Related papers: Persistence of autoregressive sequences with logar…

We consider a Markov chain $(M_{n})_{n\ge 0}$ on the set $\mathbb{N}_{0}$ of nonnegative integers which is eventually decreasing, i.e. $\mathbb{P}\{M_{n+1}<M_{n}|M_{n}\ge a\}=1$ for some $a\in\mathbb{N}$ and all $n\ge 0$. We are interested…

We study mean change point testing problems for high-dimensional data, with exponentially- or polynomially-decaying tails. In each case, depending on the $\ell_0$-norm of the mean change vector, we separately consider dense and sparse…

Let $\gamma_0$ be a curve on a surface $\Sigma$ of genus $g$ and with $r$ boundary components and let $\pi_1(\Sigma)\curvearrowright X$ be a discrete and cocompact action on some metric space. We study the asymptotic behavior of the number…

Let $X_k$ denote the number of $k$-term arithmetic progressions in a random subset of $\mathbb{Z}/N\mathbb{Z}$ or $\{1, \dots, N\}$ where every element is included independently with probability $p$. We determine the asymptotics of $\log…

A multivariate, stationary time series is said to be jointly regularly varying if all its finite-dimensional distributions are multivariate regularly varying. This property is shown to be equivalent to weak convergence of the conditional…

We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…

We investigate a family of discrete-time stationary processes defined by multiple stable integrals and renewal processes with infinite means. The model may exhibit behaviors of short-range or long-range dependence, respectively, depending…

In this paper, we study critical and subcritical branching $\alpha$-stable processes, $\alpha \in (0, 2)$. We obtain the exact asymptotic behaviors of the tails of the maximal positions of all subcritical branching $\alpha$-stable processes…

We study a random walk on a complex of finitely many half-lines joined at a common origin; jumps are heavy-tailed and of two types, either one-sided (towards the origin) or two-sided (symmetric). Transmission between half-lines via the…

We study the behavior of the tail of a measure $\mu^{\boxtimes t}$, where $\boxtimes t$ is the $t$-fold free multiplicative convolution power for $t\geq 1$. We focus on the case where $\mu$ is a probability measure on the positive half-line…

In this paper, given a simple linear recurrence sequence of algebraic numbers, which has either a dominant characteristic root or exactly two characteristic roots of maximal modulus, we give some explicit lower bounds for the index beyond…

The stability of an Auto-Regressive (AR) time sequence of finite order $L$, is determined by the maximal modulus $r^\star$ among all zeros of its generating polynomial. If $r^\star<1$ then the effect of input and initial conditions decays…

In this short note, we study the behaviour of a product of matrices with a simultaneous renormalization. Namely, for any sequence $(A\_n)\_{n\in \mathbb{N}}$ of $d\times d$ complex matrices whose mean $A$ exists and whose norms' means are…

In this paper, we are interested in the asymptotic behaviour of the sequence of processes $(W_n(s,t))_{s,t\in[0,1]}$ with \begin{equation*} W_n(s,t):=\sum_{k=1}^{\lfloor nt\rfloor}\big(1_{\{\xi_{S_k}\leq s\}}-s\big) \end{equation*} where…

We characterize recurrence and transience of nonnegative multivariate autoregressive processes of order one with random contractive coefficient matrix, of subcritical multitype Galton-Watson branching processes in random environment with…

Given a finite collection of stochastic alternatives, we study the problem of sequentially allocating a fixed sampling budget to identify the optimal alternative with a high probability, where the optimal alternative is defined as the one…

This note studies the asymptotic properties of the variable $$Z_d:=\frac{X_1}{d}|\{X_1+X_2=d\},$$ as $d\to \infty$. Here $X_1$ and $X_2$ are non-negative i.i.d. variables with a common twice differentiable density function $f$. General…

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…

We analyze the asymptotic behavior of sequences of random variables defined by an initial condition, a stationary and ergodic sequence of random matrices, and an induction formula involving multiplication is the so-called max-plus algebra.…

We introduce a subclass of linear recurrence sequences which we call poly-rational sequences because they are denoted by rational expressions closed under sum and product. We show that this class is robust by giving several…