All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 9 Next

Displaying 161 – 180 of 188

Showing per page

Limiting spectral distribution of XX' matrices

Arup Bose, Sreela Gangopadhyay, Arnab Sen (2010)

Annales de l'I.H.P. Probabilités et statistiques

The methods to establish the limiting spectral distribution (LSD) of large dimensional random matrices includes the well-known moment method which invokes the trace formula. Its success has been demonstrated in several types of matrices such as the Wigner matrix and the sample covariance matrix. In a recent article Bryc, Dembo and Jiang [Ann. Probab.34 (2006) 1–38] establish the LSD for random Toeplitz and Hankel matrices using the moment method. They perform the necessary counting of terms in the...

Linear comparative calibration with correlated measurements

Gejza Wimmer, Viktor Witkovský (2007)

Kybernetika

The paper deals with the linear comparative calibration problem, i. e. the situation when both variables are subject to errors. Considered is a quite general model which allows to include possibly correlated data (measurements). From statistical point of view the model could be represented by the linear errors-in-variables (EIV) model. We suggest an iterative algorithm for estimation the parameters of the analysis function (inverse of the calibration line) and we solve the problem of deriving the...

Linear rescaling of the stochastic process

Petr Lachout (1992)

Commentationes Mathematicae Universitatis Carolinae

Discussion on the limits in distribution of processes Y under joint rescaling of space and time is presented in this paper. The results due to Lamperti (1962), Weissman (1975), Hudson Mason (1982) and Laha Rohatgi (1982) are improved here.

Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX

Bernard Roynette, Marc Yor (2010)

ESAIM: Probability and Statistics

We obtain a local limit theorem for the laws of a class of Brownian additive functionals and we apply this result to a penalisation problem. We study precisely the case of the additive functional: ( A t - : = ∫ 0 t 1 X s < 0 d s , t ≥ 0 ) . On the other hand, we describe Feynman-Kac type penalisation results for long Brownian bridges thus completing some similar previous study for standard Brownian motion (see [B. Roynette, P. Vallois and M. Yor, Studia Sci. Math. Hung.43 (2006) 171–246]).

Localization and delocalization for heavy tailed band matrices

Florent Benaych-Georges, Sandrine Péché (2014)

Annales de l'I.H.P. Probabilités et statistiques

We consider some random band matrices with band-width N μ whose entries are independent random variables with distribution tail in x - α . We consider the largest eigenvalues and the associated eigenvectors and prove the following phase transition. On the one hand, when α l t ; 2 ( 1 + μ - 1 ) , the largest eigenvalues have order N ( 1 + μ ) / α , are asymptotically distributed as a Poisson process and their associated eigenvectors are essentially carried by two coordinates (this phenomenon has already been remarked for full matrices by Soshnikov...

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2002)

ESAIM: Probability and Statistics

The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular, a...

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2010)

ESAIM: Probability and Statistics

The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular,...

Currently displaying 161 – 180 of 188