Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67-84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes ...
Robust estimation and risk minimisation in stochastic processes represent a central domain in modern statistical research. These methods are designed to ensure that statistical predictions remain ...
Stochastic processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...
A composite likelihood technique based on pairwise contributions provides a computationally simple but potentially inefficient approach for fitting spatial point process models. We propose a new ...
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