Related papers: On the asymptotic behavior of bubble date estimato…
When analyzing time-to-event data, it often happens that some subjects do not experience the event of interest. Survival models that take this feature into account (called `cure models') have been developed in the presence of covariates.…
Inference in linear panel data models is complicated by the presence of fixed effects when (some of) the regressors are not strictly exogenous. Under asymptotics where the number of cross-sectional observations and time periods grow at the…
In this work, we study the relations between bounded dynamic regret and the classical notion of asymptotic stability for the case of a priori unknown and time-varying cost functions. In particular, we show that bounded dynamic regret…
This paper establishes asymptotic results for the maximum likelihood and restricted maximum likelihood (REML) estimators of the parameters in the nested error regression model for clustered data when both of the number of independent…
We propose a new procedure for inference on optimal treatment regimes in the model-free setting, which does not require to specify an outcome regression model. Existing model-free estimators for optimal treatment regimes are usually not…
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in…
The research described herewith is to re-visit the classical doubly robust estimation of average treatment effect by conducting a systematic study on the comparisons, in the sense of asymptotic efficiency, among all possible combinations of…
Drees and Rootz\'en (2010) have established limit theorems for a general class of empirical processes of statistics that are useful for the extreme value analysis of time series, but do not apply to statistics of sliding blocks, including…
This paper deals with system with $n$ identical elements and one repairing device. While one element working other ones stay in reserve. The distribution of element working and repairing times are supposed to be exponential. Here we obtain…
This paper presents a robust method for estimating copula models to evaluate dependence between failure modes in one-shot devices-systems designed for single use and destroyed upon activation. Traditional approaches, such as maximum…
Bagging is a useful method for large-scale statistical analysis, especially when the computing resources are very limited. We study here the asymptotic properties of bagging estimators for $M$-estimation problems but with massive datasets.…
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…
An advection--diffusion-limited dissolution model of an object being eroded by a two-dimensional potential flow is presented. By taking advantage of the conformal invariance of the model, a numerical method is introduced that tracks the…
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
This article introduces new tools to study self-organisation in a family of simple cellular automata which contain some particle-like objects with good collision properties (coalescence) in their time evolution. We draw an initial…
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and…
Functional data present as functions or curves possessing a spatial or temporal component. These components by nature have a fixed observational domain. Consequently, any asymptotic investigation requires modelling the increased correlation…
We study the asymptotic dynamics of multi-bubble solutions to the focusing energy-critical wave equation in five dimensions. Assuming that the solution asymptotically decomposes into a finite superposition of spatially separated bubbles…
We study the radial relaxation dynamics toward equilibrium and time-periodic pulsating spherically symmetric gas bubbles in an incompressible liquid due to thermal effects. The asymptotic model ([A. Prosperetti, J. Fluid Mech., 1991] and…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…