相关论文: Quasi-maximum likelihood estimation of periodic GA…

We study the problem of estimating the covariance parameters of a one-dimensional Gaussian process with exponential covariance function under fixed-domain asymptotics. We show that the weighted pairwise maximum likelihood estimator of the…

We prove the existence and the linear stability of Cantor families of small amplitude time quasi-periodic standing water wave solutions - namely periodic and even in the space variable x - of a bi-dimensional ocean with finite depth under…

The robust improper maximum likelihood estimator (RIMLE) is a new method for robust multivariate clustering finding approximately Gaussian clusters. It maximizes a pseudo-likelihood defined by adding a component with improper constant…

A new sufficient condition for the existence of a stationary causal solution of an ARCH($\infty$) equation is provided. This condition allows to consider polynomially decaying coefficients, so that it can be applied to the so-called FIGARCH…

We resolve a question of Carrapatoso et al. on Gaussian optimality for the sharp constant in Poincar\'e-Korn inequalities, under a moment constraint. We also prove stability, showing that measures with near-optimal constant are…

We prove the existence of global in time, finite energy, weak solutions to a quantum magnetohydrodynamic system (QMHD) with large data, modeling a charged quantum fluid interacting with a self-generated electromagnetic field. The analysis…

For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace of the observed Fisher information matrix. The limiting…

Motivated by regularities observed in time series of returns on speculative assets, we develop an asymptotic theory of GARCH(1,1) processes {y_k} defined by the equations y_k=\sigma_k\epsilon_k, \sigma_k^2=\omega +\alpha y_{k-1}^2+\beta…

In this paper we consider maximal regularity for the vector-valued quasi-steady linear elliptic problems. The equations are the elliptic equation in the domain and the evolution equations on its boundary. We prove the maximal $L_p$-$L_q$…

We provide finite sample properties of sparse multivariate ARCH processes, where the linear representation of ARCH models allows for an ordinary least squares estimation. Under the restricted strong convexity of the unpenalized loss…

In this paper the class of ARCH$(\infty)$ models is generalized to the nonstationary class of ARCH$(\infty)$ models with time-varying coefficients. For fixed time points, a stationary approximation is given leading to the notation ``locally…

We study the quench dynamics in continuous relativistic quantum field theory, more specifically the locality properties of the large time stationary state. After a quantum quench in a one-dimensional integrable model, the expectation values…

In order to calculate the unobserved volatility in conditional heteroscedastic time series models, the natural recursive approximation is very often used. Following \cite{StraumannMikosch2006}, we will call the model \emph{invertible} if…

The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A\"{\i}t-Sahalia [J. Finance 54 (1999)…

It is proved that the KAM tori (thus quasi-periodic solutions) are long time stable for infinite dimensional Hamiltonian systems generated by nonlinear wave equation, by constructing a partial normal form of higher order around the KAM…

An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…

Quasi-Monte Carlo (QMC) methods are applied to multi-level Finite Element (FE) discretizations of elliptic partial differential equations (PDEs) with a random coefficient, to estimate expected values of linear functionals of the solution.…

We review our recent work leading to steady-state solutions of the semiclassical (Maxwell-Bloch) equations of a laser. These are coupled non-linear partial differential equations in space and time which have previously been solved either by…

In this paper, we establish the stability of the quasineutral limit for the ionic Vlasov-Poisson system under perturbations exponentially small in Wasserstein sense. Notably, we emphasize that exponential smallness is a necessary condition…

We study the existence, strong consistency and asymptotic normality of estimators obtained from estimating functions, that are p-dimensional martingale transforms. The problem is motivated by the analysis of evolutionary clustered data,…