相关论文: Power variations and testing for co-jumps: the sma…

In this paper we study the conditions for the existence of strong solutions (both local and global) for stochastic bidomain equations. To this end, we use apriori energy estimates and Serrin-type theorems. We further address the asymptotic…

In this study, we propose a test for the coefficient randomness in autoregressive models where the autoregressive coefficient is local to unity, which is empirically relevant given the results of earlier studies. Under this specification,…

Blood-volume-pulse (BVP) is a biosignal commonly used in applications for non-invasive affect recognition and wearable technology. However, its predisposition to noise constitutes limitations for its application in real-life settings. This…

Slowing down phenomena occur in both deterministic and stochastic dynamical systems at the vicinity of phase transitions or bifurcations. An example is found in systems exhibiting a saddle-node bifurcation, which undergo a dramatic time…

We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities.…

We study the estimation of leverage effect and volatility of volatility by using high-frequency data with the presence of jumps. We first construct spot volatility estimator by using the empirical characteristic function of the…

We present a new test when there is a nuisance parameter under the alternative hypothesis. The test exploits the p-value occupation time [PVOT], the measure of the nuisance parameter subset on which a p-value test based on a a test…

We consider a situation where the distribution of a random variable is being estimated by the empirical distribution of noisy measurements of that variable. This is common practice in, for example, teacher value-added models and other…

In this letter, we construct cusum change-point tests for the Hurst exponent and the volatility of a discretely observed fractional Brownian motion. As a statistical application of the functional Breuer-Major theorems by B\'egyn (2007) and…

In this paper we compare and contrast the behavior of the posterior predictive distribution to the risk of the maximum a posteriori estimator for the random features regression model in the overparameterized regime. We will focus on the…

Positive feedback and cooperativity in the regulation of gene expression are generally considered to be necessary for obtaining bistable expression states. Recently, a novel mechanism of bistability termed emergent bistability has been…

Consider the normalized partial sums of a real-valued function $F$ of a Markov chain, \[\phi_n:=n^{-1}\sum_{k=0}^{n-1}F(\Phi(k)),\qquad n\ge1.\] The chain $\{\Phi(k):k\ge0\}$ takes values in a general state space $\mathsf {X}$, with…

We present studies of quantum interference in a noise power spectrum in the system of two quantum dots (2QD) in a T-geometry. Performing the spectral decomposition we are able to separate local currents and distinguish between the intra-…

This work is devoted to studying asymptotic behaviors for Volterra type McKean-Vlasov stochastic differential equations with small noise. By applying the weak convergence approach, we establish the large and moderate deviation principles.…

The filtering distribution is a time-evolving probability distribution on the state of a dynamical system, given noisy observations. We study the large-time asymptotics of this probability distribution for discrete-time, randomly…

We investigate the distribution of relative velocities between small heavy particles of different sizes in turbulence by analysing a statistical model for bidisperse turbulent suspensions, containing particles with two different Stokes…

The paper investigates theoretically effects of noise on low-bias parts of $IV$ curves of tunnel junctions. The analysis starts from the effect of shot noise from an additional (noise) junction on the Coulomb blockaded Josephson junction in…

This paper is mainly concerned with asymptotic studies of weighted bootstrap for u- and v-statistics. We derive the consistency of the weighted bootstrap u- and v-statistics, based on i.i.d. and non i.i.d. observations, from some more…

Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on…

We consider a Bayesian problem of estimating of probability of success in a series of conditionally independent trials with binary outcomes. We study the asymptotic behaviour of differential entropy for posterior probability density…