相关论文: Invariance principles for fractionally integrated …
This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in $(1/2,1)$. Some properties, such as regularity and local…
We prove some invariance principles for processes which generalize FARIMA processes, when the innovations are in the domain of attraction of a nonGaussian stable distribution. The limiting processes are extensions of the fractional L\'evy…
In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the…
In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range…
We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in $\alpha$-stable $(1< \alpha \le 2)$ i.i.d. innovations and related tempered linear processes with vanishing tempering parameter $\lambda…
We establish strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…
We establish almost sure invariance principles, a strong form of approximation by Brownian motion, for non-stationary time-series arising as observations on dynamical systems. Our examples include observations on sequential expanding maps,…
Strong invariance principles describe the error term of a Brownian approximation of the partial sums of a stochastic process. While these strong approximation results have many applications, the results for continuous-time settings have…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
In this paper we consider switched nonlinear systems under average dwell time switching signals, with an otherwise arbitrary compact index set and with additional constraints in the switchings. We present invariance principles for these…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
The combination of functional limit theorems with the pathwise analysis of deterministic and stochastic differential equations has proven to be a powerful approach to the analysis of fast-slow systems. In a multivariate setting, this…
Fractional Brownian motion is a non-Markovian Gaussian process indexed by the Hurst exponent $H\in [0,1]$, generalising standard Brownian motion to account for anomalous diffusion. Functionals of this process are important for practical…
We consider the process of partial sums of moving averages of finite order with a regular varying memory function, constructed from a stationary sequence, variance of the sum of which is a regularly varying function. We study the Gaussian…
Information-theory based variational principles have proven effective at providing scalable uncertainty quantification (i.e. robustness) bounds for quantities of interest in the presence of nonparametric model-form uncertainty. In this…
We investigate the stochastic processes obtained as the fractional Riemann-Liouville integral of order $\alpha \in (0,1)$ of Gauss-Markov processes. The general expressions of the mean, variance and covariance functions are given. Due to…
We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity -- what we term weakly nonstationary processes (WNPs). This includes, as leading examples, fractional…
We prove a nonconventional invariance principle (functional central limit theorem) for random fields.
We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel…
We establish a central limit theorem for partial sums of stationary linear random fields with dependent innovations, and an invariance principle for anisotropic fractional Brownian sheets. Our result is a generalization of the invariance…