相关论文: Invariance principle for stochastic processes with…

The conditional distribution of the next outcome given the infinite past of a stationary process can be inferred from finite but growing segments of the past. Several schemes are known for constructing pointwise consistent estimates, but…

Existence and stability properties are studied for Hawkes process, i.e. point process $S$ that has long-memory and intensity $r(t)=\lambda \big(g_0(t)+ \sum_{\tau<t, \tau \in S} h(t-\tau) \big)$. The approach to Hawkes process presented in…

Our first result is a stochastic sewing lemma with quantitative estimates for mild incremental processes, with which we study SPDEs driven by fractional Brownian motions in a random environment. We obtain uniform $L^p$-bounds. Our second…

In this paper we consider the problem of determining the law of binary stochastic processes from transition kernels depending on the whole past. These kernels are linear in the past values of the process. They are allowed to assume values…

We consider a renewal process with regularly varying stationary and weakly dependent steps, and prove that the steps made before a given time $t$, satisfy an interesting invariance principle. Namely, together with the age of the renewal…

Learning under distribution shifts is a challenging task. One principled approach is to exploit the invariance principle via the structural causal models. However, the invariance principle is violated when the response is intervened, making…

In this paper we introduce randomized pivots for the means of short and long memory linear processes. We show that, under the same conditions, these pivots converge in distribution to the same limit as that of their classical non-randomized…

Suppose $ E$ is a space with a null-recurrent Markov kernel $ P$. Furthermore, suppose there are infinite particles with variable weights on $ E$ performing a random walk following $ P$. Let $ X_{t}$ be a weighted functional of the position…

Predicting the future is an important component of decision making. In most situations, however, there is not enough information to make accurate predictions. In this paper, we develop a theory of causal reasoning for predictive inference…

In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation approach as is usually done for diffusions, the approach…

Based on a weak convergence argument, we provide a necessary and sufficient condition that guarantees that a nonnegative local martingale is indeed a martingale. Typically, conditions of this sort are expressed in terms of integrability…

We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting process is the stochastic integral driven by $\alpha-$stable…

This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an estimator of the trace-class operator-valued integrated…

Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, valuable insights can be gained through their asymptotic…

We derive the universality principle for empirical spectral distributions of sample covariance matrices and their Stieltjes transforms. This principle states the following. Suppose quadratic forms of random vectors $y_p$ in $R^p$ satisfy a…

Partially observable Markov decision processes (POMDPs) are standard models for dynamic systems with probabilistic and nondeterministic behaviour in uncertain environments. We prove that in POMDPs with long-run average objective, the…

We establish optimal logarithmic rates of convergence in the strong invariance principle for multivariate cumulative processes in the Smith's sense. Exponential probabilistic inequalities of Koml\'{o}s-Major-Tusn\'{a}dy type are obtained.…

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…

Composite likelihood has shown promise in settings where the number of parameters $p$ is large due to its ability to break down complex models into simpler components, thus enabling inference even when the full likelihood is not tractable.…

We develop a versatile framework for statistical learning in non-stationary environments. In each time period, our approach applies a stability principle to select a look-back window that maximizes the utilization of historical data while…