Zobrazeno 1 - 10
of 208
pro vyhledávání: '"Logachov, A."'
In this paper, we expand and generalize the findings presented in our previous work on the law of large numbers and the large deviation principle for Poisson processes with uniform catastrophes. We study three distinct scalings: sublinear (moderate d
Externí odkaz:
http://arxiv.org/abs/2411.19255
Autor:
Rojas, Helder, Logachov, Artem
In this paper we provide an asymptotic theory for the symmetric version of the Kullback--Leibler (KL) divergence. We define a estimator for this divergence and study its asymptotic properties. In particular, we prove Law of Large Numbers (LLN) and th
Externí odkaz:
http://arxiv.org/abs/2401.16524
Autor:
Glinskiy, Vladimir1,2 (AUTHOR) glinskiy-vv@ranepa.ru, Logachov, Artem1,3 (AUTHOR) logachev-av@ranepa.ru, Logachova, Olga4 (AUTHOR) o.m.logacheva@sgugit.ru, Rojas, Helder5,6 (AUTHOR) h.rojas-molina23@imperial.ac.uk, Serga, Lyudmila1,2 (AUTHOR) serga-lk@ranepa.ru, Yambartsev, Anatoly7 (AUTHOR) yambar@usp.br
Publikováno v:
Mathematics (2227-7390). Nov2024, Vol. 12 Issue 21, p3319. 16p.
Large deviations principle is obtained for terminating multidimensional compound renewal processes. We also obtained the asymptotic of large deviations for the case when a Gibbs change of the original probability measure takes place. The random proce
Externí odkaz:
http://arxiv.org/abs/2112.09640
Birth-death processes form a natural class where ideas and results on large deviations can be tested. In this paper, we derive a large deviation principle under the assumption that the rate of a jump down (death) is growing asymptotically linearly wi
Externí odkaz:
http://arxiv.org/abs/2112.05877
Publikováno v:
In Stochastic Processes and their Applications October 2024 176
Autor:
Vladimir Glinskiy, Artem Logachov, Olga Logachova, Helder Rojas, Lyudmila Serga, Anatoly Yambartsev
Publikováno v:
Mathematics, Vol 12, Iss 21, p 3319 (2024)
We investigate the asymptotic properties of the plug-in estimator for the Jeffreys divergence, the symmetric variant of the Kullback–Leibler (KL) divergence. This study focuses specifically on the divergence between discrete distributions. Traditio
Externí odkaz:
https://doaj.org/article/8ad1bd11b49c480bab2a311cf3850a33
Autor:
Vladimir Glinskiy, Yulia Ismayilova, Sergey Khrushchev, Artem Logachov, Olga Logachova, Lyudmila Serga, Anatoly Yambartsev, Kirill Zaykov
Publikováno v:
Mathematics, Vol 12, Iss 16, p 2523 (2024)
The Jarque–Bera test is commonly used in statistics and econometrics to test the hypothesis that sample elements adhere to a normal distribution with an unknown mean and variance. This paper proposes several modifications to this test, allowing for
Externí odkaz:
https://doaj.org/article/8d98d3b968fc4bbbb3e5c17127dca5ad
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a population
Externí odkaz:
http://arxiv.org/abs/2004.10632
Publikováno v:
Statistics & Probability Letters, v. 149, p. 29-37, 2019
The large deviation principle on phase space is proved for a class of Markov processes known as random population dynamics with catastrophes. In the paper we study the process which corresponds to the random population dynamics with linear growth and
Externí odkaz:
http://arxiv.org/abs/1911.06769