On large deviations regimes for random media models [PDF]
, 2006 We investigate the behavior of probabilities of large deviations above the mean versus large deviations below the mean for random additive functionals in a variety of random media models.
Gauthier, Damien
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Note on Functional Large Deviation Principle for Fractional ARIMA Processes
Mathematics Subject Classifications (1991): 60F10, 62M10., large deviations, ARIMA processes, sequential empirical measure, fractional calculus.,
Philippe Barbe, Michel Broniatowski
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Behavior of the empirical Wasserstein distance in R^d under moment conditions
, 2019 International audienceWe establish some deviation inequalities, moment bounds and almost sure results for the Wasserstein distance of order p ∈ [1, ∞) between the empirical measure of independent and identically distributed R d-valued random variables ...
Dedecker, Jérôme, Merlevède, Florence
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Large Deviations for Interacting Particle Systems. Applications to Non Linear Filtering [PDF]
, 1997 The non linear filtering problem consists in computing the conditional distributions of a Markov signal process given its noisy observations. The dynamical structure of such distributions can be modelled by a measure valued dynamical Markov process ...
Guionnet, A. +4 more
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Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Ruin probabilities, Large deviations, Subexponential distributions, GARCH processes, Repetitive operational risk modeling, G10, 60G70, 60J10, 60F10,
Andrea Höing, Jeffrey Collamore
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Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
Regularity of martingale families, Harris diffusion, Maximum likelihood estimator, Rate of convergence, 60G17, 60F10, 92B20, 68T10,
O. Loukianov, D. Loukianova
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Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models
, 2020 Sample path Large Deviation Principles (LDP) of the Freidlin-Wentzell type are derived for a class of diffusions which govern the price dynamics in common stochastic volatility models from Mathematical Finance.
Scott Robertson
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Precise Undersampling Theorems [PDF]
, 2010 Undersampling theorems state that we may gather far fewer samples than the usual sampling theorem while exactly reconstructing the object of interest-provided the object in question obeys a sparsity condition, the samples measure appropriate linear ...
Tanner, Jared, Donoho, David L.
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Large deviations for heavy-tailed random sums in compound renewal
, 2020 In the present paper we investigate the precise large deviations for heavy-tailed random sums. First, we obtain a result which improves the relative result in Kl uppelberg and Mikosch (J. Appl. Probab. 34 (1997) 293).
Tao Jiang +3 more
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Large and Moderate Deviations Principles for Recursive Kernel Estimator of a Multivariate Density and its Partial Derivatives [PDF]
, 2006 2000 Mathematics Subject Classification: 62G07, 60F10.In this paper we prove large and moderate deviations principles for the recursive kernel estimator of a probability density function and its partial derivatives.
Baba, Thiam +2 more
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