Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Muneya Matsui"'
Autor:
Muneya Matsui
We show the equivalence of three properties for an infinitely divisible distribution: the subexponentiality of the density, the subexponentiality of the density of its L\'evy measure and the tail equivalence between the density and its L\'evy measure
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cc471515724c3249f2252d116ac9d04a
http://arxiv.org/abs/2205.02074
http://arxiv.org/abs/2205.02074
Autor:
Muneya Matsui, Witold Świątkowski
Publikováno v:
Journal of Theoretical Probability. 34:1831-1869
We study multivariate stochastic recurrence equations (SREs) with triangular matrices. If coefficient matrices of SREs have strictly positive entries, the classical Kesten result says that the stationary solution is regularly varying and the tail ind
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dda9c16cfd865fbcfae3c0383bb35351
https://doi.org/10.1007/s10959-020-01019-8
https://doi.org/10.1007/s10959-020-01019-8
We study an independence test based on distance correlation for random fields $(X,Y)$. We consider the situations when $(X,Y)$ is observed on a lattice with equidistant grid sizes and when $(X,Y)$ is observed at random locations. We provide asymptoti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::019cdb7267239cc6db00fcbefd7b7d74
http://arxiv.org/abs/2107.03162
http://arxiv.org/abs/2107.03162
Publikováno v:
Colloquium Mathematicum. 155:227-254
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c80abdfe9782d791038f9787ebf537f
https://doi.org/10.4064/cm7313a-5-2018
https://doi.org/10.4064/cm7313a-5-2018
Autor:
Ewa Damek, Muneya Matsui
We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions ${\bf W} =(W_1,W_2)$. Recently it has been observed that $W_1,W_2$ may exhibit regularly varyin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::abbf266c81a6e2565892c2633cbd4cc9
Publikováno v:
Dehling, H G, Matsui, M, Mikosch, T V, Samorodnitsky, G & Tafakori, L 2020, ' Distance covariance for discretized stochastic processes ', Bernoulli, vol. 26, pp. 2758-2789 . https://doi.org/10.3150/20-BEJ1206
Bernoulli 26, no. 4 (2020), 2758-2789
Bernoulli 26, no. 4 (2020), 2758-2789
Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance and distance correlation based on approximations of the component proces
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e051b7ecf66bf0bf8417effce661b6e6
https://doi.org/10.3150/20-bej1206
https://doi.org/10.3150/20-bej1206
Publikováno v:
Pedersen, R S & Matsui, M 2022, ' Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach ', Econometric Theory, vol. 38, no. 1, pp. 1-34 . https://doi.org/10.1017/S0266466620000584
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of the associa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::391cccbe32226bfa7728416caa06eb74
http://arxiv.org/abs/1902.08364
http://arxiv.org/abs/1902.08364
Autor:
Muneya Matsui
Asymptotics of maximum likelihood estimation for $\alpha$-stable law are analytically investigated with a continuous parameterization. The consistency and asymptotic normality are shown on the interior of the whole parameter space. Although these asy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a983d6c85a942949bd4841598dbff453
Publikováno v:
Bernoulli 24, no. 4A (2018), 3087-3116
The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit, has a long history dating back to the 70s (see for example, Feuerverger and Mureika (1977)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::746fcf8ee2cdbe6c92111b16612f0e98
https://projecteuclid.org/euclid.bj/1522051234
https://projecteuclid.org/euclid.bj/1522051234
Autor:
Muneya Matsui, Claudia Klüppelberg
Publikováno v:
Scopus-Elsevier
Adv. in Appl. Probab. 47, no. 4 (2015), 1108-1131
Adv. in Appl. Probab. 47, no. 4 (2015), 1108-1131
Fractional Lévy processes generalize fractional Brownian motion in a natural way. We go a step further and extend the usual fractional Riemann-Liouville kernel to a regularly varying function. We call the resulting stochastic processes generalized f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1cc2882bc41f7e0c48e03c6181f72937
https://doi.org/10.1239/aap/1449859802
https://doi.org/10.1239/aap/1449859802