Zobrazeno 1 - 10
of 336
pro vyhledávání: '"Panov, Vladimir"'
This study focuses on statistical inference for compound models of the form $X=\xi_1+\ldots+\xi_N$, where $N$ is a random variable denoting the count of summands, which are independent and identically distributed (i.i.d.) random variables $\xi_1, \xi
Externí odkaz:
http://arxiv.org/abs/2405.05419
This paper deals with statistical inference for the scale mixture models. We study an estimation approach based on the Mellin -- Stieltjes transform that can be applied to both discrete and absolute continuous mixing distributions. The accuracy of th
Externí odkaz:
http://arxiv.org/abs/2211.01799
Autor:
Morozova, Ekaterina, Panov, Vladimir
In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the L\'evy processes and is able to realistically reproduce the jump-type dynamics
Externí odkaz:
http://arxiv.org/abs/2210.13824
Autor:
Panov, Vladimir, Morozova, Ekaterina
This paper deals with the extreme value analysis for the triangular arrays, which appear when some parameters of the mixture model vary as the number of observations grow. When the mixing parameter is small, it is natural to associate one of the comp
Externí odkaz:
http://arxiv.org/abs/2103.07689
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. Unlike previously known facts in this field, our main theorem yie
Externí odkaz:
http://arxiv.org/abs/2005.11249
The paper proposes to analyze epidemiological data using regression models which enable subject-matter (epidemiological) interpretation of such data whether with uncorrelated or correlated predictors. To this end, response functions should include no
Externí odkaz:
http://arxiv.org/abs/2002.08113
Akademický článek
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Autor:
Molchanov, Stanislav, Panov, Vladimir
In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. More precisely, the distribution of the energy levels is assumed to be a
Externí odkaz:
http://arxiv.org/abs/1802.05071
Autor:
Belomestny, Denis, Panov, Vladimir
In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popular in statistical and financial modelling. We design a semiparametric e
Externí odkaz:
http://arxiv.org/abs/1705.07578