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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Rosenblatt distribution subordinated to gaussian random fields with long-range dependence [PDF]
, 2016 The Karhunen-Lo\`eve expansion and the Fredholm determinant formula are used to derive an asymptotic Rosenblatt-type distribution of a sequence of integrals of quadratic functions of Gaussian stationary random fields on R^d displaying long-range ...
Leonenko, N. N. +2 more
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Augmented GARCH sequences: Dependence structure and asymptotics [PDF]
, 2007 The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH ...
Hörmann, Siegfried
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Quantum fluctuation theorems and power measurements [PDF]
, 2015 Work in the paradigm of the quantum fluctuation theorems of Crooks and Jarzynski is determined by projective measurements of energy at the beginning and end of the force protocol.
Talkner, Peter +2 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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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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The impact of the diagonals of polynomial forms on limit theorems with long memory [PDF]
, 2016 We start with an i.i.d. sequence and consider the product of two polynomial-forms moving averages based on that sequence. The coefficients of the polynomial forms are asymptotically slowly decaying homogeneous functions so that these processes have long ...
Bai, Shuyang, Taqqu, Murad S.
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Central limit theorem for exponentially quasi-local statistics of spin models on Cayley graphs
, 2018 Central limit theorems for linear statistics of lattice random fields (including spin models) are usually proven under suitable mixing conditions or quasi-associativity.
Reddy, Tulasi Ram +2 more
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Limit theorems for bifurcating Markov chains. Application to the detection of cellular aging [PDF]
, 2006 We propose a general method to study dependent data in a binary tree, where an individual in one generation gives rise to two different offspring, one of type 0 and one of type 1, in the next generation.
Guyon, Julien
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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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