the increments are independent and identically distributed to the more general case of stationary ergodic increments. Examples are given where…
The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The…
The frequently mentioned root-mean-squared value of an alternating voltage is derived without using calculus.
We prove $\ell^2(\mathbb{Z}^n)-$estimate of long $r$-variational seminorm for the family of discrete averages associated to simplices.
We present an entropy comparison result concerning weighted sums of independent and identically distributed random variables.
Shifted variants of (dyadic) Hardy-Littlewood maximal function and Stein's square function have played a significant role in the study of many important operators such as Calderon commutators, (bilinear) Hilbert transforms, multilinear…
The main goal in this paper is to propose a new method for deriving oracle inequalities related to the exponential weighting method. For the sake of simplicity we focus on recovering an unknown vector from noisy data with the help of a…
In this paper, we first introduce some new kinds of weighted amalgam spaces. Then we deal with the vector-valued intrinsic square functions, which are given by \begin{equation*} \mathcal S_\gamma(\vec{f})(x) = \Bigg(\sum_{j=1}^\infty…
We establish functional limit theorems for ergodic sums of observables with power singularities for expanding circle maps. In the regime where the observables have infinite variance, we show that when rescaled by $N^{1/s}(\ln N)^\alpha$,…
We survey distributional properties of $\mathbb{R}^d$-valued cocycles of finite measure preserving ergodic transformations (or, equivalently, of stationary random walks in $\mathbb{R}^d$) which determine recurrence or transience.
In this paper, for a discontinuous skew-product transformation with the integrable observation function, we obtain uniform ergodic theorem and semi-uniform ergodic theorem. The main assumptions are that discontinuity sets of transformation…
We establish weak-type $(1,1)$ bounds for the maximal function associated with ergodic averaging operators modeled on a wide class of thin deterministic sets $B$. As a corollary we obtain the corresponding pointwise convergence result on…
The problem of prediction in functional linear regression is conventionally addressed by reducing dimension via the standard principal component basis. In this paper we show that an alternative basis chosen through weighted least-squares,…
A result for subadditive ergodic cocycles is proved that provides more delicate information than Kingman's subadditive ergodic theorem. As an application we deduce a multiplicative ergodic theorem generalizing an earlier result of…
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is…
A random-walk Metropolis sampler is geometrically ergodic if its equilibrium density is super-exponentially light and satisfies a curvature condition [Stochastic Process. Appl. 85 (2000) 341-361]. Many applications, including Bayesian…