相关论文: Asymptotic behavior of mixed power variations and …
The article motivates, presents and describes large computer calculations concerning the asymptotic behaviour of arithmetic properties of coefficient fields of modular forms. The observations suggest certain patterns, which deserve further…
Hierarchical statistical models are widely employed in information science and data engineering. The models consist of two types of variables: observable variables that represent the given data and latent variables for the unobservable…
We propose a general framework for regularization in M-estimation problems under time dependent (absolutely regular-mixing) data which encompasses many of the existing estimators. We derive non-asymptotic concentration bounds for the…
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applicable despite the presence of Brownian volatility in the…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
Although approximate Bayesian computation (ABC) has become a popular technique for performing parameter estimation when the likelihood functions are analytically intractable there has not as yet been a complete investigation of the…
We consider a class of doubly weighted rank-based estimating methods for the transformation (or accelerated failure time) model with missing data as arise, for example, in case-cohort studies. The weights considered may not be predictable…
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the asymptotic behavior of trimmed CUSUM statistics. We show…
In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process…
In this paper we introduce the \textit{multivariate} Brownian semistationary (BSS) processes and study the joint asymptotic behaviour of its realised covariation using in-fill asymptotics. First, we present a central limit theorem for…
In this article, we consider flexible seasonal time series models which consist of a common trend function over periods and additive individual trend (seasonal effect) functions. The consistency and asymptotic normality of the local linear…
We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…
This paper is concerned with the asymptotic behavior of sums of terms which are a test function f evaluated at successive increments of a discretely sampled semimartingale. Typically the test function is a power function (when the power is…
A simple variogram model with two parameters is presented that includes the power variogram for the fractional Brownian motion, a modified De Wijsian model, the generalized Cauchy model and the multiquadrics model. One parameter controls…
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in…
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
We prove a large deviation type estimate for the asymptotic behavior of a weighted local time of $\varepsilon W$ as $\varepsilon\to0$.
Some asymptotic properties of a Brownian motion in multifractal time, also called multifractal random walk, are established. We show the almost sure and $L^1$ convergence of its structure function. This is an issue directly connected to the…
In this paper we study the asymptotic behavior of linear processes having as innovations mean zero, square integrable functions of stationary reversible Markov chains. In doing so we shall preserve the generality of coefficients assuming…