相关论文: Polynomial Cointegration among Stationary Processe…

We consider stationary processes with long memory which are non-Gaussian and represented as Hermite polynomials of a Gaussian process. We focus on the corresponding wavelet coefficients and study the asymptotic behavior of the sum of their…

The functional linear model extends the notion of linear regression to the case where the response and covariates are iid elements of an infinite dimensional Hilbert space. The unknown to be estimated is a Hilbert-Schmidt operator, whose…

Let $X=\{X_n: n\in\mathbb{N}\}$ be a long memory linear process with innovations in the domain of attraction of an $\alpha$-stable law $(0<\alpha<2)$. Assume that the linear process $X$ has a bounded probability density function $f(x)$.…

There are several methods to treat ensembles of random matrices in symmetric spaces, circular matrices, chiral matrices and others. Orthogonal polynomials and the supersymmetry method are particular powerful techniques. Here, we present a…

We consider the problem of inferring the interaction kernel of stochastic interacting particle systems from observations of a single particle. We adopt a semi-parametric approach and represent the interaction kernel in terms of a…

This paper studies the inference of the regression coefficient matrix under multivariate response linear regressions in the presence of hidden variables. A novel procedure for constructing confidence intervals of entries of the coefficient…

This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero-frequency of the periodogram averaged over epochs. The…

Orthogonal polynomials are of fundamental importance in many fields of mathematics and science, therefore the study of a particular family is always relevant. In this manuscript, we present a survey of some general results of the Hermite…

Multiple orthogonal polynomials satisfy a number of recurrence relations, in particular there is a $(r+2)$-term recurrence relation connecting the type II multiple orthogonal polynomials near the diagonal (the so-called step-line recurrence…

We consider the almost sure asymptotic behavior of the periodogram of stationary and ergodic sequences. Under mild conditions we establish that the limsup of the periodogram properly normalized identifies almost surely the spectral density…

In this work, orthogonal polynomials satisfying $R_I$ type recurrence relation %$\mathcal{P}_{n+1}(z) = (z-c_n)\mathcal{P}_n(z)-\lambda_n (z-a_n)\mathcal{P}_{n-1}(z),$ with $\mathcal{P}_{-1}(z) = 0$ and $\mathcal{P}_0(z) = 1$ are analyzed…

Compressive sensing has become a powerful addition to uncertainty quantification in recent years. This paper identifies new bases for random variables through linear mappings such that the representation of the quantity of interest is more…

For the filtering of peaks in periodic signals, we specify polynomial filters that are optimally localized in space. The space localization of functions having an expansion in terms of orthogonal polynomials is thereby measured by a…

We establish best possible pointwise (up to a constant multiple) estimates for approximation, on a finite interval, by polynomials that satisfy finitely many (Hermite) interpolation conditions, and show that these estimates cannot be…

In arenas of application including environmental science, economics, and medicine, it is increasingly common to consider time series of curves or functions. Many inferential procedures employed in the analysis of such data involve the long…

In multicentric representation of piecewise holomorphic functions one combines Lagrange interpolation at roots of a polynomial $p$ with convergent power series of $p$ as the "coefficients" multiplying the Lagrange basis polynomials. When…

We propose a novel nonparametric regression framework subject to the positive definiteness constraint. It offers a highly modular approach for estimating covariance functions of stationary processes. Our method can impose positive…

We give an example of a sequential dynamical system consisting of intermittent-type maps which exhibits loss of memory with a polynomial rate of decay. A uniform bound holds for the upper rate of memory loss. The maps may be chosen in any…

Processes with almost periodic covariance functions have spectral mass on lines parallel to the diagonal in the two-dimensional spectral plane. Methods have been given for estimation of spectral mass on the lines of spectral concentration…

We describe symmetric diffusion operators where the spectral decomposition is given through a family of orthogonal polynomials. In dimension one, this reduces to the case of Hermite, Laguerre and Jacobi polynomials. In higher dimension,…