Related papers: Some vector-valued examples of noncentral moderate…
We establish a central limit theorem and prove a moderate deviation principle for stochastic scalar conservation laws. Due to the lack of viscous term, this is done in the framework of kinetic solution. The weak convergence method and…
In this article, we discuss the sharp moderate and large deviations between the quantiles of population and the quantiles of samples. Cram\'{e}r type moderate deviations and Bahadur-Rao type large deviations are established with some mild…
Regression is one of the most fundamental statistical inference problems. A broad definition of regression problems is as estimation of the distribution of an outcome using a family of probability models indexed by covariates. Despite the…
Conditional extreme value models have been introduced by Heffernan and Resnick (2007) to describe the asymptotic behavior of a random vector as one specific component becomes extreme. Obviously, this class of models is related to classical…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
We consider a collection of fully coupled weakly interacting diffusion processes moving in a two-scale environment. We study the moderate deviations principle of the empirical distribution of the particles' positions in the combined limit…
Seemingly unrelated linear regression models are introduced in which the distribution of the errors is a finite mixture of Gaussian components. Identifiability conditions are provided. The score vector and the Hessian matrix are derived.…
We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not necessarily of convolution form. Our methodology is based…
The mid-p-value is a proposed improvement on the ordinary p-value for the case where the test statistic is partially or completely discrete. In this case, the ordinary p-value is conservative, meaning that its null distribution is larger…
This is basically a polished presentation for Sections 1,2 of arXiv:0801.1050. The Moderate Deviations Principle (MDP) is well-understood for sums of independent random variables, worse understood for stationary random sequences, and…
In this paper, we obtain some results on precise large deviations for non-random and random sums of widely dependent random variables with common dominatedly varying tail distribution or consistently varying tail distribution on…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
The main results in this paper concern large deviations for families of non-Gaussian processes obtained as suitable perturbations of continuous centered multivariate Gaussian processes which satisfy a large deviation principle. We present…
We establish a large-deviations principle for the largest eigenvalue of a generalized sample covariance matrix, meaning a matrix proportional to $Z^T \Gamma Z$, where $Z$ has i.i.d. real or complex entries and $\Gamma$ is not necessarily…
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…
Following [1], the aim of this paper is to analyze the relative weighted entropy involving the central moments weight functions. We compare the standard relative entropy with the weighted case in two particular forms of Gaussian…
L multiple descriptions of a vector Gaussian source for individual and central receivers are investigated. The sum rate of the descriptions with covariance distortion measure constraints, in a positive semidefinite ordering, is exactly…
The median absolute deviation (MAD) is a robust measure of scale that is simple to implement and easy to interpret. Motivated by this, we introduce interval estimators of the MAD to make reliable inferences for dispersion for a single…
We obtain large deviations theorems for nonconventional sums with underlying process being a Markov process satisfying the Doeblin condition or a dynamical system such as subshift of finite type or hyperbolic or expanding transformation.
We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows us to transfer these results into small-time, large-time and…