相关论文: Realized cumulants for martingales
We introduce a new real valued invariant for finitely presented groups called residual deficiency. Its main property is the following. Let G be a finitely presented group. If the residual deficiency of G is greater than one, then G has a…
The independent component model is a latent variable model where the components of the observed random vector are linear combinations of latent independent variables. The aim is to find an estimate for a transformation matrix back to…
We consider specification and inference for the stochastic scale of discretely-observed pure-jump semimartingales with locally stable L\'{e}vy densities in the setting where both the time span of the data set increases, and the mesh of the…
This note investigates core properties of martingales, emphasizing the measure-theoretic formulation of conditional expectation, the martingale transform, and the upcrossing lemma. These results lead to the Martingale Convergence Theorem,…
Derived equivalences and t-structures are closely related. We use realisation functors associated to t-structures in triangulated categories to establish a derived Morita theory for abelian categories with a projective generator or an…
Menger's basis property is a generalization of $\sigma$-compactness and admits an elegant combinatorial interpretation. We introduce a general combinatorial method to construct non $\sigma$-compact sets of reals with Menger's property.…
In the theory of complete Pick spaces, the column-row property has appeared in a variety of contexts. We show that it is satisfied by every complete Pick space in the following strong form: each sequence of multipliers that induces a…
This paper introduces a general construction of self-similar metric spaces as limits of discrete graphs. Our framework produces many classical examples, such as the Sierpi\'nski carpet and the higher dimensional Menger sponges, but also a…
In this paper, we study distributional properties of the sequence of partial quotients in the continued fraction expansion of fractions $a/N$, where $N$ is fixed and $a$ runs through the set of mod $N$ residue classes which are coprime with…
In this paper, we introduce weighted fractional generalized cumulative past entropy of a nonnegative absolutely continuous random variable with bounded support. Various properties of the proposed weighted fractional measure are studied.…
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heavy-tailedness and systematic effects in data. We tackle this…
In this paper, we introduce the notion of combinatorial Auslander-Reiten(AR) quiver for commutation classes $[\widetilde{w}]$ of $w$ in finite Weyl group. This combinatorial object visualizes the convex partial order…
We obtain explicit bounds on the truncation error of the cumulant series of a bounded complex function of a random vector with independent components. The bounds are based on multidimensional differences. This extends the theory of the…
The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The…
We first provide some properties of the Mellin transform of nonnegative random variables, such that monotonicity, injectivity and effect of size biasing. Convergence of Mellin transforms is also entirely formalized through convergence in…
We study general properties for the family of stochastic processes with polynomial regression property, that is that every conditional moment of the process is a polynomial. It turns out that then there exists a family of polynomial…
Estimating the structures at high or low quantiles has become an important subject and attracted increasing attention across numerous fields. However, due to data sparsity at tails, it usually is a challenging task to obtain reliable…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
We use a gluing method developed in joint work with Andr\'as Vasy to show that polynomially bounded cutoff resolvent estimates at the real axis imply, up to a constant factor, the same estimates in a neighborhood of the real axis.
We derive formulas which connect cumulants of particle numbers observed with efficiency losses with the original ones based on the binomial model. These formulas can describe the case with multiple efficiencies in a compact form. Compared…