相关论文: Moment conditions for random coefficient AR($\inft…

In this paper, we consider an inference problem for the first order autoregressive process with non-zero mean driven by a long memory stationary Gaussian process. Suppose that the covariance function of the noise can be expressed as…

General conditions on smooth real valued random fields are given that ensure the finiteness of the moments of the measure of their level sets. As a by product a new generalized Kac-Rice formula (KRF) for the expectation of the measure of…

The condition of parameter identifiability is essential for the consistency of all estimators and is often challenging to prove. As a consequence, this condition is often assumed for simplicity although this may not be straightforward to…

The object of the present paper is to find new sufficient conditions for the existence of unique strong solutions to a class of (time-inhomogeneous) stochastic differential equations with random, non-Lipschitzian coefficients. We give an…

For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for…

The bounds for absolute moments of order statistics are established. Let $X_1,\dots ,X_n$ be independent identically distributed real-valued random variables and let $X_{1:n}\le \dots \le X_{n:n}$ be the corresponding order statistics. The…

We find conditions which guarantee moment (in)determinacy of powers and products of nonnegative random variables. We establish new and general results which are based either on the rate of growth of the moments of a random variable or on…

The aim of this article is to refine a weak invariance principle for stationary sequences given by Doukhan & Louhichi (1999). Since our conditions are not causal our assumptions need to be stronger than the mixing and causal $\theta$-weak…

We prove that the second moment of the number of critical points of any sufficiently regular random field, for example with almost surely $ C^3 $ sample paths, defined over a compact Whitney stratified manifold is finite. Our results hold…

Let $\nu$ be the Furstenberg measure associated with a non-elementary probability measure $\mu$ on SL_2(R). We show that, when $\mu$ has a finite second moment, the Fourier coefficients of $\nu$ tend to zero at infinity. In other words,…

We introduce the "moment rank" and "unitary rank" of numerical sequences, close relatives of linear-recursive order. We show that both parameters can be characterized by a broad set of criteria involving moments of measures, types of…

We give necessary and sufficient conditions for a pair of (generalized) functions $\rho_1(\mathbf{r}_1)$ and $\rho_2(\mathbf{r}_1,\mathbf{r}_2)$, $\mathbf{r}_i\in X$, to be the density and pair correlations of some point process in a…

The probability `measure' for measurements at two consecutive moments of time is non-additive. These probabilities, on the other hand, may be determined by the limit of relative frequency of measured events, which are by nature additive. We…

For a sequence of identically distributed negatively associated random variables $\{X_n; n\geq 1\}$ with partial sums $S_n=\sum_{i=1}^nX_i, n\geq 1$, refinements are presented of the classical Baum-Katz and Lai complete convergence…

Moment closure methods are widely used to analyze mathematical models. They are specifically geared toward derivation of approximations of moments of stochastic models, and of similar quantities in other models. The methods possess several…

We present an optimization problem in infinite dimensions which satisfies the usual second-order sufficient condition but for which perturbed problems fail to possess solutions.

Sequential optimality conditions play an important role in constrained optimization since they provide necessary conditions without requiring constraint qualifications (CQs). This paper introduces a second-order extension of the Approximate…

We establish a general concentration result for the 1-Wasserstein distance between the empirical measure of a sequence of random variables and its expectation. Unlike standard results that rely on independence (e.g., Sanov's theorem) or…

We obtain the best possible upper bounds for the moments of a single order statistic from independent, non-negative random variables, in terms of the population mean. The main result covers the independent identically distributed case.…

We study the identification of direct and indirect causes on time series and provide conditions in the presence of latent variables, which we prove to be necessary and sufficient under some graph constraints. Our theoretical results and…