Related papers: Asymptotics for irregularly observed long memory p…
Although complete randomization ensures covariate balance on average, the chance for observing significant differences between treatment and control covariate distributions increases with many covariates. Rerandomization discards…
Existing methods for the estimation of stable distribution parameters, such as those based on sample quantiles, sample characteristic functions or maximum likelihood generally assume an independent sample. Little attention has been paid to…
This paper studies the joint limiting behavior of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model, where the asymptotic regime is such that the dimension and sample size grow…
This paper investigates the second order properties of a stationary process after random sampling. While a short memory process gives always rise to a short memory one, we prove that long-memory can disappear when the sampling law has heavy…
The discrete stochastic dynamics of a random walker in the presence of resetting and memory is analyzed. Resetting and memory effects may compete for certain parameter regime and lead to significant changes in the long time dynamics of the…
We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends…
We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…
Markov processes restarted or reset at random times to a fixed state or region in space have been actively studied recently in connection with random searches, foraging, and population dynamics. Here we study the large deviations of…
We establish the global asymptotic equivalence between a pure jumps L\'evy process $\{X_t\}$ on the time interval $[0,T]$ with unknown L\'evy measure $\nu$ belonging to a non-parametric class and the observation of $2m^2$ Poisson…
We obtain asymptotic bounds for the tail distribution of steady-state waiting time in a two server queue where each server processes incoming jobs at a rate equal to the rate of their arrivals (that is, the half-loaded regime). The job…
We consider shallow (single hidden layer) neural networks and characterize their performance when trained with stochastic gradient descent as the number of hidden units $N$ and gradient descent steps grow to infinity. In particular, we…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are (approximately) constant for some time and then slowly start…
With many pretreatment covariates and treatment factors, the classical factorial experiment often fails to balance covariates across multiple factorial effects simultaneously. Therefore, it is intuitive to restrict the randomization of the…
We consider a three-level meta-analysis of standardized mean differences. The standard method of estimation uses inverse-variance weights and REML/PL estimation of variance components for the random effects. We introduce new moment-based…
We consider covariance asymptotics for linear statistics of general stationary random measures in terms of their truncated pair correlation measure. We give exact infinite series-expansion formulas for covariance of smooth statistics of…
When assessing risks on a finite-time horizon, the problem can often be reduced to the study of a random sequence $C(N)=(C_1,\ldots,C_N)$ of random length $N$, where $C(N)$ comes from the product of a matrix $A(N)$ of random size $N \times…
In this paper, we survey results on the asymptotic behavior of the variance of the best linear unbiased estimator (BLUE) for the mean of stationary processes. This behavior is influenced by the regularity and memory structures of the…
We construct a one-dimensional piecewise linear intermittent map from the interevent time distribution for a given renewal process. Then, we characterize intermittency by the asymptotic behavior near the indifferent fixed point in the…
We study probabilities of various rare events for the limiting point process that appears at the random matrix hard edge. We also show a transition from hard edge to bulk behavior. Asymptotic events studied include a central limit theorem…
We propose an analytical method to determine the shape of density profiles in the asymptotic long time limit for a broad class of coupled continuous time random walks which operate in the ballistic regime. In particular, we show that…