相关论文: The asymptotics of purely atomic one-dimensional L…

For arbitrary Borel probability measures with compact support on the real line, characterizations are established of the best finitely supported approximations, relative to three familiar probability metrics (Levy, Kantorovich, and…

This paper studies best finitely supported approximations of one-dimensional probability measures with respect to the $L^r$-Kantorovich (or transport) distance, where either the locations or the weights of the approximations' atoms are…

Using complex analysis techniques we obtain precise asymptotic approximations for the kernels corresponding to the symmetric $\alpha$-stable processes and their fractional derivatives. We apply our method to general L\'evy processes whose…

We determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a L\'{e}vy process. One can completely elucidate the first order behavior…

We establish the global asymptotic equivalence between a pure jumps L\'evy process $\{X_t\}$ on the time interval $[0,T]$ with unknown L\'evy measure $\nu$ belonging to a non-parametric class and the observation of $2m^2$ Poisson…

The optimization of measurement for n samples of pure sates are studied. The error of the optimal measurement for n samples is asymptotically compared with the one of the maximum likelihood estimators from n data given by the optimal…

A version of the saddle point method is developed, which allows one to describe exactly the asymptotic behavior of distribution densities of Levy driven stochastic integrals with deterministic kernels. Exact asymptotic behavior is…

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…

The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…

We consider high-dimensional estimation problems where the number of parameters diverges with the sample size. General conditions are established for consistency, uniqueness, and asymptotic normality in both unpenalized and penalized…

Many statistical models have likelihoods which are intractable: it is impossible or too expensive to compute the likelihood exactly. In such settings, a common approach is to replace the likelihood with an approximation, and proceed with…

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…

For subordinators with positive drift we extend recent results on the structure of the potential measures and the renewal densities. Applying Fourier analysis a new representation of the potential densities is derived from which we deduce…

We present here an overview of the history, applications and important properties of a function which we refer to as the Levy integral. For certain values of its characteristic parameter the Levy integral defines the symmetric Levy stable…

Although the assumption of elliptical symmetry is quite common in multivariate analysis and widespread in a number of applications, the problem of testing the null hypothesis of ellipticity so far has not been addressed in a fully…

We establish explicit quenched asymptotics for pure-jump symmetric L\'evy processes in general Poissonian potentials, which is closely related to large time asymptotic behavior of solutions to the nonlocal parabolic Anderson problem with…

Asymptotic separation index is a parameter that measures how easily a Borel graph can be approximated by its subgraphs with finite components. In contrast to the more classical notion of hyperfiniteness, asymptotic separation index is…

A common statistical task lies in showing asymptotic normality of certain statistics. In many of these situations, classical textbook results on weak convergence theory suffice for the problem at hand. However, there are quite some…

Let $\mu_1$ and $\mu_2$ be two complex-valued Borel measures on the real line such that $\operatorname{supp} \mu_1 =[\alpha_1,\beta_1] < \operatorname{supp} \mu_2 =[\alpha_2,\beta_2]$ and ${\rm d}\mu_i(x) = -\rho_i(x){\rm d}x/2\pi {\rm i}$,…

We propose a general approach to construct weighted likelihood estimating equations with the aim of obtaining robust parameter estimates. We modify the standard likelihood equations by incorporating a weight that reflects the statistical…