Related papers: On a linear functional for infinitely divisible mo…

We propose an estimation procedure for linear functionals based on Gaussian model selection techniques. We show that the procedure is adaptive, and we give a non asymptotic oracle inequality for the risk of the selected estimator with…

In this paper, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivariate continuous-time ARMA processes. Thereby, the sampling…

We consider a recurrent Markov process which is an It\^o semi-martingale. The L\'evy kernel describes the law of its jumps. Based on observations X(0),X({\Delta}),...,X(n{\Delta}), we construct an estimator for the L\'evy kernel's density.…

In this paper we study the problem of statistical inference for a continuous-time moving average L\'evy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad t\in\mathbb{R}$$ with a deterministic kernel (\K\) and a…

Donsker-type functional limit theorems are proved for empirical processes arising from discretely sampled increments of a univariate L\'evy process. In the asymptotic regime the sampling frequencies increase to infinity and the limiting…

We consider the problem of the estimation of the invariant distribution function of an ergodic diffusion process when the drift coefficient is unknown. The empirical distribution function is a natural estimator which is unbiased, uniformly…

Let $\{\Lambda_n=\{\lambda_{1,n},\ldots,\lambda_{d_n,n}\}\}_n$ be a sequence of finite multisets of real numbers such that $d_n\to\infty$ as $n\to\infty$, and let $f:\Omega\subset\mathbb R^d\to\mathbb R$ be a Lebesgue measurable function…

We provide a theoretical foundation for non-parametric estimation of functions of random variables using kernel mean embeddings. We show that for any continuous function $f$, consistent estimators of the mean embedding of a random variable…

Given an arbitrary planar $\infty$-harmonic function $u$, for each $\alpha>0$ we establish a quantitative local $W^{1,2}$-estimate of $|Du|^\alpha $, which is sharp as $\alpha\to0$. We also show that the distributional determinant of $u$ is…

Entropy-type integral functionals of densities are widely used in mathematical statistics, information theory, and computer science. Examples include measures of closeness between distributions (e.g., density power divergence) and…

In this study, we develop an asymptotic theory of nonparametric regression for locally stationary random fields (LSRFs) $\{{\bf X}_{{\bf s}, A_{n}}: {\bf s} \in R_{n} \}$ in $\mathbb{R}^{p}$ observed at irregularly spaced locations in…

We consider the estimation of two-sample integral functionals, of the type that occur naturally, for example, when the object of interest is a divergence between unknown probability densities. Our first main result is that, in wide…

A sharp, distribution free, non-asymptotic result is proved for the concentration of a random function around the mean function, when the randomization is generated by a finite sequence of independent data and the random functions satisfy…

We prove a functional central limit theorem for integrals $\int_W f(X(t))\, dt$, where $(X(t))_{t\in\mathbb{R}^d}$ is a stationary mixing random field and the stochastic process is indexed by the function $f$, as the integration domain $W$…

We prove weak convergence in a separable Hilbert space for estimators of high-dimensional regression coefficients, which yields asymptotic normality and enables direct use of standard asymptotic tools such as the continuous mapping theorem.…

This paper develops asymptotic theory of integrals of empirical quantile functions with respect to random weight functions, which is an extension of classical $L$-statistics. They appear when sample trimming or Winsorization is applied to…

For a continuous-time random walk $X=\{X_t,t\ge 0\}$ (in general non-Markov), we study the asymptotic behavior, as $t\rightarrow \infty$, of the normalized additive functional $c_t\int_0^{t} f(X_s)ds$, $t\ge 0$. Similarly to the Markov…

We prove that the sequence of averaged quantities $\int_{\R^m}u_n(\mx,\msnop)$ $\rho(\msnop)d\msnop$, is strongly precompact in $\Ldl\Rd$, where $\rho\in \Ldc{\R^m}$, and $u_n\in \Ld{\R^m; \pL s\Rd}$, $s\geq 2$, are weak solutions to…

Consider the case that we observe $n$ independent and identically distributed copies of a random variable with a probability distribution known to be an element of a specified statistical model. We are interested in estimating an infinite…

It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expression for the density function of the exponential functional…