Related papers: Functional CLT for martingale-like nonstationary d…

The multivariate central limit theorems (CLT) for the volumes of excursion sets of stationary quasi-associated random fields on $\mathbb{R}^d$ are proved. Special attention is paid to Gaussian and shot noise fields. Formulae for the…

In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…

In this note we explore a fully unsupervised deep-learning framework for simulating non-linear structural equation models from observational training data. The main contribution of this note is an architecture for applying moment-matching…

We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that Martingale stochastic…

We propose a new class of univariate nonstationary time series models, using the framework of modulated time series, which is appropriate for the analysis of rapidly-evolving time series as well as time series observations with missing…

In this paper, we study fluctuations of conditionally centered statistics of the form $$N^{-1/2}\sum_{i=1}^N c_i(g(\sigma_i)-\mathbb{E}_N[g(\sigma_i)|\sigma_j,j\neq i])$$ where $(\sigma_1,\ldots ,\sigma_N)$ are sampled from a dependent…

This paper extends classical probabilistic results to the broader class of demimartingales and demisubmartingales. We establish variants of Doob's-type optional sampling theorem under minimal structural conditions on stopping times, relying…

We derive a new maximal inequality for stationary sequences under a martingale-type condition introduced by Maxwell and Woodroofe [Ann. Probab. 28 (2000) 713-724]. Then, we apply it to establish the Donsker invariance principle for this…

We consider monotonic, multiple regression for a set of contiguous regions (lattice data). The regression functions permissibly vary between regions and exhibit geographical structure. We develop new Bayesian non-parametric methodology…

In this paper we will prove a functional central limit theorems for "nonconventional" sums indexed by polynomial arrays.

The paper studies the asymptotic behaviour of weighted functionals of long-range dependent data over increasing observation windows. Various important statistics, including sample means, high order moments, occupation measures can be given…

A variety of methods have been proposed for inference about extreme dependence for multivariate or spatially-indexed stochastic processes and time series. Most of these proceed by first transforming data to some specific extreme value…

We prove oracle inequalities for a penalized log-likelihood criterion that hold even if the data are not independent and not stationary, based on a martingale approach. The assumptions are checked for various contexts: density estimation…

We prove quenched versions of (i) a large deviations principle (LDP), (ii) a central limit theorem (CLT), and (iii) a local central limit theorem (LCLT) for non-autonomous dynamical systems. A key advance is the extension of the spectral…

We analyze functional analytic aspects of axiomatic formulations of nonlocal and noncommutative quantum field theories. In particular, we completely clarify the relation between the asymptotic commutativity condition, which ensures the CPT…

This paper derives noncentral limit theorems (NCLTs) for suitable scaling of functionals of spatially homogeneous and isotropic, and stationary in time, LRD Gaussian subordinated Spatiotemporal Random Fields (STRFs) with Hermite rank equal…

This article considers multivariate linear processes whose components are either short- or long-range dependent. The functional central limit theorems for the sample mean and the sample autocovariances for these processes are investigated,…

We provide a systematic approach for deducing statistical limit laws via martingale-coboundary decomposition, for nonuniformly hyperbolic systems with slowly contracting and expanding directions. In particular, if the associated return time…

The Central Limit Theorem (CLT) for additive functionals of Markov chains is a well known result with a long history. In this paper we present applications to two finite-memory versions of the Elephant Random Walk, solving a problem from…

We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel…