Keywords: primary; 26A12; 26A15; 60E10; secondary; 60G10; 60G12; 60G15; 60G70; Covariance function; Extreme value theory; Modulo of continuity; Regular variation; Slow variation;
مقالات ISI (ترجمه نشده)
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Keywords: primary; 62H12; secondry; 60G10; 60G15; 91G10; Curved statistical model; Dependent data; Higher-order asymptotic theory; Maximum likelihood estimation; Portfolio estimation; Regression model; Shrinkage estimator; Stationary process;
Keywords: 60F05; 60G10; 60G48; Random field; Central limit theorem; Maxwell-Woodroofe condition; Martingale approximation;
Keywords: primary; 60G10; secondary; 60G99; Stochastic chains with unbounded memory; Phase transition; Coupling; β-mixing; Bramson-Kalikow; Total variation distance;
Keywords: 60G57; 60G10; 62G99; 62M99; Random measure; Covariance operator; Dimension reduction; Functional time series; High frequency financial data; Risk forecasting;
Keywords: primary; 60B20; secondary; 60F05; 60F10; 60G10; 60G55; 60G70; Sample correlation matrix; Infinite fourth moment; Largest eigenvalue; Smallest eigenvalue; Spectral distribution; Sample covariance matrix; Self-normalization; Regular variation; Combinatorics
Partial sum processes and continued fractions
Keywords: primary; 60G10; 60G50; secondary; 37A50; Partial Sum Processes; Continued Fractions; Gauss Measure;
Stationary Gaussian Markov processes as limits of stationary autoregressive time series
Keywords: primary; 60G10; secondary; 60G15; Continuous autoregressive processes; Stationary Gaussian Markov processes; Stochastic differential equations;
Remarks on limit theorems for reversible Markov processes and their applications
Keywords: 60F05; 60G10; 60F17; 60G05; Markov chains; Central limit theorem; Stationary linear processes; Reversible processes; Forward-backward martingale decomposition;
Keywords: 26D10; 39B62; 47D07; 60G10; 60J60; Lyapunov functions; Hitting times; Uniform ergodicity; F-Sobolev inequalities;
Keywords: 60G57; 60G10; 60B15; 60H05Continuous random functions; Orthogonal projectors; Random measures; Relation of partial order; Spectral measures; Stationary processes; Unitary operators
Keywords: 15A18; 60G09; 60G10; 60G51Exchangeable process; Multivariate skewness; Linear process; Reversible process; Singular value decomposition
Keywords: 60F05; 62M10; 60G15; 62M15; 60G10; 60G60; Integral of random fields; Asymptotic normality; Higher-order spectral densities; Hölder-Young-Brascamp-Lieb inequality;
Keywords: 60F15; 60G60; 60G10; 62E20Random matrices; Correlated entries; Sample covariance matrices; Weak dependence; Limiting spectral distribution
Keywords: 37A50; 60G70; 37B20; 60G10; 37C25Extreme value theory; Return time statistics; Stationary stochastic processes; Metastability
Keywords: C13; C32; C33; C53; G22; 60G10; 60G25; 60J20; 62H10; 62H20; 62J02; 62P05; IM10; IM11; IM20; IM40; Claims reserving; Reserve distribution; Dependency modeling; Copula; Conditional least squares;
Keywords: 60F10; 62F12; 62F15; 60G10; 60G15Large deviations; Stationary Gaussian process; Short-range and long-range dependence
Keywords: 60G57; 60G10; 60B15; 60H05Random measures; Stationary processes; Tensor products; Isotropy; Spectral measures
Keywords: primary; 91G20; 60G51; 33C45; secondary; 91G60; 60G10; 33F05; Stochastic volatility models; Explicit methods for contingent claim valuation; Lévy processes; Processes of Ornstein-Uhlenbeck type;
Keywords: 60G10; 62M10; 60H99Bivariate binomial distribution; Binomial AR(1) model; INAR(1) model; INGARCH model; Thinning operation
Keywords: 60F15; 60G10; 62G30; 62G20; Central order statistics; Stationary processes; Linear processes; Quantiles; Conditional quantiles; Almost sure convergence;
Keywords: 60G10; 60J60; 65C05; 65D15; 60F05; Stochastic differential equation; Stationary process; Steady regime; Ergodic diffusion; Central Limit Theorem; Euler scheme; Poisson equation; Richardson-Romberg extrapolation;
Keywords: primary; 62G09; 60G10; secondary; 62E20; Confidence interval; Realized volatility; Stationary bootstrap;
Keywords: 15A83; 15B05; 93E12; 60G10; 49N15; 65K10; Matrix completion; Positive definite completion; Reciprocal processes; Covariance matrices; Circulant matrices; Toeplitz matrices;
Keywords: primary; 60G70; secondary; 60G10; 60F99; Mortality rates; AR-ARCH random field; Estimation; QMLE; Inference;
Keywords: 60G10; 62G99; 62M99Covariance operator; Dimension reduction; Hilbertian time series; n-consistency; Functional Principal Component Analysis
Keywords: 60G10; 60G55; 60E07; 62M10; 62P05; Count data; Continuous time modeling of multivariate time series; Infinitely divisible; Limit order book; Multivariate negative binomial law; Poisson mixtures; Trawl processes;
Equivalent martingale measures for Lévy-driven moving averages and related processes
Keywords: 60E07; 60G10; 60G51; 60G57; 60H05; Equivalent local martingale measures; Moving averages; Lévy processes; Stochastic exponentials; Infinite divisibility;
Volterra-type Ornstein-Uhlenbeck processes in space and time
Keywords: primary; 60G10; 60G17; 60G60; 60H20; secondary; 60G48; 60G51; 60J75; Ambit process; Cà dlà g in space and time; Lévy basis; Long memory; Path properties; Second-order structure; Space-time modeling; Stationary solution; Stochastic Volterra equation; Vo
On the Komlós, Major and Tusnády strong approximation for some classes of random iterates
Keywords: 60F17; 60G10; 60J05; Strong invariance principle; KMT approximation; Random iterates; Markov chains; Left random walk on GLd(R);
A scalar-valued infinitely divisible random field with Pólya autocorrelation
Keywords: 60G60; 60G10; 60E07; Random field; Infinitely divisible; Pólya correlation;
Ergodic decompositions of stationary max-stable processes in terms of their spectral functions
Keywords: primary; 60G70; secondary; 60G52; 60G60; 60G55; 60G10; 37A10; 37A25; Max-stable random process; de Haan representation; Non-singular flow; Conservative/dissipative decomposition; Positive/null decomposition; Ergodic process; Mixing process; Mixed moving m
Asymptotic properties of a component-wise ARH(1) plug-in predictor
Keywords: 11C20; 11H55; 11M50; 15A24; 15A63; 15A69; 34L05; 60B12; 60G10; 60G15; 60G25; 60H25; 62M10; 62M15; 62M20; ARH(1) processes; Consistency; Functional prediction; Mean absolute and quadratic convergence;
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: The iid case
Keywords: primary; 60B20; secondary; 60F05; 60F10; 60G10; 60G55; 60G70; Regular variation; Sample covariance matrix; Independent entries; Largest eigenvalues; Eigenvectors; Point process convergence; Compound Poisson limit; Fréchet distribution;
On the conditional small ball property of multivariate Lévy-driven moving average processes
Keywords: primary; 60G10; 60G17; secondary; 60G22; 60G51; Small ball probability; Conditional full support; Moving average process; Multivariate Lévy process; Convolution determinant; Fractional Lévy process; Lévy-driven OU process; Lévy copula; Lévy mixing; M
Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
Keywords: 60G07; 60G10; 60G18Stationary processes; Stationary increment processes; Self-similar processes; Lamperti transform; Langevin equation
Rare events for the Manneville-Pomeau map
Keywords: 37A50; 60G55; 60G70; 37B20; 60G10; 37C25; Extreme Value Theory; Intermittent maps; Recurrence;
Strong consistency of the distribution estimator in the nonlinear autoregressive time series
Keywords: 60F15; 62G20; 60G10; 60E05; Glivenko-Cantelli Theorem; CDF; Residuals; Stationary process; Nonlinear autoregressive model;
Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes
Keywords: 62M20; 62M10; 60G10; 47BFunctional filters; Hilbert spaces; Linear processes; Measurable linear transformations; Prediction; Large dimensions
Futures pricing in electricity markets based on stable CARMA spot models
Keywords: Primary; 60G52; 62M10; 91B84; Secondary; 60G10; 60G51; 91B70; C58; G13; CARMA model; Electricity spot prices; Electricity futures prices; Continuous time linear model; Lévy process; Stable CARMA process; Risk premium; Robust filter;
Robust monitoring of CAPM portfolio betas II
Keywords: 60F17; 60G10; 60J65; 62F35; 62L10; 62P05Robust monitoring; Functional capital asset pricing model; Portfolio beta; MM-estimate; Change-point detection
Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
Keywords: 60G10; 60G15; 60H35; Stochastic differential equation; Fractional Brownian motion; Stationary process; Euler scheme;
Cramér-Karhunen-Loève representation and harmonic principal component analysis of functional time series
Keywords: 60G10; 62M15; 62M10; Spectral representation; Spectral density operator; Functional data analysis; Functional principal components; Discrete Fourier transform; Cumulants; Mixing;
Notes on entropic convergence and the weak entropy inequality
Keywords: 37A35; 60G10; 60J60; Weak entropy inequality; Convergence rate; Ginzburg-Landau model; Tensorization; Perturbation;
Strictly stationary solutions of ARMA equations in Banach spaces
Keywords: 60G10; 60B11ARMA; Time series in Banach spaces; Strict stationarity; Heavy tails
Stationarity of multivariate particle systems
Keywords: primary; 60G55; secondary; 60G10; 45E10; Point process; Gaussian process; Brown-Resnick process; Stationarity; Convolution equation;
Hierarchical Poisson models for spatial count data
Keywords: 60G10; 60G60; 62M30Copula; Fréchet–Hoeffding upper bound; Gaussian random field; Generalized linear mixed model; Geostatistics; Poisson–Gamma model; Poisson–Lognormal model
On the convergence of the spectrum of finite order approximations of stationary time series
Keywords: 62M10; 62F12; 37M10; 60F25; 60G10; 60G99; 62J99Wide sense stationary time series; Autoregressive estimate; Moving average estimate; Spectral density; Wold decomposition; Time average variance constant
Robust monitoring of CAPM portfolio betas
Keywords: 60F17; 60G10; 60J65; 62F35; 62L10; 62P05Robust monitoring; Capital asset pricing model; Portfolio beta; MM-estimate; Change-point detection
Intrinsic location functionals of stationary processes
Keywords: primary; 60G10; 60G17; Stationary process; Intrinsic location functionals; Total variation;