相关论文: Can the bivariate Hurst exponent be higher than an…
The Hurst exponent is the simplest numerical summary of self-similar long-range dependent stochastic processes. We consider the estimation of Hurst exponent in long-range dependent curve time series. Our estimation method begins by…
We introduce two new estimators of the bivariate Hurst exponent in the power-law cross-correlations setting -- the cross-periodogram and local $X$-Whittle estimators -- as generalizations of their univariate counterparts. As the…
In this article, we investigate the bivariate multifractal analysis of pairs of Borel probability measures. We prove that, contrarily to what happens in the univariate case, the natural extension of the Legendre spectrum does not yield an…
A method for estimating the cross-correlation $C_{xy}(\tau)$ of long-range correlated series $x(t)$ and $y(t)$, at varying lags $\tau$ and scales $n$, is proposed. For fractional Brownian motions with Hurst exponents $H_1$ and $H_2$, the…
The (general) hypoexponential distribution is the distribution of a sum of independent exponential random variables. We consider the particular case when the involved exponential variables have distinct rate parameters. We prove that the…
The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents.…
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is…
We consider random vectors $X$ that satisfy the equation in law $X=AX+B$, where $A$ is a given random diagonal matrix and $B$ a given random vector, both independent of $X$. It is well known by the works of Kesten and Goldie that the…
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal…
Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent.…
In this paper we give an improved upper bound, as compared to the one given in [3] for the number of extreme points of the convex set of all G-invariant probability measures on X*Y with given marginals of full support.
The fractional stable motion is a prototypical stochastic process exhibiting both heavy tails and long-range dependence, parameterized via a stability index $\alpha$ and a Hurst exponent $H$. We consider a nonstationary extension where the…
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…
We study asymptotic probabilities of attaining the maximum in heterogeneous Gaussian samples. In the two-group setting, the first sample has variance $1$ and size $n_1$, while the second has variance $\sigma^2>1$ and size $n_2$. We…
There has been recent interest in a hybrid form of the celebrated conjectures of Hardy-Littlewood and of Chowla. We prove that for any $k,\ell\ge1$ and distinct integers $h_2,\ldots,h_k,a_1,\ldots,a_\ell$, we have $$\sum_{n\leq…
We show weak convergence of the time-$t$ marginals for the integrated variance in a re-scaled rough Heston model to an Inverse Gaussian L\'{e}vy process. This shows we can obtain such a limit without having to impose that the true Hurst…
We show that the inequality $H(A \mid B,X) + H(A \mid B,Y) \le H(A\mid B)$ for jointly distributed random variables $A,B,X,Y$, which does not hold in general case, holds under some natural condition on the support of the probability…
In this note we produce generalized versions of the classical inequalities of Hardy and of Hilbert and we establish their equivalence. Our methods rely on the H^1-BMOA duality. We produce a class of examples to establish that the…
We will prove several expanders with exponent strictly greater than $2$. For any finite set $A \subset \mathbb R$, we prove the following six-variable expander results: \begin{align*} |(A-A)(A-A)(A-A)| &\gg…
In this paper, we present some extensions of the Young and Heinz inequalities for the Hilbert-Schmidt norm as well as any unitarily invariant norm. Furthermore, we give some inequalities dealing with matrices. More precisely, for two…