Vitesse de convergence vers l'état d'équilibre pour des dynamiques markoviennes non höldériennes
Lasota-Yorke maps with holes : conditionally invariant probability measures and invariant probability measures on the survivor set
Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
This paper deals with the problem of estimating the level sets () = {() ≥ }, with ∈ (0,1), of an unknown distribution function on ℝ . A plug-in approach is followed. That is, given a consistent estimator of , we estimate () by () = { () ≥ }. In our setting, non-compactness property is required for the level sets to estimate. We state consistency results with respect to the Hausdorff distance and the volume of the symmetric difference....
Invariant measures for piecewise convex transformations of an interval
We investigate the existence and ergodic properties of absolutely continuous invariant measures for a class of piecewise monotone and convex self-maps of the unit interval. Our assumption entails a type of average convexity which strictly generalizes the case of individual branches being convex, as investigated by Lasota and Yorke (1982). Along with existence, we identify tractable conditions for the invariant measure to be unique and such that the system has exponential decay of correlations on...
Almost sure rates of mixing for i.i.d. unimodal maps
Corrigendum : “Almost sure rates of mixing for i.i.d. unimodal maps”
Pressure and recurrence
We deal with a subshift of finite type and an equilibrium state μ for a Hölder continuous function. Let αⁿ be the partition into cylinders of length n. We compute (in particular we show the existence of the limit) , where is the element of the partition containing and τₙ(x) is the return time of the trajectory of x to the cylinder αⁿ(x).
Multivariate extensions of expectiles risk measures
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.
Exponential inequalities for VLMC empirical trees
A seminal paper by Rissanen, published in 1983, introduced the class of Variable Length Markov Chains and the algorithm Context which estimates the probabilistic tree generating the chain. Even if the subject was recently considered in several papers, the central question of the rate of convergence of the algorithm remained open. This is the question we address here. We provide an exponential upper bound for the probability of incorrect estimation of the probabilistic tree, as a function...
Statistical properties of Markov dynamical sources: applications to information theory.
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