Related papers: Scaling limits for INAR$(\infty)$ processes

We study the upper tail behaviors of the local times of the additive stable processes. Let $X_1(t),...,X_p(t)$ be independent, d-dimensional symmetric stable processes with stable index $0<\alpha\le 2$ and consider the additive stable…

This paper is devoted to the problem of sample path large deviations for the Markov processes on R_+^N having a constant but different transition mechanism on each boundary set {x:x_i=0 for i\notin\Lambda, x_i>0 for i\in\Lambda}. The global…

We investigate large deviations for the empirical measure of the forward and backward recurrence time processes associated with a classical renewal process with arbitrary waiting-time distribution. The Donsker-Varadhan theory cannot be…

We prove a strong law of large numbers for a class of strongly mixing processes. Our result rests on recent advances in understanding of concentration of measure. It is simple to apply and gives finite-sample (as opposed to asymptotic)…

Affine point processes are a class of simple point processes with self- and mutually-exciting properties, and they have found useful applications in several areas. In this paper, we obtain large-time asymptotic expansions in large…

The fractional Poisson process and the Wright process (as discretization of the stable subordinator) along with their diffusion limits play eminent roles in theory and simulation of fractional diffusion processes. Here we have analyzed…

In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range…

The integral over the U(N) unitary group $I=\int DU \exp\Tr A U B U^\dagger$ is reexamined. Various approaches and extensions are first reviewed. The second half of the paper deals with more recent developments: relation with integrable…

Empirical processes for stationary, causal sequences are considered. We establish empirical central limit theorems for classes of indicators of left half lines, absolutely continuous functions and piecewise differentiable functions. Sample…

Consider a queueing system fed by traffic from $N$ independent and identically distributed marked point processes. We establish several novel sample path large deviations results in the scaled uniform topology for such a system with a small…

We construct a general procedure for the Quasi Likelihood Analysis applied to a multivariate point process on the real half line in an ergodic framework. More precisely, we assume that the stochastic intensity of the underlying model…

A large deviations principle is established for the joint law of the empirical measure and the flow measure of a renewal Markov process on a finite graph. We do not assume any bound on the arrival times, allowing heavy tailed distributions.…

We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity -- what we term weakly nonstationary processes (WNPs). This includes, as leading examples, fractional…

We establish sufficient conditions for the Marcinkiewicz-Zygmund type weak law of large numbers for a linear process $\{X_k:k\in\mathbb Z\}$ defined by $X_k=\sum_{j=0}^\infty\psi_j\varepsilon_{k-j}$ for $k\in\mathbb Z$, where…

We develop concentration inequalities for the $l_\infty$ norm of vector linear processes with sub-Weibull, mixingale innovations. This inequality is used to obtain a concentration bound for the maximum entrywise norm of the lag-$h$…

We establish a functional weak law of large numbers for observable macroscopic state variables of interacting particle systems (e.g., voter and contact processes) over fast time-varying sparse random networks of interactions. We show that,…

The weak and strong laws of large numbers for time-inhomogeneous Markov chains are studied under general conditions. First, under Drift Condition and Contraction Condition in total variation, we prove the weak law of large numbers. Then,…

We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…

This paper is concerned with Spearman's correlation matrices under large dimensional regime, in which the data dimension diverges to infinity proportionally with the sample size. We establish the central limit theorem for the linear…

Hawkes Process has been used to model Limit Order Book (LOB) dynamics in several ways in the literature however the focus has been limited to capturing the inter-event times while the order size is usually assumed to be constant. We propose…