Related papers: Iterated limits for aggregation of randomized INAR…

This paper describes a recursive estimation procedure for multivariate binary densities (probability distributions of vectors of Bernoulli random variables) using orthogonal expansions. For $d$ covariates, there are $2^d$ basis coefficients…

Vector autoregressive models characterize a variety of time series in which linear combinations of current and past observations can be used to accurately predict future observations. For instance, each element of an observation vector…

We consider a stationary linear AR($p$) model with observations subject to gross errors (outliers). The autoregression parameters as well as the distribution function (d.f.) $G$ of innovations are unknown. The distribution of outliers $\Pi$…

The paper analyses cointegration in vector autoregressive processes (VARs) for the cases when both the number of coordinates, $N$, and the number of time periods, $T$, are large and of the same order. We propose a way to examine a VAR of…

We study the existence of the (thermodynamic) limit of the scaled cumulant-generating function L_n(z)=|W_n|^{-1}\logE\exp{z|\Xi\cap W_n|} of the empirical volume fraction |\Xi\cap W_n|/|W_n|, where |\cdot| denotes the d-dimensional Lebesgue…

A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the $\operatorname {COGARCH}(1,1)$ process of Kl\"{u}ppelberg, Lindner and Maller [J. Appl. Probab. 41 (2004) 601--622], is…

The analysis of pulsar timing data, especially in pulsar timing array (PTA) projects, has encountered practical difficulties: evaluating the likelihood and/or correlation-based statistics can become prohibitively computationally expensive…

Given $\alpha \in (0, \infty)$ and $r \in (0, \infty)$, let ${\cal D}_{r, \alpha}$ be the disc of radius $r$ in the hyperbolic plane having curvature $-\alpha^2$. Consider the Poisson point process having uniform intensity density on ${\cal…

We consider a discrete-time version of a Hawkes process defined as a Poisson auto-regressive process whose parameters depend on the past of the trajectory. We allow these parameters to take on negative values, modelling inhibition. More…

We study the long-time behavior of fully discretized semilinear SPDEs with additive space-time white noise, which admit a unique invariant probability measure $\mu$. We show that the average of regular enough test functions with respect to…

We use a functional analogue of the quantile function for probability measures on $\mathbb{R}^d$ to characterize a novel limit Poisson point process for radially recentred and rescaled random vectors under a radial-directional…

We propose a sparse coefficient estimation and automated model selection procedure for autoregressive (AR) processes with heavy-tailed innovations based on penalized conditional maximum likelihood. Under mild moment conditions on the…

We propose new primal-dual decomposition algorithms for solving systems of inclusions involving sums of linearly composed maximally monotone operators. The principal innovation in these algorithms is that they are block-iterative in the…

We prove that the reverse characteristic polynomial $\det(I_n - zA_n)$ of a random $n \times n$ matrix $A_n$ with iid $\mathrm{Bernoulli}(d/n)$ entries converges in distribution towards the random infinite product $\prod_{\ell =…

In this paper we consider random dynamical systems formed by concatenating maps acting on the unit interval $[0,1]$ in an iid fashion. Considered as a stationary Markov process, the random dynamical system possesses a unique stationary…

For a connected weighted hypergraph, we give a randomized almost-linear-time solver for the Poisson problem for the cut-based hypergraph Laplacian in the natural input size $P=\sum_{e\in E}|e|$, the sum of hyperedge sizes. For every fixed…

We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provide general error bounds for inexact CSA. Then, we propose two…

For a $\psi$-mixing process $\xi_0,\xi_1,\xi_2,...$ we consider the number $\mathcal{N}_N$ of multiple returns $\{\xi_{q_{i,N}(n)}\in\Gamma_N,\, i=1,...,\ell\}$ to a set $\Gamma_N$ for $n$ until either a fixed number $N$ or until the moment…

Let $\xi$ be the stationary occupation field generated by a Poisson system of independent simple symmetric random walks on $\mathbb Z$ in space--time dimension $1+1$. For a finite set $A\subset\mathbb Z$, we consider the classical…

This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…