Related papers: Wavelet series representation for multifractional …
We present a general M-estimation framework for inference on the wavelet variance. This framework generalizes the results on the scale-wise properties of the standard estimator and extends them to deliver the joint asymptotic properties of…
A multivariate score-driven filter is developed to extract signals from noisy vector processes. By assuming that the conditional location vector from a multivariate Student's t distribution changes over time, we construct a robust filter…
In this paper, we consider projection estimates for L\'evy densities in high-frequency setup. We give a unified treatment for different sets of basis functions and focus on the asymptotic properties of the maximal deviation distribution for…
Ruelle's principle for turbulence leading to what is usually called the Sinai-Ruelle-Bowen distribution (SRB) is applied to the statistical mechanics of many particle systems in nonequilibrium stationary states. A specific prediction,…
An efficient method for the construction of a multiaffine process, with prescribed scaling exponents, is presented. At variance with the previous proposals, this method is sequential and therefore it is the natural candidate in numerical…
A technique is presented to characterize the Signal-to-Interference-plus-Noise Ratio (SINR) of a representative link with a multiantenna linear Minimum-Mean-Square-Error receiver in a wireless network with transmitting nodes distributed…
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
This paper proposes a multistatic radar (MSR) system utilizing a distributed wireless synchronization protocol. The wireless synchronization protocol uses a two-tone waveform exchange for frequency synchronization and a bi-directional…
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and…
Max-stable random fields provide canonical models for the dependence of multivariate extremes. Inference with such models has been challenging due to the lack of tractable likelihoods. In contrast, the finite dimensional cumulative…
This paper shows that for any random variables $X$ and $Y$, it is possible to represent $Y$ as a function of $(X,Z)$ such that $Z$ is independent of $X$ and $I(X;Z|Y)\le\log(I(X;Y)+1)+4$ bits. We use this strong functional representation…
Numerous approaches are proposed in the literature for non-stationarity marginal extreme value inference, including different model parameterisations with respect to covariate, and different inference schemes. The objective of this article…
We propose a new statistical model that can reproduce the hierarchical nature of the ubiquitous filamentary structures of molecular clouds. This model is based on the multiplicative random cascade, which is designed to replicate the…
Radiative processes such as synchrotron radiation and Compton scattering play an important role in astrophysics. Radiative processes are fundamentally stochastic in nature, and the best tools currently used for resolving these processes…
From Liouville's equation, a phase-space multi-scale transport equation is systematically derived. The proposed phase-space multi-scale transport equation based on the first principle indicates that the nonlinear stochastic transport is due…
Texture characterization is a central element in many image processing applications. Multifractal analysis is a useful signal and image processing tool, yet, the accurate estimation of multifractal parameters for image texture remains a…
We develop a higher-dimensional extension of multifractal analysis for typical fiber-bunched linear cocycles. Our main result is a relative variational principle, which shows that the topological entropy of Lyapunov exponent level sets can…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
The recent contribution Dieker & Mikosch (2015) [1] obtained important representations of max-stable stationary Brown-Resnick random fields $\zeta_Z$ with a spectral representation determined by a Gaussian process $Z$. With motivations from…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…