Multidimensional Hermite polynomials of complex Gaussian variables.
Multidimensional limit theorems for smoothed extreme value estimates of point processes boundaries
In this paper, we give sufficient conditions to establish central limit theorems and moderate deviation principle for a class of support estimates of empirical and Poisson point processes. The considered estimates are obtained by smoothing some bias corrected extreme values of the point process. We show how the smoothing permits to obtain Gaussian asymptotic limits and therefore pointwise confidence intervals. Some unidimensional and multidimensional examples are provided.
Multidimensional random processes with normal covariances
Multilinear Estimation of Skewness and Kurtosis in Linear Models.
Multiscale behavior of a simple model for stock markets.
Multisensor estimation: New distributed algorithms.
Multivariate smooth transition AR model with aggregation operators and application to exchange rates
An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the form of Mathematica...