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

It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do inference even for its simple cases. This paper studies the…

The quasi-maximum likelihood estimation is a commonly-used method for estimating GARCH parameters. However, such estimators are sensitive to outliers and their asymptotic normality is proved under the finite fourth moment assumption on the…

In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at discrete time points. The class of cointegrated solutions of…

We study fundamental properties of the gamma process and their relation to various topics such as Poisson-Dirichlet measures and stable processes. We prove the quasi-invariance of the gamma process with respect to a large group of linear…

In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order $p$ with regular stationary Gaussian noise. We exhibit the large sample asymptotical properties of the…

We establish sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the existence and exponential ergodicity of the Q-process, the process…

The asymptotic decision theory by Le Cam and Hajek has been given a lucid perspective by the Ibragimov-Hasminskii theory on convergence of the likelihood random field. Their scheme has been applied to stochastic processes by Kutoyants, and…

Certain extremum estimators have asymptotic distributions that are non-Gaussian, yet characterizable as the distribution of the $\argmax$ of a Gaussian process. This paper presents high-level sufficient conditions under which such…

The stationary solution \rho of a quantum master equation can be represented as an ensemble of pure states in a continuous infinity of ways. An ensemble which is physically realizable through monitoring the system's environment we call an…

In this work, we investigate Gaussian Mixture Models ({\it abbrv} GMM) and the related problem of non parametric maximum likelihood estimation ({\it abbrv} NPMLE) from the perspective of statistical mechanics. In particular, we establish…

We consider periodic Markov chains with absorption. Applying to iterates of this periodic Markov chain criteria for the exponential convergence of conditional distributions of aperiodic absorbed Markov chains, we obtain exponential…

We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary…

The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…

A new method of quasi-optimal observables allows one to approach the quality of data processing usually associated with the method of maximal likelihood within the simpler algorithmic context of generalized moments.

In this article we study the existence and strong consistency of GEE estimators, when the generalized estimating functions are martingales with random coefficients. Furthermore, we characterize estimating functions which are asymptotically…

he quasigeostrophic model describes large scale and relatively slow fluid motion in geophysical flows. We investigate the quasigeostrophic model under random forcing and random boundary conditions. We first transform the model into a…

For Markov processes with absorption, we provide general criteria ensuring the existence and the exponential non-uniform convergence in total variation norm to a quasi-stationary distribution. We also characterize a subset of its domain of…

We consider a class of M-estimators of the parameters of a GARCH (p,q) model. These estimators involve score functions and, for adequate choices of the score functions, are asymptotically normal under milder moment assumptions than the…

We consider a class of perpetuities which admit direct characterization of asymptotics of the key truncated moment. The class contains perpetuities without polynomial decay of tail probabilities and thus not satisfying Kesten's theorem. We…

We introduce the notion of continuously invertible volatility models that relies on some Lyapunov condition and some regularity condition. We show that it is almost equivalent to the ability of the volatilities forecasting using the…