Related papers: Asymptotics for the Generalized Autoregressive Con…
Regression quantiles have asymptotic variances that depend on the conditional densities of the response variable given regressors. This paper develops a new estimate of the asymptotic variance of regression quantiles that leads any…
A two-dimensional system of differential equations with delay modelling the glucose-insulin interaction processes in the human body is considered. Sufficient conditions are derived for the unique positive equilibrium in the system to be…
We analyze asymptotic scaling properties of a model class of anomalous reaction-diffusion (ARD) equations. Numerical experiments show that solutions to these have, for large $t$, well defined scaling properties. We suggest a general…
We discuss in detail the asymptotic distribution of sample expectiles. First, we show uniform consistency under the assumption of a finite mean. In case of a finite second moment, we show that for expectiles other then the mean, only the…
Statistical analysis of the eigenfunctions of the Anderson tight-binding model with on-site disorder on regular random graphs strongly suggests that the extended states are multifractal at any finite disorder. The spectrum of fractal…
This paper studies robust estimation in the dynamic Tobit model under local-to-unity (LUR) asymptotics. We show that both Gaussian maximum likelihood (ML) and censored least absolute deviations (CLAD) estimators are consistent, extending…
This paper establishes a necessary and sufficient condition for the asymptotic normality of the nonparametric estimator of sample coverage proposed by Good [Biometrica 40 (1953) 237--264]. This new necessary and sufficient condition extends…
We prove that the classical Laplace asymptotic expansion (AE) of $\int_{\mathbb R^d} g(x)e^{-nu(x)}dx$, $n\gg1$ extends to the high-dimensional regime in which $d$ may grow large with $n$. More specifically, we use new techniques suitable…
This paper deals with the problem of global parameter estimation of affine diffusions in $\mathbb{R}_+ \times \mathbb{R}^n$ denoted by $AD(1, n)$ where $n$ is a positive integer which is a subclass of affine diffusions introduced by Duffie…
We establish abstract limit theorems which provide sufficient conditions for a sequence $(A_{l})$ of rare events in an ergodic probability preserving dynamical system to exhibit Poisson asymptotics, and for the consecutive positions inside…
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…
This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…
We investigate the behavior of the Generalized Likelihood Ratio Test (GLRT) (Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193]) for time varying coefficient models where the regressors and errors are non-stationary time series and can…
Living systems maintain stable internal states despite environmental fluctuations. Absolute concentration robustness (ACR) is a striking homeostatic phenomenon in which the steady-state concentration of a species remains invariant despite…
Count time series data are frequently analyzed by modeling their conditional means and the conditional variance is often considered to be a deterministic function of the corresponding conditional mean and is not typically modeled…
Various qualitative properties of solutions to the generalized Langevin equation (GLE) in a periodic or a confining potential are studied in this paper. We consider a class of quasi-Markovian GLEs, similar to the model that was introduced…
We consider a classic two-state switching diffusion model from a single-particle tracking perspective. The mean and the variance of the time-averaged mean square displacement (TAMSD) are computed exactly. When the measurement time (i.e.,…
Clustered binary data with a large number of covariates have become increasingly common in many scientific disciplines. This paper develops an asymptotic theory for generalized estimating equations (GEE) analysis of clustered binary data…
We prove a result of delocalization for the Anderson model on the regular tree (Bethe lattice). When the disorder is weak, it is known that large parts of the spectrum are a.s. purely absolutely continuous, and that the dynamical transport…
We show some preservation results of amenably extending strongly Ulam stable groups under mild decay assumptions, including quantitative preservation of asymptotic bounds under the assumption that the modulus of stability is H\"older…