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Least-Squares Estimation for the Subcritical Heston Model Based on Continuous-Time Observations
We prove strong consistency and asymptotic normality of least-squares estimators for the subcritical Heston model based on continuous-time...
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Asymptotic behavior of the number of distinct values in a sample from the geometric stick-breaking process
Discrete random probability measures are a key ingredient of Bayesian nonparametric inference. A sample generates ties with positive probability and...
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A firm foundation for statistical disclosure control
The present article reviews the theory of data privacy and confidentiality in statistics and computer science, to modernize the theory of...
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Probability Models and Distribution Functions
The chapter provides the basics of probability theory and theory of distribution functions. The probability model for random sampling is discussed....
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On firm size distribution: statistical models, mechanisms, and empirical evidence
In this work we explain the size distribution of business firms using a stochastic growth process that reproduces the main stylized facts documented...
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Joint Probability Distributions and Their Applications
In Chapters 3 and 4 , we developed probability models for a...
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Cutoff Phenomenon for Nearest Lamperti’s Random Walk
We consider transient neighbor random walks on the positive part of the real line, the transition probability is state dependent being a special case...
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Large-Sample Optimality
In this chapter, some asymptotic optimalityAsymptotic optimality theory of hypothesis testing is developed. We consider testing one sequence of...
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Bayesian Extreme Value Theory
This chapter provides an introduction to Bayesian statistical theory and a broad review of its application to extreme values. The Bayesian...
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From Gini to Bonferroni to Tsallis: an inequality-indices trek
Arguably, the Gini index is the best known and the most widely applied inequality index in socioeconomics in particular, and across the sciences in...
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The Flow of Funds Matrix and Financial Risk Measurement
This research transposes the data from China’s Flow of Funds Account and Flow of Funds Matrix and clarifies the features of assets and liabilities...
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Momentum, Kinetic Energy, Locality
In Chap. 1 we discussed the foundations of a new quantum theory and the paths of random motion under the...
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Publication: Where Data Comes to Life!
The architecture of the OCHRE platform and its item-based approach to knowledge representation allows digital publication to be reimagined. Data can...
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Functional limit theorems for the maxima of perturbed random walk and divergent perpetuities in the M 1-topology
Let ( ξ 1 , η 1 ), ( ξ 2 , η 2 ),… be a sequence of i.i.d. two-dimensional random vectors. In the earlier article Iksanov and Pilipenko (2014) weak...
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Limit theorems for counting variables based on records and extremes
Hsu and Robbins (Proc. Nat. Acad. Sci. USA 33 , 25–31,
1947 ) introduced the concept of complete convergence as a complement to the Kolmogorov strong... -
Time Series Data Analysis with State Space Model
A challenge in time series data analysis is that it is an extrapolation problem: we are interested in predicting events that are only observable in...
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Analysis of Accounting Transactions
Accounting transactions are the “raw data” of accounting system, but the idiosyncratic vernacular of accounting, and spotty empirical study of...