CAS: Mathematics & Statistics: Scholarly Papers
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URI: http://hdl.handle.net/2144/1002
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The dynamics of hybrid metabolic-genetic oscillators
(AMER INST PHYSICS, 2013-03-01)The synthetic construction of intracellular circuits is frequently hindered by a poor knowledge of appropriate kinetics and precise rate parameters. Here, we use generalized modeling (GM) to study the dynamical behavior ... -
Behavior of the generalized Rosenblatt process at extreme critical exponent values
(INST MATHEMATICAL STATISTICS, 2017-03-01)The generalized Rosenblatt process is obtained by replacing the single critical exponent characterizing the Rosenblatt process by two different exponents living in the interior of a triangular region. What happens to that ... -
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
(Bernoulli Society for Mathematical Statistics and Probability, 2018-06-12)Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a flexible dependence structure. The asymptotic behavior of the integrated and partial sum supOU processes can be, ... -
Sensivity of the Hermite rank
(Elsevier, 2019-03)The Hermite rank appears in limit theorems involving long memory. We show that a Hermite rank higher than one is unstable when the data is slightly perturbed by transformations such as shift and scaling. We carry out a ... -
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
(WILEY-BLACKWELL PUBLISHING, INC, 2011-03-01)A desirable property of an autocovariance estimator is to be robust to the presence of additive outliers. It is well-known that the sample autocovariance, being based on moments, does not have this property. Hence, the use ... -
On the validity of resampling methods under long memory
(INST MATHEMATICAL STATISTICS, 2017-12-01)For long-memory time series, inference based on resampling is of crucial importance, since the asymptotic distribution can often be non-Gaussian and is difficult to determine statistically. However, due to the strong ... -
Power of change-point tests for long-range dependent data
(INST MATHEMATICAL STATISTICS, 2017-01-01)We investigate the power of the CUSUM test and the Wilcoxon change-point tests for a shift in the mean of a process with long-range dependent noise. We derive analytic formulas for the power of these tests under local ... -
Intermittency of trawl processes
(Elsevier, 2018-06-01)We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to define separately the marginal distribution ... -
Moments, cumulants and diagram formulae for non-linear functionals of random measures
(2008)This survey provides a unified discussion of multiple integrals, moments, cumulants and diagram formulae associated with functionals of completely random measures. Our approach is combinatorial, as it is based on the ... -
Multivariate limit theorems in the context of long-range dependence
(Wiley, 2013-10-22)We study the limit law of a vector made up of normalized sums of functions of long-range dependent stationary Gaussian series. Depending on the memory parameter of the Gaussian series and on the Hermite ranks of the ...
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