Related papers: Tempered stable distributions and processes
We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the…
This paper introduces constrained mixtures for continuous distributions, characterized by a mixture of distributions where each distribution has a shape similar to the base distribution and disjoint domains. This new concept is used to…
We discuss the properties of three upsilon transforms, which are related to the class of $p$-tempered $\alpha$-stable ($TS^p_\alpha$) distributions. In particular, we characterize their domains and show how they can be represented as…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
Stein's method compares probability distributions through the study of a class of linear operators called Stein operators. While mainly studied in probability and used to underpin theoretical statistics, Stein's method has led to…
We consider the problem of estimating the density $\Pi$ of a determinantal process $N$ from the observation of $n$ independent copies of it. We use an aggregation procedure based on robust testing to build our estimator. We establish…
In this work we use tempered fractional advection-diffusion equations to model the dispersive transport in disordered materials. A numerical method is derived to approximate the solution of such differential models and we prove that it is…
We study the sensitivity of the densities of some Kolmogorov like degenerate diffusion processes with respect to a perturbation of the coefficients of the non-degenerate component. Under suitable (quite sharp) assumptions we quantify how…
The class of $\alpha$-stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the $\alpha$-stable distributions have been used in practice for many years, new methods for…
The group classification of a class of variable coefficient reaction-diffusion equations with exponential nonlinearities is carried out up to both the equivalence generated by the corresponding generalized equivalence group and the general…
This paper studies Markov Decision Processes under parameter uncertainty. We adapt the distributionally robust optimization framework, and assume that the uncertain parameters are random variables following an unknown distribution, and…
Density Ratio Estimation has attracted attention from the machine learning community due to its ability to compare the underlying distributions of two datasets. However, in some applications, we want to compare distributions of random…
Steady state distribution functions can be used to calculate stability conditions for modes, radiation energy losses, and particle loss rates. Heuristic analytic approximations to these distributions can capture key behaviors of the true…
In this letter, we develop a framework to study the mechanical response of athermal amorphous solids via a coupling of mesoscale and microscopic models. Using measurements of coarse grained quantities from simulations of dense disordered…
The method of tempered transitions was proposed by Neal (1996) for tackling the difficulties arising when using Markov chain Monte Carlo to sample from multimodal distributions. In common with methods such as simulated tempering and…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
We propose a definition o meta-stability and obtain sufficient conditions for a sequence of Markov processes on finite state spaces to be meta-stable. In the reversible case, these conditions reduce to estimates of the capacity and the…
I present a brief update on the transverse polarization distributions, focusing on model calculations and phenomenological perspectives.
A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda>0$ such that the process is well defined for Hurst parameter…
We introduce the problem of estimation of the parameters of a dynamically selected population in an infinite sequence of random variables and provide its application in the statistical inference based on record values from a non-stationary…