相关论文: Asymptotic behavior of mixed power variations and …

We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any…

Functional data analysis is proved to be useful in many scientific applications. The physical process is observed as curves and often there are several curves observed due to multiple subjects, providing the replicates in statistical sense.…

We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…

We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesimal evolution of Wiener functionals at very small scales. The…

We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a…

We consider three problems in high-dimensional Gaussian linear mixed models. Without any assumptions on the design for the fixed effects, we construct an asymptotic $F$-statistic for testing whether a collection of random effects is zero,…

We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.

We study the asymptotic behaviour of sequences of multivariate random variables representing the number of occurrences of a given set of symbols in a word of length $n$ generated at random according to a rational stochastic model. Assuming…

Approximate Bayesian computation allows for statistical analysis in models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on…

In this paper, we introduce a model of Brownian polymer in a continuous random environment. The asymptotic behavior of the partition function associated to this polymer measure is studied, and we are able to separate a weak and strong…

The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In particular, functional large deviation results are stated for small time. Several…

Many results in the theory of Gaussian processes rely on the eigenstructure of the covariance operator. However, eigenproblems are notoriously hard to solve explicitly and closed form solutions are known only in a limited number of cases.…

This paper presents a novel centralized, variational data assimilation approach for calibrating transient dynamic models in electrical power systems, focusing on load model parameters. With the increasing importance of inverter-based…

The Brownian motion over the space of fluid velocity configurations driven by the hydrodynamical equations is considered. The Green function is computed in the form of an asymptotic series close to the standard diffusion kernel. The high…

We consider high frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the…

The Gaussian mixed-effects model driven by a stationary integrated Ornstein-Uhlenbeck process has been used for analyzing longitudinal data having an explicit and simple serial-correlation structure in each individual. However, the…

In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…

We study several matrix diffusion processes constructed from a unitary Brownian motion. In particular, we use the Stiefel fibration to lift the Brownian motion of the complex Grassmannian to the complex Stiefel manifold and deduce a…

Analytical work probability distributions for open classical systems are scarce; they can only be calculated in a few examples. In this work, I present a new method to derive such quantities for weakly driven processes in the overdamped…

Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…