相关论文: Realized cumulants for martingales

Associated to each random variable $Y$ having a finite moment generating function, we introduce a different generalization of the Stirling numbers of the second kind. Some characterizations and specific examples of such generalized numbers…

In this paper, we propose the application of shrinkage strategies to estimate coefficients in the Bell regression models when prior information about the coefficients is available. The Bell regression models are well-suited for modeling…

We propose a procedure to reconstruct characteristic features of an unknown stochastic system from the long-time full counting statistics of some of the system's transitions that are monitored by a detector. The full counting statistics is…

We study the empirical measure associated to a sample of size $n$ and modified by $N$ iterations of the raking-ratio method. This empirical measure is adjusted to match the true probability of sets in a finite partition which changes each…

An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of…

As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional generalized quantiles. We first show their well-definedness…

We consider a randomised version of Kleene's realisability interpretation of intuitionistic arithmetic in which computability is replaced with randomised computability with positive probability. In particular, we show that (i) the set of…

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…

The cluster cumulant formula of Kubo is derived by appealing only to elementary properties of subsets and binomial coefficients. It is shown to be a binomial transform of the grand potential. Extensivity is proven without introducing…

The paper is devoted to establishing some general exponential inequalities for supermartingales. The inequalities improve or generalize many exponential inequalities of Bennett, Freedman, de la Pe\~{n}a, Pinelis and van de Geer. Moreover,…

Following the initial work by Robbins, we rigorously present an extended theory of nonnegative supermartingales, requiring neither integrability nor finiteness. In particular, we derive a key maximal inequality foreshadowed by Robbins,…

It was proved that whenever $\mathbb{N}$ is partitioned into finitely many cells, one cell must contain arbitrary length arithmetic and geometric progression nicely intertwined, so that one cell must be rich in the sense of containing…

We illustrate a process that constructs martingales from raw material that arises naturally from the theory of sampling without replacement.The usefulness of the new martingales is illustrated by the development of maximal inequalities for…

The goal of this text is to understand and prove a formula stated by Salmon, which gives the first terms of some Taylor expansion of the discriminant of a plane algebraic curve. Salmon uses his formula to derive various enumerative…

In this article, we introduce a conditional marginal model for longitudinal data, in which the residuals form a martingale difference sequence. This model allows us to consider a rich class of estimating equations, which contains several…

We obtain estimates in simultaneous approximation for a summation-integral type genuine hybrid operator. The convergence of derivatives of operator to the corresponding derivatives of the functions is proved and estimates for rate of…

We prove some results concerning the finitely additive, vector integral of Bochner and Pettis and their representation over a countably additive probability space. Applications to convergence of vector valued martingales and to the non…

This survey article is devoted to general results in combinatorial enumeration. The first part surveys results on growth of hereditary properties of combinatorial structures. These include permutations, ordered and unordered graphs and…

In this paper, we prove that any two birational projective varieties with finite quotient singularities can be realized as two geometric GIT quotients of a non-singular projective variety by a reductive algebraic group. Then, by applying…

We prove that the existence of finite combinatorial objects such as affine planes, mutually orthogonal Latin squares, and resolvable balanced incomplete block designs can be reformulated as the existence of certain algorithmic reductions…