Pub Date : 2024-07-24DOI: 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}
Pub Date : 2024-03-22DOI: 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}
Pub Date : 2023-12-19DOI: 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}
Pub Date : 2023-12-18DOI: 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}
Pub Date : 2023-12-02DOI: 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}
Pub Date : 2023-09-25DOI: 10.1007/s11203-023-09298-8
Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida
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.
{"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}
Pub Date : 2023-09-23DOI: 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}
Pub Date : 2023-09-19DOI: 10.1007/s11203-023-09297-9
O Chernoyarov, S Dachian, C Farinetto, Yu Kutoyants
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.
{"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}
Pub Date : 2023-08-23DOI: 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}
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