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Recurrent binary outcomes within individuals, such as hospital readmissions, often reflect latent risk processes that evolve over time. Conventional methods like generalized linear mixed models and generalized estimating equations estimate…
Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrating links between these variables and partial sums of the…
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is…
Discrete nonlinear systems support a rich variety of localized and extended wave phenomena, with their dynamics sensitively dependent on the symmetries of the underlying interaction forces within the lattice. Odd elasticity, emerging in…
The effect of disorder on flux lattices at equilibrium is studied quantitatively in the absence of free dislocations using both the Gaussian variational method and the renormalization group. Our results for the mean square relative…
The purpose of this paper is to investigate moderate deviations for the Durbin-Watson statistic associated with the stable first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We…
In the rapidly rotating limit, we derive a balanced set of reduced equations governing the strongly nonlinear development of the convective wall-mode instability in the interior of a general container. The model illustrates that wall-mode…
This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood…
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approach (see [Bernoulli 15 (2009) 634--658,…
By employing a local two-fluid theory, we investigate an obliquely propagating electromagnetic instability in the lower hybrid frequency range driven by cross-field current or relative drifts between electrons and ions. The theory…
Estimation and inference in statistics pose significant challenges when data are collected adaptively. Even in linear models, the Ordinary Least Squares (OLS) estimator may fail to exhibit asymptotic normality for single coordinate…
We have found that in two-dimensional Kolmogorov flow a single spatially-localized turbulence (SLT) exists stably and travels with a constant speed on average switching the moving direction randomly and intermittently for moderate values of…
We establish regularity and, under suitable assumptions, convergence to stationary states for weak solutions of a parabolic equation with a non-linear non-local drift term; this equation was derived from a model of active Brownian particles…
In this paper we introduce a general method for estimating the quadratic covariation of one or more spot parameters processes associated with continuous time semimartingales. This estimator is applicable to a wide range of spot parameter…
In this paper, conditional stability estimates are derived for unique continuation and Cauchy problems associated to the Poisson equation in ultra-weak variational form. Numerical approximations are obtained as minima of regularized least…
We study the dynamics of two-dimensional (2D) localized modes in the nonlinear lattice described by the discrete nonlinear Schr\"{o}dinger (DNLS) equation, including a local linear or nonlinear defect. Discrete solitons pinned to the…
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot of attention both from the statistical and…
We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of…
The stability of solutions to evolution equations with respect to small stochastic perturbations is considered. The stability of a stochastic dynamical system is characterized by the local stability index. The limit of this index with…
This paper proposes a new algorithm -- the \underline{S}ingle-timescale Do\underline{u}ble-momentum \underline{St}ochastic \underline{A}pprox\underline{i}matio\underline{n} (SUSTAIN) -- for tackling stochastic unconstrained bilevel…