Related papers: Invariance Principles for Tempered Fractionally In…

This paper proposes a piecewise autoregression for general integer-valued time series. The conditional mean of the process depends on a parameter which is piecewise constant over time. We derive an inference procedure based on a penalized…

We introduce a reversible Markovian coagulation-fragmentation process on the set of partitions of $\{1,\ldots,L\}$ into disjoint intervals. Each interval can either split or merge with one of its two neighbors. The invariant measure can be…

In the present article, a new method for the evaluation of fractional derivatives of arbitrary real order is proposed. Numerous but inequivalent formulations have been given in the past. Some of them exhibit unsatisfactory properties such…

For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace of the observed Fisher information matrix. The limiting…

We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component as a fractionally integrated process and incorporating a…

In this paper we establish limit theorems for power variations of stochastic processes controlled by fractional Brownian motions with Hurst parameter $H\leq 1/2$. We show that the power variations of such processes can be decomposed into…

Consider a moving average process $X$ of the form $X(t)=\int_{-\infty}^t x(t-u)dZ_u$, $t\geq 0$, where $Z$ is a (non Gaussian) Hermite process of order $q\geq 2$ and $x:\mathbb{R}_+\to\mathbb{R}$ is sufficiently integrable. This paper…

The variational principle for linear stability of three-dimensional, inhomogenious, compressible, moving magnetized plasma is suggested. The principle is ``softer'' (easier to be satisfied) than all previously known variational stability…

This paper presents different approaches, based on functional inequalities, to study the speed of convergence in total variation distance of ergodic diffusion processes with initial law satisfying a given integrability condition. To this…

We consider a multidimensional random walk in a product random environment with bounded steps, transience in some spatial direction, and high enough moments on the regeneration time. We prove an invariance principle, or functional central…

We consider a model of heat conduction which consists of a finite nonlinear chain coupled to two heat reservoirs at different temperatures. We study the low temperature asymptotic behavior of the invariant measure. We show that, in this…

We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space…

Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…

In this work, we extend the fractional linear multistep methods in [C. Lubich, SIAM J. Math. Anal., 17 (1986), pp.704--719] to the tempered fractional integral and derivative operators in the sense that the tempered fractional derivative…

Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…

We show that the acceptance probability for swaps in the parallel tempering Monte Carlo method for classical canonical systems is given by a universal function that depends on the average statistical fluctuations of the potential and on the…

In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…

In this paper, we investigate a stochastic approximation procedure $\left(X_n\right)_{n\ge 0}$ taking values in $R$. The process is adapted to a filtration $(F_n)_{n\ge 0}$ and satisfies the recursion…

We study the mixing properties of a class of nonuniformly expanding maps when the return time to the basis has a weak moment of order p >1, up to a slowly varying function. From these computations, we deduce an invariance principle in…

In this paper we survey some recent results on the central limit theorem and its weak invariance principle for stationary sequences. We also describe several maximal inequalities that are the main tool for obtaining the invariance…