Related papers: G\"artner-Ellis condition for squared asymptotical…

The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.

Lower bounds for persistence probabilities of stationary Gaussian processes in discrete time are obtained under various conditions on the spectral measure of the process. Examples are given to show that the persistence probability can decay…

Making use of a Rice-like series expansion, for a class of stationary Gaussian processes the asymptotic behavior of the first passage time probability density function through certain time-varying boundaries, including periodic boundaries,…

We describe the asymptotic behavior of the conditional least squares estimator of the offspring mean for subcritical strongly stationary Galton--Watson processes with regularly varying immigration with tail index $\alpha \in (1,2)$. The…

We derive the limiting distributions of exceedances point processes of randomly scaled weakly dependent stationary Gaussian sequences under some mild asymptotic conditions. In the literature analogous results are available only for…

This paper develops an asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensional unknown parameter. We give sufficient conditions for the associated sequence of statistical models…

We establish sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the existence and exponential ergodicity of the Q-process, the process…

For a class of Gaussian stationary processes, we prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly growing linear boundary. The limit is a double exponential (Gumbel) distribution.

Approximations to sums of stationary and ergodic sequences by martingales are investigated. Necessary and sufficient conditions for such sums to be asymptotically normal conditionally given the past up to time 0 are obtained. It is first…

We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…

We show the existance of the stationary distributions of subcritical multitype Galton-Watson processes without any conditions on the mean matrix of the offspring distributions. Some additional properties of the stationary distribution are…

This paper states asymptotic equivalents for the three first moments of the Eescher transform of a distribution on R with smooth density in the upper tail. As a by product if provides a tail approximation for its moment generating function,…

We show that if $G$ is a countable amenable group, then every stationary non-Gaussian symmetric $\alpha$-stable (S$\alpha$S) process indexed by $G$ is ergodic if and only if it is weakly-mixing, and it is ergodic if and only if its Rosinski…

The assumption that a solution to the Einstein equations is static (or stationary) very strongly constrains the asymptotic behaviour of the metric. It is shown that one need only impose very weak differentiability and decay conditions {\it…

We consider random switching between finitely many vector fields leaving positively invariant a compact set. Recently, Li, Liu and Cui showed that if one the vector fields has a globally asymptotically stable (G.A.S.) equilibrium from which…

In this paper, we study non-asymptotic deviation bounds of the least squares estimator in Gaussian AR($n$) processes. By relying on martingale concentration inequalities and a tail-bound for $\chi^2$ distributed variables, we provide a…

Let $G=\{G(x),x\ge 0\}$ be a mean zero Gaussian process with stationary increments and set $\sigma^2(|x-y|)= E(G(x)-G(y))^2$. Let $f$ be a function with $Ef^{2}(\eta)<\ff$, where $\eta=N(0,1)$. When $\sigma^2$ is regularly varying at zero…

This paper deals with the question of conditional sampling and prediction for the class of stationary max-stable processes which allow for a mixed moving maxima representation. We develop an exact procedure for conditional sampling using…

For spectrally positive L\'evy processes killed on exiting the half-line, existence of a quasi-stationary distribution is characterized by the exponential integrability of the exit time, the Laplace exponent and the non-negativity of the…

We prove asymptotic behaviour of transition density for a large class of spectrally one-sided L\'evy processes of unbounded variation satisfying mild condition imposed on the second derivative of the Laplace exponent, or equivalently, on…