Parameter estimation in cosine regression
Perspectivas sobre a Estatistica de Extremos. Resultados básicos e problemas em aberto.
Probabilistic derivation of a bilinear summation formula for the Meixner- Pollaczek polynomials.
Product of exponentials and spectral radius of random k-circulants
We consider n × n random k-circulant matrices with n → ∞ and k = k(n) whose input sequence {al}l≥0 is independent and identically distributed (i.i.d.) random variables with finite (2 + δ) moment. We study the asymptotic distribution of the spectral radius, when n = kg + 1. For this, we first derive the tail behaviour of the g fold product of i.i.d. exponential random variables. Then using this tail behaviour result and appropriate normal approximation techniques, we show that with appropriate scaling...
Properties of the induced semigroup of an Archimedean copula
It is shown that to every Archimedean copula H there corresponds a one-parameter semigroup of transformations of the interval [0,1]. If the elements of the semigroup are diffeomorphisms, then it determines a special function called the vector generator. Its knowledge permits finding a pseudoinverse y = h(x) of the additive generator of the Archimedean copula H by solving the differential equation with initial condition . Weak convergence of Archimedean copulas is characterized in terms of vector...