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Statistical Inference for Stochastic Processes最新文献

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Projection-based white noise and goodness-of-fit tests for functional time series 基于投影的功能时间序列白噪声和拟合优度检验
IF 0.7
Statistical Inference for Stochastic Processes Pub Date : 2024-07-24 DOI: 10.1007/s11203-024-09315-4
Mihyun Kim, Piotr Kokoszka, Gregory Rice
{"title":"Projection-based white noise and goodness-of-fit tests for functional time series","authors":"Mihyun Kim, Piotr Kokoszka, Gregory Rice","doi":"10.1007/s11203-024-09315-4","DOIUrl":"https://doi.org/10.1007/s11203-024-09315-4","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141806975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A model specification test for nonlinear stochastic diffusions with delay 有延迟的非线性随机扩散的模型规格检验
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2024-03-22 DOI: 10.1007/s11203-024-09309-2
Zongwu Cai, Hongwei Mei, Rui Wang
{"title":"A model specification test for nonlinear stochastic diffusions with delay","authors":"Zongwu Cai, Hongwei Mei, Rui Wang","doi":"10.1007/s11203-024-09309-2","DOIUrl":"https://doi.org/10.1007/s11203-024-09309-2","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140212230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The distribution of the maximum likelihood estimates of the change point and their relation to random walks 变化点最大似然估计值的分布及其与随机游走的关系
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2023-12-19 DOI: 10.1007/s11203-023-09304-z
S. Fotopoulos
{"title":"The distribution of the maximum likelihood estimates of the change point and their relation to random walks","authors":"S. Fotopoulos","doi":"10.1007/s11203-023-09304-z","DOIUrl":"https://doi.org/10.1007/s11203-023-09304-z","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138960547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Weak convergence of the conditional U-statistics for locally stationary functional time series 局部静止函数时间序列条件 U 统计量的弱收敛性
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2023-12-18 DOI: 10.1007/s11203-023-09305-y
Inass Soukarieh, S. Bouzebda
{"title":"Weak convergence of the conditional U-statistics for locally stationary functional time series","authors":"Inass Soukarieh, S. Bouzebda","doi":"10.1007/s11203-023-09305-y","DOIUrl":"https://doi.org/10.1007/s11203-023-09305-y","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138995017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nonparametric estimation for random effects models driven by fractional Brownian motion using Hermite polynomials 利用赫米特多项式对分数布朗运动驱动的随机效应模型进行非参数估计
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2023-12-02 DOI: 10.1007/s11203-023-09302-1
Hamid El Maroufy, Souad Ichi, Mohamed El Omari, Yousri Slaoui
{"title":"Nonparametric estimation for random effects models driven by fractional Brownian motion using Hermite polynomials","authors":"Hamid El Maroufy, Souad Ichi, Mohamed El Omari, Yousri Slaoui","doi":"10.1007/s11203-023-09302-1","DOIUrl":"https://doi.org/10.1007/s11203-023-09302-1","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138607484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotic expansion of an estimator for the Hurst coefficient 赫斯特系数估计量的渐近展开式
Statistical Inference for Stochastic Processes Pub Date : 2023-09-25 DOI: 10.1007/s11203-023-09298-8
Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida
{"title":"Asymptotic expansion of an estimator for the Hurst coefficient","authors":"Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida","doi":"10.1007/s11203-023-09298-8","DOIUrl":"https://doi.org/10.1007/s11203-023-09298-8","url":null,"abstract":"Abstract Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. We first derive the expansion formula of the principal term of the error of the estimator using a recently developed theory of asymptotic expansion of the distribution of Wiener functionals, and utilize the perturbation method on the obtained formula in order to calculate the expansion of the estimator. We also discuss some second-order modifications of the estimator. Numerical results show that the asymptotic expansion attains higher accuracy than the normal approximation.","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135815856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Second-order robustness for time series inference 时间序列推理的二阶鲁棒性
Statistical Inference for Stochastic Processes Pub Date : 2023-09-23 DOI: 10.1007/s11203-023-09296-w
Xiaofei Xu, Yan Liu, Masanobu Taniguchi
{"title":"Second-order robustness for time series inference","authors":"Xiaofei Xu, Yan Liu, Masanobu Taniguchi","doi":"10.1007/s11203-023-09296-w","DOIUrl":"https://doi.org/10.1007/s11203-023-09296-w","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135959840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Localization of two radioactive sources on the plane 平面上两个放射源的定位
Statistical Inference for Stochastic Processes Pub Date : 2023-09-19 DOI: 10.1007/s11203-023-09297-9
O Chernoyarov, S Dachian, C Farinetto, Yu Kutoyants
{"title":"Localization of two radioactive sources on the plane","authors":"O Chernoyarov, S Dachian, C Farinetto, Yu Kutoyants","doi":"10.1007/s11203-023-09297-9","DOIUrl":"https://doi.org/10.1007/s11203-023-09297-9","url":null,"abstract":"It is considered the problem of localization on the plane of two radioactive sources by K detectors. Each detector records a realization of inhomogeneous Poisson process and the intensity function of this process is a sum of a signal arriving from the sources and the constant Poisson noise of known intensity. The time of the beginning of emissions of two sources is known and the main problem is the estimation of the position of the sources. The properties of the MLE and Bayessian estimators are described in the asymptotics of large signals in three situations of different regularities of the fronts of the signals: smooth, cusp-type and change-point type.","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135011358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Inference in generalized exponential O–U processes with change-point 具有变点的广义指数O-U过程的推理
Statistical Inference for Stochastic Processes Pub Date : 2023-09-01 DOI: 10.1007/s11203-023-09293-z
Yunhong Lyu, Sévérien Nkurunziza
{"title":"Inference in generalized exponential O–U processes with change-point","authors":"Yunhong Lyu, Sévérien Nkurunziza","doi":"10.1007/s11203-023-09293-z","DOIUrl":"https://doi.org/10.1007/s11203-023-09293-z","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135098652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Cramér–von Mises test for a class of mean time dependent CHARN models with application to change-point detection 一类平均时间相关CHARN模型的cram<s:1> - von Mises检验及其在变点检测中的应用
IF 0.8
Statistical Inference for Stochastic Processes Pub Date : 2023-08-23 DOI: 10.1007/s11203-023-09295-x
J. Ngatchou-Wandji, Marwa Ltaifa
{"title":"A Cramér–von Mises test for a class of mean time dependent CHARN models with application to change-point detection","authors":"J. Ngatchou-Wandji, Marwa Ltaifa","doi":"10.1007/s11203-023-09295-x","DOIUrl":"https://doi.org/10.1007/s11203-023-09295-x","url":null,"abstract":"","PeriodicalId":43294,"journal":{"name":"Statistical Inference for Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88421773","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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