相关论文: A note on estimation of $\alpha$-stable CARMA proc…
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…
We propose a sparse coefficient estimation and automated model selection procedure for autoregressive (AR) processes with heavy-tailed innovations based on penalized conditional maximum likelihood. Under mild moment conditions on the…
We consider a process $X^\ve$ solution of a stochastic Volterra equation with an unknown parameter $\theta^\star$ in the drift function. The Volterra kernel is singular near zero, exhibiting a behavior comparable to $K\_0(u)=cu^{\alpha-1}…
In many statistical signal processing applications, the estimation of nuisance parameters and parameters of interest is strongly linked to the resulting performance. Generally, these applications deal with complex data. This paper focuses…
A statistical algorithm for estimating the characteristic parameter $\alpha$ of the stable law is presented and the estimate of its quadratic deviation is obtained in the paper. This algorithm is applied in the description of the…
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…
The statistical properties of estimator using covariance matrix for the account of point-to-point correlations due to systematic errors are analyzed. It is shown that the covariance matrix estimator (CME) is consistent for the realistic…
We consider the rate of piecewise constant approximation to a locally stationary process $X(t),t\in [0,1]$, having a variable smoothness index $\alpha(t)$. Assuming that $\alpha(\cdot)$ attains its unique minimum at zero and satisfies the…
In this article we consider L\'evy driven continuous time moving average processes observed on a lattice, which are stationary time series. We show asymptotic normality of the sample mean, the sample autocovariances and the sample…
The Pickands estimator for the extreme value index is beneficial due to its universal consistency, location, and scale invariance, which sets it apart from other types of estimators. However, similar to many extreme value index estimators,…
We investigate parameter estimation in subcritical continuous-time birth-and-death processes with multiple births. We show that the classical maximum likelihood estimators for the model parameters, based on the continuous observation of a…
We consider the sampling problem for functional PCA (fPCA), where the simplest example is the case of taking time samples of the underlying functional components. More generally, we model the sampling operation as a continuous linear map…
The semivarying coefficient models are widely used in the application of finance, economics, medical science and many other areas. The functional coefficients are commonly estimated by local smoothing methods, e.g. local linear estimator.…
In many industrial applications, signals with short periodic pulses, caused by repeated steps in the manufacturing process, are present, and their fundamental frequency or period may be of interest. Fundamental frequency estimation is in…
Tacho-less rotational speed estimation is critical for vibration-based prognostics and health management (PHM) of rotating machinery, yet traditional methods--such as time-domain periodicity, cepstrum, and harmonic comb matching--struggle…
We consider a process $X^\ve$ that solves a stochastic Volterra equation with an unknown parameter $\theta^\star$ in the drift function. The Volterra kernel is singular, and includes as an example, $K\_0(u)=c u^{\alpha-1/2} \id{u>0}$ with…
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic…
We consider autocovariance operators of a stationary stochastic process on a Polish space that is embedded into a reproducing kernel Hilbert space. We investigate how empirical estimates of these operators converge along realizations of the…
This paper analyzes the limit properties of the empirical process of $\alpha$-stable random variables with long range dependence. The $\alpha$-stable random variables are constructed by non-linear transformations of bivariate sequences of…
Kimura and Yoshida treated a model in which the finite variation part of a two-dimensional semimartingale is expressed by time-integration of latent processes. They proposed a correlation estimator between the latent processes and proved…