Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Pilipauskaite, Vytaute"'
Autor:
Pilipauskaité, Vytauté
Les travaux de la thèse portent sur les théorèmes limites pour des modèles stochastiques à forte dépendance. Dans la première partie, nous considérons des modèles AR(1) à coefficient aléatoire. Nous identifions trois régimes asymptotiques
Externí odkaz:
http://www.theses.fr/2017NANT4057/document
In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation cases over a
Externí odkaz:
http://arxiv.org/abs/2410.10226
This paper investigates the estimation of the interaction function for a class of McKean-Vlasov stochastic differential equations. The estimation is based on observations of the associated particle system at time $T$, considering the scenario where b
Externí odkaz:
http://arxiv.org/abs/2401.04667
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general framework,
Externí odkaz:
http://arxiv.org/abs/2208.11965
We discuss joint spatial-temporal scaling limits of sums $A_{\lambda,\gamma}$ (indexed by $(x,y) \in \mathbb{R}^2_+$) of large number $O(\lambda^{\gamma})$ of independent copies of integrated input process $X = \{X(t), t \in \mathbb{R}\}$ at time sca
Externí odkaz:
http://arxiv.org/abs/2112.01893
In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We pr
Externí odkaz:
http://arxiv.org/abs/2107.00539
Publikováno v:
Bernoulli 2022, Vol. 28, No. 4, 2833-2861
We obtain a complete description of local anisotropic scaling limits for a class of fractional random fields $X$ on ${\mathbb{R}}^2$ written as stochastic integral with respect to infinitely divisible random measure. The scaling procedure involves in
Externí odkaz:
http://arxiv.org/abs/2102.00732
Publikováno v:
Electronic Journal of Probability 2021, Vol. 26, paper no. 55, 1-35
This paper presents new limit theorems for power variation of fractional type symmetric infinitely divisible random fields. More specifically, the random field $X = (X(\boldsymbol{t}))_{\boldsymbol{t} \in [0,1]^d}$ is defined as an integral of a kern
Externí odkaz:
http://arxiv.org/abs/2008.01412
Publikováno v:
M.E. Vares et al. (eds.) In and Out of Equilibrium 3: Celebrating Vladas Sidoravicius. Progress in Probability, vol 77. Birkh\"auser, Cham, 2021, pp. 683-710
We discuss anisotropic scaling of long-range dependent linear random fields $X$ on ${\mathbb{Z}}^2$ with arbitrary dependence axis (direction in the plane along which the moving-average coefficients decay at a smallest rate). The scaling limits are t
Externí odkaz:
http://arxiv.org/abs/2002.11453
Publikováno v:
In Stochastic Processes and their Applications September 2023 163:350-386
