Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Schroers Dennis"'
Publikováno v:
Dependence Modeling, Vol 10, Iss 1, Pp 22-28 (2022)
Copulas are appealing tools in multivariate probability theory and statistics. Nevertheless, the transfer of this concept to infinite dimensions entails some nontrivial topological and functional analytic issues, making a deeper theoretical understan
Externí odkaz:
https://doaj.org/article/918aab1d3f3f47b58c666eb0ffeaabf9
Autor:
Schroers, Dennis
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically
Externí odkaz:
http://arxiv.org/abs/2406.19412
Autor:
Schroers, Dennis
We develop an asymptotic theory for the jump robust measurement of covariations in the context of stochastic evolution equation in infinite dimensions. Namely, we identify scaling limits for realized covariations of solution processes with the quadra
Externí odkaz:
http://arxiv.org/abs/2401.16286
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential equations and derive a stable central limit theorem for the semigroup
Externí odkaz:
http://arxiv.org/abs/2205.03927
We prove Sklar's theorem in infinite dimensions via a topological argument and the notion of inverse systems.
Comment: 6 pages
Comment: 6 pages
Externí odkaz:
http://arxiv.org/abs/2101.08598
Although copulas are used and defined for various infinite-dimensional objects (e.g. Gaussian processes and Markov processes), there is no prevalent notion of a copula that unifies these concepts. We propose a unified approach and define copulas as p
Externí odkaz:
http://arxiv.org/abs/2012.11530
This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an estimator of the trace-class operator-valued integrated volatility pro
Externí odkaz:
http://arxiv.org/abs/2011.13030
Publikováno v:
Nonlinear Differential Equations and Applications NoDEA volume 28, Article number: 28 (2021)
In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov processes obtained as the unique mild solution to stochastic partial d
Externí odkaz:
http://arxiv.org/abs/2005.01519
Publikováno v:
In Stochastic Processes and their Applications March 2022 145:241-268
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