相关论文: On stationarity properties of generalized Hermite-…
We propose nonparametric open-end sequential testing procedures that can detect all types of changes in the contemporary distribution function of possibly multivariate observations. Their asymptotic properties are theoretically investigated…
Statistical properties of parametric motion in ensembles of Hermitian banded random matrices are studied. We analyze the distribution of level velocities and level curvatures as well as their correlation functions in the crossover regime…
We study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In…
The non-stationary evolution of observable quantities in complex systems can frequently be described as a juxtaposition of quasi-stationary spells. Given that standard theoretical and data analysis approaches usually rely on the assumption…
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global…
We consider the problem of density estimation in the context of multiscale Langevin diffusion processes, where a single-scale homogenized surrogate model can be derived. In particular, our aim is to learn the density of the invariant…
Different viewpoints on the asymptotic expansion of Feynman diagrams are reviewed. The relations between the field theoretic and diagrammatic approaches are sketched. The focus is on problems with large masses or large external momenta.…
We present an approach to generalised fermionic statistics which relates the existence of a generalised statistical behaviour to non-invariant ground states. Considering the thermal average of an operatorial generalization of the Heisenberg…
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…
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-linear gradient drifts. Our results provide parametric…
Continuous determinantal point processes (DPPs) are a class of repulsive point processes on $\mathbb{R}^d$ with many statistical applications. Although an explicit expression of their density is known, it is too complicated to be used…
We introduce a new type of local and microlocal asymptotic analysis in algebras of generalized functions, based on the presheaf properties of those algebras and on the properties of their elements with respect to a regularizing parameter.…
Nonparametric estimation of the mean and covariance functions is ubiquitous in functional data analysis and local linear smoothing techniques are most frequently used. Zhang and Wang (2016) explored different types of asymptotic properties…
In this paper, we focus on studying central limit theorems for functionals of some specific stationary random processes. In classical probability theory, it is well-known that for non-linear functionals of stationary Gaussian sequences, we…
We review some recent techniques for dealing with non-hermitian random matrix models based on generalized Green's functions. We introduce the diagrammatic methods in the hermitian case and generalize them to the non-hermitian case. The…
Combinatorial Levy processes evolve on general state spaces of countable combinatorial structures. In this setting, the usual Levy process properties of stationary, independent increments are defined in an unconventional way in terms of the…
Two dynamical indicators, the local dimension and the extremal index, used to quantify persistence in phase space have been developed and applied to different data across various disciplines. These are computed using the asymptotic limit of…
Non-Hermitian Hamiltonians, which describe a wide range of dissipative systems, and higher-order topological phases, which exhibit novel boundary states on corners and hinges, comprise two areas of intense current research. Here we…
Starting from the complete Mellin representation of Feynman amplitudes for noncommutative vulcanized scalar quantum field theory, introduced in a previous publication, we generalize to this theory the study of asymptotic behaviours under…
Functional data present as functions or curves possessing a spatial or temporal component. These components by nature have a fixed observational domain. Consequently, any asymptotic investigation requires modelling the increased correlation…