Related papers: Uniform asymptotics for a multidimensional renewal…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
In this paper we discuss the asymptotic behaviour of random contractions $X=RS$, where $R$, with distribution function $F$, is a positive random variable independent of $S\in (0,1)$. Random contractions appear naturally in insurance and…
Graphical models have become a very popular tool for representing dependencies within a large set of variables and are key for representing causal structures. We provide results for uniform inference on high-dimensional graphical models…
We study continuous-time consensus dynamics for multi-agent systems with undirected switching interaction graphs. We establish a necessary and sufficient condition for exponential asymptotic consensus based on the classical theory of…
If the step distribution in a renewal process has finite mean and regularly varying tail with index -{\alpha}, 1<{\alpha}<2, the first two terms in the asymptotic expansion of the renewal function have been known for many years. Here we…
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 the effect of observing a stationary process at irregular time points via a renewal process. We establish a sharp difference in the asymptotic behaviour of the self-normalized sample mean of the observed process depending on the…
Distance correlation has become an increasingly popular tool for detecting the nonlinear dependence between a pair of potentially high-dimensional random vectors. Most existing works have explored its asymptotic distributions under the null…
Asymptotics deviation probabilities of the sum S n = X 1 + $\times$ $\times$ $\times$ + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not…
We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing…
We consider the adaptive Lasso estimator with componentwise tuning in the framework of a low-dimensional linear regression model. In our setting, at least one of the components is penalized at the rate of consistent model selection and…
In the present work, eigenvalue distributions defined by a random rectangular matrix whose components are neither independently nor identically distributed are analyzed using replica analysis and belief propagation. In particular, we…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
A new robust class of multivariate skew distributions is introduced. Practical aspects such as parameter estimation method of the proposed class are discussed, we show that the proposed class can be fitted under a reasonable time frame. Our…
In this article, inferences about the multicomponent stress strength reliability are drawn under the assumption that strength and stress follow independent Pareto distribution with different shapes $(\alpha_1,\alpha_2)$ and common scale…
A variety of estimators for the parameters of the Generalized Pareto distribution, the approximating distribution for excesses over a high threshold, have been proposed, always assuming the underlying data to be independent. We recently…
In this paper, the local asymptotic estimation for the supremum of a random walk and its applications are presented. The summands of the random walk have common long-tailed and generalized strong subexponential distribution. This…
We are interested in testing general linear hypotheses in a high-dimensional multivariate linear regression model. The framework includes many well-studied problems such as two-sample tests for equality of population means, MANOVA and…
The renewal contact process is a non-Markovian variant of the classical contact process in which recoveries are governed by independent renewal processes with interarrival distribution $\mu$. We establish new sufficient conditions ensuring…
Multi-dimensional data frequently occur in many different fields, including risk management, insurance, biology, environmental sciences, and many more. In analyzing multivariate data, it is imperative that the underlying modelling…