Related papers: Asymptotic inference for a stochastic differential…

The asymptotic normality in multi-dimension of the nonparametric estimator of the transition probabilities of a Markov renewal chain is proved, and is applied to that of other nonparametric estimators involved with the associated…

We study the existence, strong consistency and asymptotic normality of estimators obtained from estimating functions, that are p-dimensional martingale transforms. The problem is motivated by the analysis of evolutionary clustered data,…

A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…

We consider goodness-of-fit tests of symmetric stable distributions based on weighted integrals of the squared distance between the empirical characteristic function of the standardized data and the characteristic function of the standard…

This paper provides a generalization of a classical result obtained by Wilks about the asymptotic behavior of the likelihood ratio. The new results deal with the asymptotic behavior of the joint distribution of a vector of likelihood ratios…

Asymptotic expansions are derived for solutions of the parabolic cylinder and Weber differential equations. In addition the inhomogeneous versions of the equations are considered, for the case of polynomial forcing terms. The expansions…

We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time series models. We show the proposed estimators are consistent and follow normal distributions in…

The almost sure rate of exponential-polynomial growth or decay of affine stochastic Volterra and affine stochastic finite-delay equations is investigated. These results are achieved under suitable smallness conditions on the intensities of…

In this paper, we first investigate the monotonicity and limit problem of the fractional integral functions. By fixed point theorem and these new results of the fractional integral functions, we present that the Riemann-Liouville fractional…

We present a general method for studying long time asymptotics of nonlinear parabolic partial differential equations. The method does not rely on a priori estimates such as the maximum principle. It applies to systems of coupled equations,…

We obtain asymptotic approximations for the probability density function of the product of two correlated normal random variables with non-zero means and arbitrary variances. As a consequence, we deduce asymptotic approximations for the…

We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized…

We consider several aspects of conjugating symmetry methods, including the method of invariants, with an asymptotic approach. In particular we consider how to extend to the stochastic setting several ideas which are well established in the…

The change-plane Cox model is a popular tool for the subgroup analysis of survival data. Despite the rich literature on this model, there has been limited investigation into the asymptotic properties of the estimators of the…

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…

Research on asymptotic model selection in the context of stochastic differential equations (SDEs) is almost non-existent in the literature. In particular, when a collection of SDEs is considered, the problem of asymptotic model selection…

We evaluate priors by the second order asymptotic behavior of the corresponding estimators.Under certain regularity conditions, the risk differences between efficient estimators of parameters taking values in a domain D, an open connected…

Uniform asymptotic approximations are obtained for the prolate spheroidal wave functions, in the high-frequency case. The results are obtained by an application of certain existing asymptotic solutions of differential equations, and involve…

We estimate the local laws of the distribution of the middle prime factor of an integer, defined according to multiplicity or not. An asymptotic estimate with effective remainder is provided for a wide range of values. In particular this…