相关论文: Is Brownian motion necessary to model high-frequen…

This paper is about models for a vector of probabilities whose elements must have a multiplicative structure and sum to 1 at the same time; in certain applications, as basket analysis, these models may be seen as a constrained version of…

Given well-shuffled data, can we determine whether the data items are statistically (in)dependent? Formally, we consider the problem of testing whether a set of exchangeable random variables are independent. We will show that this is…

We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportional transaction costs. There, we established a positive…

Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in practice. In much of the available theory, tuning parameters…

We provide a characterization of continuous semimartingales whose law is invariant with respect to predictable random rotations. In particular we prove that all such semimartingales are obtained by integrating a predictable process with…

A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on…

We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…

A non parametric method based on the empirical likelihood is proposed for detecting the change in the coefficients of high-dimensional linear model where the number of model variables may increase as the sample size increases. This amounts…

This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a…

Evaluating whether data streams are drawn from the same distribution is at the heart of various machine learning problems. This is particularly relevant for data generated by dynamical systems since such systems are essential for many…

For $n$ equidistant observations of a L\'evy process at time distance $\Delta_n$ we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner.…

In this paper we consider the problem of tracking the state of a quantum system via a continuous measurement. If the system Hamiltonian is known precisely, this merely requires integrating the appropriate stochastic master equation.…

We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density…

Let $X$ be the sum of a fractional Brownian motion with Hurst parameter $H$ and an absolutely continuous and adapted drift process. We establish a simple criterion that guarantees that the law of $X$ is absolutely continuous with respect to…

Using the multiple stochastic integrals we prove an existence and uniqueness result for a linear stochastic equation driven by the fractional Brownian motion with any Hurst parameter. We study both the one parameter and two parameter cases.…

Analyzing the covariance structure of data is a fundamental task of statistics. While this task is simple for low-dimensional observations, it becomes challenging for more intricate objects, such as multivariate functions. Here, the…

A novel approach to account for hard-body interactions in (overdamped) Brownian dynamics simulations is proposed for systems with non-vanishing force fields. The scheme exploits the analytically known transition probability for a Brownian…

We propose three test criteria each of which is appropriate for testing, respectively, the equivalence hypotheses of symmetry, of homogeneity, and of independence, with multivariate data. All quantities have the common feature of involving…

Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This…

We consider a ranking and selection (R&S) problem with the goal to select a system with the largest or smallest expected performance measure among a number of simulated systems with a pre-specified probability of correct selection. Fully…