Related papers: Humbert Generalized Fractional Differenced ARMA Pr…
We study a generalized two-species model on a ring. The original model [1] describes ordinary particles hopping exclusively in one direction in the presence of an impurity. The impurity hops with a rate different from that of ordinary…
We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields, and show that they can be expressed as a countable sum of…
We introduce two stationary versions of two discrete variants of Hammersley's process in a finite box, this allows us to recover in a unified and simple way the laws of large numbers proved by T. Sepp{\"a}l{\"a}inen for two generalized…
Generalized multiresolution analyses are increasing sequences of subspaces of a Hilbert space $\H$ that fail to be multiresolution analyses in the sense of wavelet theory because the core subspace does not have an orthonormal basis…
We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels…
An extension of the ambient metric construction of Fefferman-Graham to infinite order in even dimensions is described. The main ingredients are the introduction of "inhomogeneous ambient metrics" with asymptotic expansions involving the…
We consider a fractional generalization of gradient systems. We use differential forms and exterior derivatives of fractional orders. Examples of fractional gradient systems are considered. We describe the stationary states of these…
An elementary introduction to Hilbert modular forms, with a particular attention to their differential properties: Rankin-Cohen brakets, structure of differential rings... This text will appear in SMF Seminaires et Congres.
Estimating parameters of functional ARMA, GARCH and invertible processes requires estimating lagged covariance and cross-covariance operators of Cartesian product Hilbert space-valued processes. Asymptotic results have been derived in…
A recently introduced recurrence-relation ansatz applied to the Fermi-Hubbard model gives rise to a soluble model and here is used to calculate several thermodynamic observables. The constraint of unit density per site, density = 1, is…
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess…
For each $\lambda>0$ and every square-integrable infinitely-divisible (ID) distribution there exists at least one stationary stochastic process $t\mapsto X_t$ with the specified distribution for $X_1$ and with first-order autoregressive…
A Generalised Hadamard Transform for multi-phase or multilevel signals is introduced, which includes the Fourier, Generalised, Discrete Fourier, Walsh-Hadamard and Reverse Jacket Transforms. The jacket construction is formalised and shown…
In this paper, we first introduce the concept of an adaptive MRA (AMRA) structure which is a variant of the classical MRA structure suited to the main goal of a fast flexible decomposition strategy adapted to the data at each decomposition…
A first type of Multifractional Process with Random Exponent (MPRE) was constructed several years ago in (Ayache, Taqqu, 2005) by replacing in a wavelet series representation of Fractional Brownian Motion (FBM) the Hurst parameter by a…
In the context of convex optimization problems in Hilbert spaces, we induce inertial effects into the classical ADMM numerical scheme and obtain in this way so-called inertial ADMM algorithms, the convergence properties of which we…
In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…
A multi-factor extension of the Hobson and Rogers (HR) model, incorporating a quadratic variance function (QHR model), is proposed and analysed. The QHR model allows for greater flexibility in defining the moving average filter while…
We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of…
We present a general theory to quantify the uncertainty from imposing structural assumptions on the second-order structure of nonstationary Hilbert space-valued processes, which can be measured via functionals of time-dependent spectral…