Results 1 to 10 of about 67,558 (138)
How the instability of ranks under long memory affects large-sample inference [PDF]
, 2017 Under long memory, the limit theorems for normalized sums of random variables typically involve a positive integer called "Hermite rank". There is a different limit for each Hermite rank.
Bai, Shuyang, Taqqu, Murad S.
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Donsker theorems for diffusions: Necessary and sufficient conditions [PDF]
, 2004 We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions, the finite-dimensional distributions of G_t converge weakly to those of a
van der Vaart, Aad, van Zanten, Harry
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The notion of $\psi$-weak dependence and its applications to bootstrapping time series [PDF]
, 2008 We give an introduction to a notion of weak dependence which is more general than mixing and allows to treat for example processes driven by discrete innovations as they appear with time series bootstrap.
Doukhan, Paul, Neumann, Michael H.
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From infinite urn schemes to decompositions of self-similar Gaussian processes [PDF]
, 2015 We investigate a special case of infinite urn schemes first considered by Karlin (1967), especially its occupancy and odd-occupancy processes. We first propose a natural randomization of these two processes and their decompositions.
Durieu, Olivier, Wang, Yizao
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The additive structure of elliptic homogenization
, 2016 One of the principal difficulties in stochastic homogenization is transferring quantitative ergodic information from the coefficients to the solutions, since the latter are nonlocal functions of the former. In this paper, we address this problem in a new
Armstrong, Scott +2 more
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Generalized Hermite processes, discrete chaos and limit theorems [PDF]
, 2014 We introduce a broad class of self-similar processes $\{Z(t),t\ge 0\}$ called generalized Hermite process. They have stationary increments, are defined on a Wiener chaos with Hurst index $H\in (1/2,1)$, and include Hermite processes as a special case ...
Bai, Shuyang, Taqqu, Murad S.
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General Compound Hawkes Processes in Limit Order Books
, 2017 In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books.
Swishchuk, Anatoliy
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, 2007 We prove uniform convergence results for the integrated periodogram of a weakly dependent time series, namely a law of large numbers and a central limit theorem. These results are applied to Whittle's parametric estimation.
Ango'nze +42 more
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Multipower variation for Brownian semistationary processes [PDF]
, 2011 In this paper we study the asymptotic behaviour of power and multipower variations of processes $Y$:\[Y_t=\int_{-\in fty}^tg(t-s)\sigma_sW(\mathrm{d}s)+Z_t,\] where $g:(0,\infty)\rightarrow\mathbb{R}$ is deterministic, $\sigma >0$ is a random process, $W$
Jos É Manuel Corcuera +3 more
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Functional central limit theorems on Lie groups: A survey [PDF]
, 1998 The general solution of the functional central limit problems for triangular arrays of random variables with values in a Lie group is described. The role of processes of finite variation is clarified.
Pap, Gyula
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