Related papers: Asymptotics for the Generalized Autoregressive Con…
It is classical that uniform stabilization of solutions to the autonomous damped wave equation is equivalent to every geodesic meeting the positive set of the damping, which is called the geometric control condition. In this paper, it is…
An autoregressive process with Markov regime is an autoregressive process for which the regression function at each time point is given by a nonobservable Markov chain. In this paper we consider the asymptotic properties of the maximum…
In this paper we consider autoregressive models with conditional autoregressive variance, including the case of homoscedastic AR-models and the case of ARCH models. Our aim is to test the hypothesis of normality for the innovations in a…
Let $\bigl\{X_k\bigr\}_{k \in \mathbb{Z}} \in \mathbb{L}^2(\mathcal{T})$ be a stationary process with associated lag operators ${\boldsymbol{\cal C}}_h$. Uniform asymptotic expansions of the corresponding empirical eigenvalues and…
In this paper, we formulate and prove new properties of conditional quantiles given one of the particular sigma-fields. Next, we use them to investigate almost sure asymptotic behavior of central order statistics which arise from strictly…
We examine a class of stochastic differential inclusions involving multiscale effects designed to solve a class of generalized variational inequalities. This class of problems contains constrained convex non-smooth optimization problems,…
We combine numerical diagonalization with a semi-analytical calculations to prove the existence of the intermediate non-ergodic but delocalized phase in the Anderson model on disordered hierarchical lattices. We suggest a new generalized…
The G\"artner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed initial point, which entails weak multiplicative…
Adapting a counterexample recently proposed by J.L. Mancilla-Aguilar and H. Haimovich, we show here that, for time-delay systems, global asymptotic stability does not ensure that solutions converge uniformly to zero over bounded sets of…
This paper develops necessary and sufficient conditions for the preservation of asymptotic convergence rates of deterministically and stochastically perturbed ordinary differential equations with regularly varying nonlinearity close to…
We deal with a random graph model evolving in discrete time steps by duplicating and deleting the edges of randomly chosen vertices. We prove the existence of an a.s. asymptotic degree distribution, with streched exponential decay; more…
We consider the strongly consistent question for model selection in a large class of causal time series models, including AR($\infty$), ARCH($\infty$), TARCH($\infty$), ARMA-GARCH and many classical others processes. We propose a penalized…
We introduce three forms of generalized contraction (GC). Roughly speaking, these are motivated by allowing contraction to take place after small transients in time and/or amplitude. Indeed, contraction is usually used to prove asymptotic…
Constraint-based causal discovery is brittle in finite-sample regimes because erroneous conditional-independence (CI) decisions can cascade into substantial structural errors. We propose Quantitative Argumentation for Causal Discovery…
The Generalized Langevin Equation (GLE) is a Stochastic Integro-Differential Equation that is commonly used to describe the velocity of microparticles that move randomly in viscoelastic fluids. Such particles commonly exhibit what is known…
This paper introduces a novel quantile approach to harness the high-frequency information and improve the daily conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ…
Many scientific and economic problems involve the analysis of high-dimensional time series datasets. However, theoretical studies in high-dimensional statistics to date rely primarily on the assumption of independent and identically…
Classical sufficient conditions for ensuring the robust stability of a dynamical system in feedback with a nonlinearity include passivity, small gain, circle, and conicity theorems. We present a generalized version of these results for…
We develop two new estimators for a general class of stationary GARCH models with possibly heavy tailed asymmetrically distributed errors, covering processes with symmetric and asymmetric feedback like GARCH, Asymmetric GARCH, VGARCH and…
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal probability density function of the error term is found. It…