Related papers: Asymptotics for aggregated interdependent multivar…

M-estimation, aka empirical risk minimization, is at the heart of statistics and machine learning: Classification, regression, location estimation, etc. Asymptotic theory is well understood when the loss satisfies some smoothness…

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal…

For a multivariate random walk with i.i.d. jumps satisfying the Cramer moment condition and having a mean vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant…

This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this accumulated reward can be regarded as multivariate…

In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatility. We provide a recipe for the estimation of this matrix by…

This paper is part of series on self-contained papers in which a large part, if not the full extent, of the asymptotic limit theory of summands of independent random variables is exposed. Each paper of the series may be taken as review…

We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…

This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…

Disjunct matrices, also known as cover-free families and superimposed codes, are combinatorial arrays widely used in group testing. Among their variants, those that satisfy an additional combinatorial property called inclusiveness form a…

We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any…

The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common practice employed by the researchers is the specification of the…

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…

This paper studies the inference of the regression coefficient matrix under multivariate response linear regressions in the presence of hidden variables. A novel procedure for constructing confidence intervals of entries of the coefficient…

We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…

A large class of problems in sciences and engineering can be formulated as the general problem of constructing random intervals with pre-specified coverage probabilities for the mean. Wee propose a general approach for statistical inference…

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…

Multivariate extreme value theory is concerned with modeling the joint tail behavior of several random variables. Existing work mostly focuses on asymptotic dependence, where the probability of observing a large value in one of the…

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result,…

In this paper we introduce and study the class of multivariate strong and strongly subexponential distributions. Some first properties are verified, as for example a type of multivariate analogue of Kesten's inequality, the closure property…

The association between two random variables is often of primary interest in statistical research. In this paper semiparametric models for the association between random vectors X and Y are considered which leave the marginal distributions…