Related papers: $L_2$-Small Deviations for Weighted Stationary Pro…

We obtain some new results concerning the small deviation problem for $S=\sum_n q^n X_n$ and $M=\sup_n q^n X_n$, where $0<q<1$ and $(X_n)$ are i.i.d. non-negative random variables. In particular, the asymptotics is shown to be the same for…

We study fractional stochastic volatility models in which the volatility process is a positive continuous function $\sigma$ of a continuous Gaussian process $\widehat{B}$. Forde and Zhang established a large deviation principle for the…

New algorithms for construction of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes with finite phase spaces are presented. These algorithms are based on a special technique of sequential…

In the paper we extend the spectral invariance of pseudodifferential operators acting on (non-weighted) classical modulation spaces to allow the Lebesgue exponents to be smaller than one. These spaces occur naturally in approximation theory…

Let $G\subset \O(n)$ be a group of isometries acting on $n$-dimensional Euclidean space $\R^n$, and ${\bf{X}}$ a bounded domain in $\R^n$ which is transformed into itself under the action of G. Consider a symmetric, classical…

We establish asymptotic normality of weighted sums of periodograms of a stationary linear process where weights depend on the sample size. Such sums appear in numerous statistical applications and can be regarded as a discretized versions…

With motivation from K. D\c{e}bicki and P. Kisowski (2007), in this paper we derive the exact tail asymptotics of $\alpha(t)$-locally stationary Gaussian processes with non-constant variance functions. We show that some certain variance…

The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…

We introduce and study {\it new} relative spectral invariants of {\it two} elliptic partial differential operators of Laplace and Dirac type on compact smooth manifolds without boundary that depend on both the eigenvalues and the…

We realize the relative discrete series of a weighted $L^2$-space on a bounded symmetric doamin as kernels of invariant Cauchy-Riemann operator, and thus as the spaces of nearly holomorphic functions.

We show the existence of invariant ergodic $\sigma$-additive probability measures with full support on $X$ for a class of linear operators $L: X \to X$, where $L$ is a weighted shift operator and $X$ either is the Banach space…

We present results on parameter estimation and non-parameter estimation of the linear partially observed Gaussian system of stochastic differential equations. We propose new one-step estimators which have the same asymptotic properties as…

We study the large deviations principle (LDP) for stationary solutions of a class of stochastic differential equations (SDE) in infinite time intervals by the weak convergence approach, and then establish the LDP for the invariant measures…

Maximum likelihood estimators for time-dependent mean functions within Gaussian processes are provided in the context of continuous observations. We find the widest possible class of mean functions for which the likelihood function can be…

We prove $L^{2}$ estimates and solvability for a variety of simply characteristic constant coefficient partial differential equations $P(D)u=f$. These estimates \[||u||_{L^2(D_{r})}\le C\sqrt{d_{r}d_{s}} ||f||_{_{L^2(D_{s})}}\] depend on…

This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of…

We prove spectral properties for random Landau Schr\"odinger operators on $L^2(\mathbb{R}^2)$ with bounded, random potentials supported in a square $\Lambda_L \subset \mathbb{R}^2$ of side length $L>0$, using semiclassical…

We consider a discrete-time two-dimensional process $\{(L_{1,n},L_{2,n})\}$ on $\mathbb{Z}_+^2$ with a supplemental process $\{J_n\}$ on a finite set, where individual processes $\{L_{1,n}\}$ and $\{L_{2,n}\}$ are both skip free. We assume…

We consider the almost sure asymptotic behavior of the periodogram of stationary and ergodic sequences. Under mild conditions we establish that the limsup of the periodogram properly normalized identifies almost surely the spectral density…

We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class…