相关论文: Realized cumulants for martingales
We use here a recent idea of studying functions of free random variables using Boolean cumulants. We develop idea of explicit calculations of conditional expectation using Boolean cumulants. We demonstrate Boolean cumulants approach allows…
We propose a purity correction to subtract effects of combinatorial backgrounds from cumulants of hyperon number distributions. We argue that cumulants and mix-cumulants of sidebands, whose yield is comparable with that of background…
In this paper, we study the functional convergence in law of the fluctuations of the derivative martingale of branching random walk on the real line. Our main result strengthens the results of Buraczewski et. al. [Ann. Probab., 2021] and is…
The paper focuses on an approximation of the first passage time probability density function of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial approximation. The feasibility of the method relies on closed…
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-valued semimartingale with independent increments becomes a…
A combinatorial formula is derived which expresses free cumulants in terms of classical comulants. As a corollary, we give a combinatorial interpretation of free cumulants of classical distributions, notably Gaussian and Poisson…
A new family of polynomials, called cumulant polynomial sequence, and its extensions to the multivariate case is introduced relied on a purely symbolic combinatorial method. The coefficients of these polynomials are cumulants, but depending…
We prove a combinatorial formula for Macdonald cumulants which generalizes the celebrated formula of Haglund for Macdonald polynomials. We provide several applications of our formula. Firstly, it gives a new, constructive proof of a strong…
Infinite sums of i.i.d. random variables discounted by a multiplicative random walk are called perpetuities and have been studied by many authors. The present paper provides a log-type moment result for such random variables under minimal…
We study the arithmetic property which allows to sharpen number-theoretic estimates. Previous results on this property are, as a rule, quantitive. The application of our general qualitive theorems to generalized hypergeometric functions…
In the present work, we investigate real numbers whose sequence of partial quotients enjoys some combinatorial properties involving the notion of palindrome. We provide three new transendence criteria, that apply to a broad class of…
We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions $(\mu_t)_{t\in [0,1]}$ which increases in convex order there exists a Markov martingale $(S_t)_{t\in[0,1]}$ s.t.\ $S_t\sim \mu_t$. To…
We introduce new refinements of the Bell, factorial, and unsigned Stirling numbers of the first and second kind that unite the derangement, involution, associated factorial, associated Bell, incomplete Stirling, restricted factorial,…
Suppose we are given a computably enumerable object arise from algorithmic randomness or computable analysis. We are interested in the strength of oracles which can compute an object that approximates this c.e. object. It turns out that,…
We consider two nonindependent random fields $\psi$ and $\phi$ defined on a countable set $Z$. For instance, $Z={\mathbb Z}^d$ or $Z={\mathbb Z}^d\times I$, where $I$ denotes a finite set of possible "internal degrees of freedom" such as…
We develop likelihood-based bias reduction for nonlinear panel models with additive individual and time effects. In two-way panels, integrated-likelihood corrections are attractive but challenging because the required integration is high…
A stationary random sequence admits under some assumptions a representation as the sum of two others: one of them is a martingale difference sequence, and another is a so-called coboundary. Such a representation can be used for proving some…
We propose new concentration inequalities for self-normalized martingales. The main idea is to introduce a suitable weighted sum of the predictable quadratic variation and the total quadratic variation of the martingale. It offers much more…
We consider combinatorial properties of the Mills' ratio, and explore the interplay between a continued fraction expansion for the Mills' ratio, the Laplace polynomials and a new family of combinatorial identities.
We discuss certain special cases of algebraic approximants that are given as zeroes of so-called "effective characteristic polynomials" and their generalization to a multiseries setting. These approximants are useful for the convergence…