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pro vyhledávání: '"Sebastian Mentemeier"'
We consider multivariate stationary processes (Xt) satisfying a stochastic recurrence equation of the form Xt=𝕄tXt−1+Qt, where (Qt) are i.i.d. random vectors and 𝕄t=Diag(b1+c1Mt,…,bd+cdMt) are i.i.d. diagonal matrices and (Mt) are i.i.d. ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fe78bdcf31c3450474c77bbe8558db66
https://hdl.handle.net/10419/265014
https://hdl.handle.net/10419/265014
Autor:
Jan Voelzke, Sebastian Mentemeier
Publikováno v:
Computational Economics. 54:613-624
The Substantial-Gain–Loss-Ratio (SGLR) was developed to overcome some drawbacks of the Gain–Loss-Ratio (GLR) as proposed by Bernardo and Ledoit (J Polit Econ 108(1):144–172, 2000). This is achieved by slightly changing the condition for a good-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bdbdc7d45cbaae65a59ff553d0b84b7
https://doi.org/10.1007/s10614-018-9845-2
https://doi.org/10.1007/s10614-018-9845-2
Publikováno v:
Collamore, J F & Mentemeier, S 2018, ' Large excursions and conditioned laws for recursive sequences generated by random matrices ', Annals of Probability, vol. 46, no. 4, pp. 2064-2120. . https://doi.org/10.1214/17-AOP1221
Ann. Probab. 46, no. 4 (2018), 2064-2120
Ann. Probab. 46, no. 4 (2018), 2064-2120
We determine the large exceedance probabilities and large exceedance paths for the matrix recursive sequence $V_n = M_n V_{n-1} + Q_n, \: n=1,2,\ldots,$ where $\{M_n\}$ is an i.i.d. sequence of $d \times d$ random matrices and $\{ Q_n\}$ is an i.i.d.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4a9fc65a10bf5a9a8181a46ecb874398
https://doi.org/10.1214/17-aop1221
https://doi.org/10.1214/17-aop1221
Autor:
Ewa Damek, Sebastian Mentemeier
Publikováno v:
Electron. Commun. Probab.
Let $X$ be a $\mathbb{C}$-valued random variable with the property that $$X \ \text{ has the same law as }\ \sum_{j\ge1} T_j X_j$$ where $X_j$ are i.i.d.\ copies of $X$, which are independent of the (given) $\mathbb{C}$-valued random variables $ (T_j
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9400b66a42bdd683fa63aae224733c95
https://projecteuclid.org/euclid.ecp/1536718013
https://projecteuclid.org/euclid.ecp/1536718013
Publikováno v:
Journal of Difference Equations and Applications. 20:1523-1567
Let Z be a random variable with values in a proper closed convex cone , A a random endomorphism of C and N a random integer. We assume that Z, A, N are independent. Given N independent copies of we define a new random variable . Let T be the correspo
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https://explore.openaire.eu/search/publication?articleId=doi_________::5af665973385b0ff7c12d1ef9768dc1f
https://doi.org/10.1080/10236198.2014.950259
https://doi.org/10.1080/10236198.2014.950259
Autor:
Sebastian Mentemeier, Gerold Alsmeyer
Publikováno v:
Journal of Difference Equations and Applications. 18:1305-1332
Given a sequence of i.i.d. random variables with generic copy such that M is a regular matrix and Q takes values in , we consider the random difference equation Under suitable assumptions stated below, this equation has a unique stationary solution R
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::848eef690fe1a508be78eed015fbcd1e
https://doi.org/10.1080/10236198.2011.571383
https://doi.org/10.1080/10236198.2011.571383
Publikováno v:
National Information Processing Institute
Given $d \ge 1$, let $(A_i)_{i\ge 1}$ be a sequence of random $d\times d$ real matrices and $Q$ be a random vector in $\mathbb{R}^d$. We consider fixed points of multivariate smoothing transforms, i.e. random variables $X\in \mathbb{R}^d$ satisfying
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ece374d8b514c593ed48f78cc3f060f9
http://arxiv.org/abs/1502.02397
http://arxiv.org/abs/1502.02397
Autor:
Sebastian Mentemeier, Matthias Meiners
We consider smoothing equations of the form $$X ~\stackrel{\mathrm{law}}{=}~ \sum_{j \geq 1} T_j X_j + C$$ where $(C,T_1,T_2,\ldots)$ is a given sequence of random variables and $X_1,X_2,\ldots$ are independent copies of $X$ and independent of the se
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e17416de9287426ae5dd4316d04f7b4d
Autor:
Konrad Kolesko, Sebastian Mentemeier
Publikováno v:
Electron. J. Probab.
Given a sequence $(T_1, T_2, ...)$ of random $d \times d$ matrices with nonnegative entries, suppose there is a random vector $X$ with nonnegative entries, such that $ \sum_{i \ge 1} T_i X_i $ has the same law as $X$, where $(X_1, X_2, ...)$ are i.i.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce5c27668e47ca9dac682233caf56601
http://arxiv.org/abs/1409.7220
http://arxiv.org/abs/1409.7220
Publikováno v:
Ann. Inst. H. Poincaré Probab. Statist. 52, no. 3 (2016), 1474-1513
The theorem of Furstenberg and Kesten provides a strong law of large numbers for the norm of a product of random matrices. This can be extended under various assumptions, covering nonnegative as well as invertible matrices, to a law of large numbers
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3146447e509be40f0e97d52d5d5dc4f4
http://arxiv.org/abs/1405.6505
http://arxiv.org/abs/1405.6505