Related papers: Asymptotic inference for a stochastic differential…
The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated time series. We show the asymptotic…
Asymptotic solutions are derived for inhomogeneous differential equations having a large real or complex parameter and a simple turning point. They involve Scorer functions and three slowly varying analytic coefficient functions. The…
We consider nonsynchronous sampling of parameterized stochastic regression models, which contain stochastic differential equations. Constructing a quasi-likelihood function, we prove that the quasi-maximum likelihood estimator and the Bayes…
We have shown in previous work that statistical inference for cooperative sequential adsorption model can be based on maximum likelihood estimation. In this paper we continue this research and establish asymptotic normality of the maximum…
We consider a one dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the asymptotic properties of the maximum likelihood estimator of the parameter based on a…
We consider maximum likelihood estimation with data from a bivariate Gaussian process with a separable exponential covariance model under fixed domain asymptotic. We first characterize the equivalence of Gaussian measures under this model.…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
Consider semiparametric models that display local asymptotic exponentiality (Ibragimov and Has'minskii (1981)), an asymptotic property of the likelihood associated with discontinuities of densities. Our interest goes to estimation of the…
Delattre et al. (2013) considered a system of stochastic differential equations (SDEs) in a random effects setup. Under the independent and identical (iid) situation, and assuming normal distribution of the random effects, they established…
A procedure for asymptotic bias reduction of maximum likelihood estimates of generic estimands is developed. The estimator is realized as a plug-in estimator, where the parameter maximizes the penalized likelihood with a penalty function…
In this paper we study the asymptotic theory for spectral analysis of stationary random fields, including linear and nonlinear fields. Asymptotic properties of Fourier coefficients and periodograms, including limiting distributions of…
For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We…
We consider a stochastic process model with time trend and measurement error. We establish consistency and derive the limiting distributions of the maximum likelihood (ML) estimators of the covariance function parameters under a general…
Two new test statistics are introduced to test the null hypotheses that the sampling distribution has an increasing hazard rate on a specified interval [0,a]. These statistics are empirical L_1-type distances between the isotonic estimates,…
Asymptotics of maximum likelihood estimation for $\alpha$-stable law are analytically investigated with a continuous parameterization. The consistency and asymptotic normality are shown on the interior of the whole parameter space. Although…
Linear scalar differential equations with distributed delays appear in the study of the local stability of nonlinear differential equations with feedback, which are common in biology and physics. Negative feedback loops tend to promote…
Spectral properties and transition to instability in neutral delay differential equations are investigated in the limit of large delay. An approximation of the upper boundary of stability is found and compared to an analytically derived…
We consider an estimation problem of expected functionals of a general random element that values in a metric space. If the functional forms an explicit function of some unknown parameters, we can estimate it by plugging-in a suitable…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
We prove the asymptotic mixed normality of the least absolute deviation (LAD) estimator for a locally $\alpha$-stable stochastic differential equation (SDE) observed at high frequency, where $\alpha\in(0,2)$. We investigate both ergodic and…