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Propagation of chaos for mean-field reflected BSDEs with jumps 具有跳跃的平均场反射BSDEs的混沌传播
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-02-13 DOI: 10.1016/j.spl.2025.110382
Yiqing Lin , Kun Xu
{"title":"Propagation of chaos for mean-field reflected BSDEs with jumps","authors":"Yiqing Lin ,&nbsp;Kun Xu","doi":"10.1016/j.spl.2025.110382","DOIUrl":"10.1016/j.spl.2025.110382","url":null,"abstract":"<div><div>In this paper, we study a class of mean-field reflected backward stochastic differential equations (MF-RBSDEs) driven by a marked point process and also analyze MF-RBSDEs driven by a Poisson process. Based on a <span><math><mi>g</mi></math></span>-expectation representation lemma, we establish the existence and uniqueness of the particle system of MF-RBSDEs driven by a marked point process under Lipschitz generator conditions and obtain a convergence result of this system. In the Poisson setting, we obtain furthermore the convergence rate of the corresponding particle system toward the solution to the MF-RBSDEs driven by a Poisson process under bounded terminals and bounded obstacle conditions.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"221 ","pages":"Article 110382"},"PeriodicalIF":0.9,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143444808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The oracle property of the generalized outcome-adaptive lasso 广义结果自适应套索的预言性
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-02-13 DOI: 10.1016/j.spl.2025.110379
Ismaila Baldé
{"title":"The oracle property of the generalized outcome-adaptive lasso","authors":"Ismaila Baldé","doi":"10.1016/j.spl.2025.110379","DOIUrl":"10.1016/j.spl.2025.110379","url":null,"abstract":"<div><div>The generalized outcome-adaptive lasso (GOAL) is a variable selection for high-dimensional causal inference proposed by Baldé et al. (2023). When the dimension is high, it is now well established that an ideal variable selection method should have the oracle property to ensure the optimal large sample performance. However, the oracle property of GOAL has not been proven. In this paper, we show that the GOAL estimator enjoys the oracle property. Our simulation shows that the GOAL method deals with the collinearity problem better than the oracle-like method, the outcome-adaptive lasso (OAL).</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"221 ","pages":"Article 110379"},"PeriodicalIF":0.9,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143422060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Parameter estimation for Cox–Ingersoll–Ross process with two-sided reflections 具有双面反射的Cox-Ingersoll-Ross过程参数估计
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-02-07 DOI: 10.1016/j.spl.2024.110352
Yiwei Shi , Huisheng Shu , Chunyang Wang , Xuekang Zhang
{"title":"Parameter estimation for Cox–Ingersoll–Ross process with two-sided reflections","authors":"Yiwei Shi ,&nbsp;Huisheng Shu ,&nbsp;Chunyang Wang ,&nbsp;Xuekang Zhang","doi":"10.1016/j.spl.2024.110352","DOIUrl":"10.1016/j.spl.2024.110352","url":null,"abstract":"<div><div>In this paper, the least squares estimator (LSE) for the Cox–Ingersoll–Ross process with two-sided reflections is investigated on the basis of continuous observations. The strong consistency and asymptotic normality of LSE are derived. Computer simulations and empirical analysis are performed to illustrate our theory. Moreover, we also express the regulators using local time process.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"221 ","pages":"Article 110352"},"PeriodicalIF":0.9,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143421509","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A new maximum-type test for high-dimensional correlation matrices 高维相关矩阵的一种新的极大型检验
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-02-05 DOI: 10.1016/j.spl.2025.110365
Jing Chen , Ming Li , Kaige Zhao , Baisen Liu
{"title":"A new maximum-type test for high-dimensional correlation matrices","authors":"Jing Chen ,&nbsp;Ming Li ,&nbsp;Kaige Zhao ,&nbsp;Baisen Liu","doi":"10.1016/j.spl.2025.110365","DOIUrl":"10.1016/j.spl.2025.110365","url":null,"abstract":"<div><div>The exploration of the structure of high-dimensional correlation matrices has become an increasingly important topic in various fields. This paper aims to develop a novel method for testing the structure of high-dimensional correlation matrices. A new maximum-type test is proposed and the asymptotic distribution is derived, assuming that both the data dimension and the sample size tend towards infinity proportionally. Simulation studies show that our proposed test performs well for the sparse alternatives, dense alternatives, and a mixture of sparse and dense alternatives. Finally, the proposed method is employed to analyze a gene expression dataset.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110365"},"PeriodicalIF":0.9,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143360799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Approximately mixing time series 近似混合时间序列
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-02-05 DOI: 10.1016/j.spl.2025.110360
Tim Kutta
{"title":"Approximately mixing time series","authors":"Tim Kutta","doi":"10.1016/j.spl.2025.110360","DOIUrl":"10.1016/j.spl.2025.110360","url":null,"abstract":"<div><div>In this note, we present the new concept of approximate mixing for random variables on metric spaces. Approximate mixing is characterized by two constants <span><math><mrow><mi>ϵ</mi><mo>,</mo><mi>δ</mi><mo>≥</mo><mn>0</mn></mrow></math></span>, where <span><math><mi>ϵ</mi></math></span> is the mixing coefficient and <span><math><mi>δ</mi></math></span> is a slack variable. In the case <span><math><mrow><mi>δ</mi><mo>=</mo><mn>0</mn></mrow></math></span>, approximate mixing reduces to classical <span><math><mi>β</mi></math></span>-mixing. For positive slack, <span><math><mrow><mi>δ</mi><mo>&gt;</mo><mn>0</mn></mrow></math></span>, it becomes more general than traditional mixing assumptions, including important time series such as autoregressive processes on Hilbert spaces, that are generally not mixing. We prove that under approximate mixing analogous covariance inequalities hold as in the mixing case. We use these results to prove a central limit theorem for non-stationary time series on Hilbert spaces, which has potential applications in functional data analysis.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110360"},"PeriodicalIF":0.9,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143348646","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CellMCD+: An improved outlier-resistant cellwise minimum covariance determinant method CellMCD+：一种改进的抗离群细胞最小协方差行列式方法
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-02-03 DOI: 10.1016/j.spl.2025.110366
Prabhu Babu , Petre Stoica
{"title":"CellMCD+: An improved outlier-resistant cellwise minimum covariance determinant method","authors":"Prabhu Babu ,&nbsp;Petre Stoica","doi":"10.1016/j.spl.2025.110366","DOIUrl":"10.1016/j.spl.2025.110366","url":null,"abstract":"<div><div>In this letter, we revisit the recently proposed cell outlier-resistant method cellMCD (minimum covariance determinant) and derive a version of it called cellMCD+ that has better performance. We illustrate the performance gain of cellMCD+ via numerical simulations in the case of estimating low-rank structured covariance matrices.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110366"},"PeriodicalIF":0.9,"publicationDate":"2025-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143202388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Properties of the generalized inverse Gaussian with applications to Monte Carlo simulation and distribution function evaluation 广义逆高斯的性质及其在蒙特卡罗模拟和分布函数评价中的应用
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-01-31 DOI: 10.1016/j.spl.2025.110359
Víctor Peña , Michael Jauch
{"title":"Properties of the generalized inverse Gaussian with applications to Monte Carlo simulation and distribution function evaluation","authors":"Víctor Peña ,&nbsp;Michael Jauch","doi":"10.1016/j.spl.2025.110359","DOIUrl":"10.1016/j.spl.2025.110359","url":null,"abstract":"<div><div>We introduce two mixture representations for the generalized inverse Gaussian (GIG) distribution. One mixture representation expresses the GIG as a continuous mixture of inverse Gaussians. The other reveals a relationship between GIGs. These mixture representations lead to new sampling methods and an exact algorithm for evaluating the distribution function of the GIG for half-integer <span><math><mi>p</mi></math></span>.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110359"},"PeriodicalIF":0.9,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143135861","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mean-field fractional BSDEs with locally monotone coefficients 具有局部单调系数的平均场分数阶BSDEs
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-01-30 DOI: 10.1016/j.spl.2025.110361
Zongkui Fu , Dandan Fei
{"title":"Mean-field fractional BSDEs with locally monotone coefficients","authors":"Zongkui Fu ,&nbsp;Dandan Fei","doi":"10.1016/j.spl.2025.110361","DOIUrl":"10.1016/j.spl.2025.110361","url":null,"abstract":"<div><div>In this paper, we study mean-field backward stochastic differential equations (BSDEs) driven by fractional Brownian motion with Hurst parameter <span><math><mi>H</mi></math></span> greater than <span><math><mrow><mn>1</mn><mo>/</mo><mn>2</mn></mrow></math></span>. With the help of choosing the suitable approximation sequence, we obtain the existence and uniqueness of solution to mean-field fractional BSDEs with locally monotone coefficients.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110361"},"PeriodicalIF":0.9,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095414","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Poisson approximation and D(un) condition for extremes of transient random walks in random sceneries 随机场景下瞬态随机游走极值的泊松近似和D（un）条件
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-01-29 DOI: 10.1016/j.spl.2025.110364
Nicolas Chenavier, Ahmad Darwiche
{"title":"Poisson approximation and D(un) condition for extremes of transient random walks in random sceneries","authors":"Nicolas Chenavier,&nbsp;Ahmad Darwiche","doi":"10.1016/j.spl.2025.110364","DOIUrl":"10.1016/j.spl.2025.110364","url":null,"abstract":"<div><div>Let <span><math><msub><mrow><mrow><mo>(</mo><msub><mrow><mi>S</mi></mrow><mrow><mi>n</mi></mrow></msub><mo>)</mo></mrow></mrow><mrow><mi>n</mi><mo>≥</mo><mn>0</mn></mrow></msub></math></span> be a transient random walk in the domain of attraction of a stable law and let <span><math><msub><mrow><mrow><mo>(</mo><mi>ξ</mi><mrow><mo>(</mo><mi>s</mi><mo>)</mo></mrow><mo>)</mo></mrow></mrow><mrow><mi>s</mi><mo>∈</mo><mi>Z</mi></mrow></msub></math></span> be a sequence of random variables. Under suitable assumptions, we establish a Poisson approximation result for the point process of exceedances associated with <span><math><msub><mrow><mrow><mo>(</mo><mi>ξ</mi><mrow><mo>(</mo><msub><mrow><mi>S</mi></mrow><mrow><mi>n</mi></mrow></msub><mo>)</mo></mrow><mo>)</mo></mrow></mrow><mrow><mi>n</mi><mo>≥</mo><mn>0</mn></mrow></msub></math></span> and demonstrate that it satisfies the <span><math><mrow><mi>D</mi><mrow><mo>(</mo><msub><mrow><mi>u</mi></mrow><mrow><mi>n</mi></mrow></msub><mo>)</mo></mrow></mrow></math></span> condition.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110364"},"PeriodicalIF":0.9,"publicationDate":"2025-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The asymptotic behaviors for branching α-stable process 分支α-稳定过程的渐近性质
IF 0.9 4区 数学
Statistics & Probability Letters Pub Date : 2025-01-29 DOI: 10.1016/j.spl.2025.110362
Nana Luan , Li Wang
{"title":"The asymptotic behaviors for branching α-stable process","authors":"Nana Luan ,&nbsp;Li Wang","doi":"10.1016/j.spl.2025.110362","DOIUrl":"10.1016/j.spl.2025.110362","url":null,"abstract":"<div><div>We consider a branching symmetric <span><math><mi>α</mi></math></span>-stable process in which random split takes place at rate <span><math><mrow><mi>β</mi><mo>&gt;</mo><mn>0</mn></mrow></math></span>. We obtain results concerning the long-term behavior of the number of particles surpassing <span><math><msup><mrow><mi>e</mi></mrow><mrow><mi>λ</mi><mi>t</mi></mrow></msup></math></span> at time <span><math><mi>t</mi></math></span> for <span><math><mrow><mi>λ</mi><mo>&gt;</mo><mn>0</mn></mrow></math></span>. Additionally, we derive the almost sure asymptotic speed of the rightmost particle as a consequence.</div></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"220 ","pages":"Article 110362"},"PeriodicalIF":0.9,"publicationDate":"2025-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095415","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","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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