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Murad S. Taqqu

Publications and source records attributed to Murad S. Taqqu.

At least 55 records · Page 3Linked to original sources

Distribution functions of Poisson random integrals: Analysis and computation

We want to compute the cumulative distribution function of a one-dimensional Poisson stochastic integral $I(\krnl) = \displaystyle \int_0^T \krnl(s) N(ds)$, where $N$ is a Poisson random measure with control measure $n$ and $\krnl$ is a suitable kernel function. We do so by combining a Kolmogorov-Feller equation with a finite-difference scheme. We provide the rate of convergence of our numerical scheme and illustrate our method on a number of examples. The software used to implement the procedure is available on demand and we demonstrate its use in the paper.

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Robust estimation of the scale and of the autocovariance function of Gaussian short and long-range dependent processes

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 of an autocovariance estimator which is robust to additive outliers can be very useful for time-series modeling. In this paper, the asymptotic properties of the robust scale and autocovariance estimators proposed by Rousseeuw and Croux (1993) and Genton and Ma (2000) are established for Gaussian processes, with either short-range or long-range dependence. It is shown in the short-range dependence setting that this robust estimator is asymptotically normal at the rate $\sqrt{n}$, where $n$ is the number of observations. An explicit expression of the asymptotic variance is also given and compared to the asymptotic variance of the classical autocovariance estimator. In the long-range dependence setting, the limiting distribution displays the same behavior than that of the classical autocovariance estimator, with a Gaussian limit and rate $\sqrt{n}$ when the Hurst parameter $H$ is less 3/4 and with a non-Gaussian limit (belonging to the second Wiener chaos) with rate depending on the Hurst parameter when $H \in (3/4,1)$. Some Monte-Carlo experiments are presented to illustrate our claims and the Nile River data is analyzed as an application. The theoretical results and the empirical evidence strongly suggest using the robust estimators as an alternative to estimate the dependence structure of Gaussian processes.

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Using Differential Equations to Obtain Joint Moments of First-Passage Times of Increasing Levy Processes

Let $\{D(s), s \geq 0 \}$ be a Lévy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D(0) = 0$. We study the first-hitting time of the process $D$, namely, the process $E(t) = \inf \{s: D(s) > t \}$, $t \geq 0$. The process $E$ is, in general, non-Markovian with non-stationary and non-independent increments. We derive a partial differential equation for the Laplace transform of the $n$-time tail distribution function $P[E(t_1) > s_1,...,E(t_n) > s_n]$, and show that this PDE has a unique solution given natural boundary conditions. This PDE can be used to derive all $n$-time moments of the process $E$.

math.PR↗

Numerical Computation of First-Passage Times of Increasing Levy Processes

Let $\{D(s), s \geq 0\}$ be a non-decreasing Lévy process. The first-hitting time process $\{E(t) t \geq 0\}$ (which is sometimes referred to as an inverse subordinator) defined by $E(t) = \inf \{s: D(s) > t \}$ is a process which has arisen in many applications. Of particular interest is the mean first-hitting time $U(t)=\mathbb{E}E(t)$. This function characterizes all finite-dimensional distributions of the process $E$. The function $U$ can be calculated by inverting the Laplace transform of the function $\widetilde{U}(λ) = (λϕ(λ))^{-1}$, where $ϕ$ is the Lévy exponent of the subordinator $D$. In this paper, we give two methods for computing numerically the inverse of this Laplace transform. The first is based on the Bromwich integral and the second is based on the Post-Widder inversion formula. The software written to support this work is available from the authors and we illustrate its use at the end of the paper.

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A multiple stochastic integral criterion for almost sure limit theorems

In this paper, we study almost sure central limit theorems for multiple stochastic integrals and provide a criterion based on the kernel of these multiple integrals. We apply our result to normalized partial sums of Hermite polynomials of increments of fractional Brownian motion. We obtain almost sure central limit theorems for these normalized sums when they converge in law to a normal distribution.

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Moments, cumulants and diagram formulae for non-linear functionals of random measures

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 algebraic formalism of partition lattices and Möbius functions. Gaussian and Poisson measures are treated in great detail. We also present several combinatorial interpretations of some recent CLTs involving sequences of random variables belonging to a fixed Wiener chaos.

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Central limit theorems for double Poisson integrals

Motivated by second order asymptotic results, we characterize the convergence in law of double integrals, with respect to Poisson random measures, toward a standard Gaussian distribution. Our conditions are expressed in terms of contractions of the kernels. To prove our main results, we use the theory of stable convergence of generalized stochastic integrals developed by Peccati and Taqqu. One of the advantages of our approach is that the conditions are expressed directly in terms of the kernel appearing in the multiple integral and do not make any explicit use of asymptotic dependence properties such as mixing. We illustrate our techniques by an application involving linear and quadratic functionals of generalized Ornstein--Uhlenbeck processes, as well as examples concerning random hazard rates.

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A Wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series

We consider a time series $X=\{X_k, k\in\mathbb{Z}\}$ with memory parameter $d\in\mathbb{R}$. This time series is either stationary or can be made stationary after differencing a finite number of times. We study the "Local Whittle Wavelet Estimator" of the memory parameter $d$. This is a wavelet-based semiparametric pseudo-likelihood maximum method estimator. The estimator may depend on a given finite range of scales or on a range which becomes infinite with the sample size. We show that the estimator is consistent and rate optimal if $X$ is a linear process and is asymptotically normal if $X$ is Gaussian.

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Stein's method and normal approximation of Poisson functionals

We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Esséen bounds in Central Limit Theorems (CLTs) involving multiple Wiener-Itô integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein-Uhlenbeck Lévy processes.

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Non-Markovian diffusion equations and processes: analysis and simulations

In this paper we introduce and analyze a class of diffusion type equations related to certain non-Markovian stochastic processes. We start from the forward drift equation which is made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation can be interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the memory kernel K(t). We develop several applications and derive the exact solutions. We consider different stochastic models for the given equations providing path simulations.

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Asymptotic normality of wavelet estimators of the memory parameter for linear processes

We consider linear processes, not necessarily Gaussian, with long, short or negative memory. The memory parameter is estimated semi-parametrically using wavelets from a sample $X_1,...,X_n$ of the process. We treat both the log-regression wavelet estimator and the wavelet Whittle estimator. We show that these estimators are asymptotically normal as the sample size $n\to\infty$ and we obtain an explicit expression for the limit variance. These results are derived from a general result on the asymptotic normality of the empirical scalogram for linear processes, conveniently centered and normalized. The scalogram is an array of quadratic forms of the observed sample, computed from the wavelet coefficients of this sample. In contrast with quadratic forms computed on the Fourier coefficients such as the periodogram, the scalogram involves correlations which do not vanish as the sample size $n\to\infty$.

math.ST↗

Central Limit Theorems for arrays of decimated linear processes

Linear processes are defined as a discrete-time convolution between a kernel and an infinite sequence of i.i.d. random variables. We modify this convolution by introducing decimation, that is, by stretching time accordingly. We then establish central limit theorems for arrays of squares of such decimated processes. These theorems are used to obtain the asymptotic behavior of estimators of the spectral density at specific frequencies. Another application, treated elsewhere, concerns the estimation of the long-memory parameter in time-series, using wavelets.

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Estimators of Long-Memory: Fourier versus Wavelets

There have been a number of papers written on semi-parametric estimation methods of the long-memory exponent of a time series, some applied, others theoretical. Some using Fourier methods, others using a wavelet-based technique. In this paper, we compare the Fourier and wavelet approaches to the local regression method and to the local Whittle method. We provide an overview of these methods, describe what has been done, indicate the available results and the conditions under which they hold. We discuss their relative strengths and weaknesses both from a practical and a theoretical perspective. We also include a simulation-based comparison. The software written to support this work is available on demand and we illustrate its use at the end of the paper.

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Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation

We establish bounds for the covariance of a large class of functions of infinite variance stable random variables, including unbounded functions such as the power function and the logarithm. These bounds involve measures of dependence between the stable variables, some of which are new. The bounds are also used to deduce the central limit theorem for unbounded functions of stable moving average time series. This result extends the earlier results of Tailen Hsing and the authors on central limit theorems for bounded functions of stable moving averages. It can be used to show asymptotic normality of wavelet-based estimators of the self-similarity parameter in fractional stable motions.

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Estimating heavy-tail exponents through max self-similarity

In this paper, a novel approach to the problem of estimating the heavy-tail exponent alpha>0 of a distribution is proposed. It is based on the fact that block-maxima of size m of the independent and identically distributed data scale at a rate of m^{1/alpha}. This scaling rate can be captured well by the max-spectrum plot of the data that leads to regression based estimators. Consistency and asymptotic normality of these estimators is established under mild conditions on the behavior of the tail of the distribution. The results are obtained by establishing bounds on the rate of convergence of moment-type functionals of heavy-tailed maxima. Such bounds often yield exact rates of convergence and are of independent interest. Practical issues on the automatic selection of tuning parameters for the estimators and corresponding confidence intervals are also addressed. Extensive numerical simulations show that the proposed method proves competitive for both small and large sample sizes and for a large range of tail exponents. The method is shown to be more robust than the classical Hill plot and is illustrated on two data sets of insurance claims and natural gas field sizes.

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Stable convergence of generalized stochastic integrals and the principle of conditioning: L^2 theory

Consider generalized adapted stochastic integrals with respect to independently scattered random measures with second moments. We use a decoupling technique, known as the "principle of conditioning", to study their stable convergence towards mixtures of infinitely divisible distributions. Our results apply, in particular, to multiple integrals with respect to independently scattered and square integrable random measures, as well as to Skorohod integrals on abstract Wiener spaces. As a specific application, we establish a Central Limit Theorem for sequences of double integrals with respect to a general Poisson measure, thus extending the results contained in Nualart and Peccati (2005) and Peccati and Tudor (2004) to a non-Gaussian context.

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Stable convergence of multiple Wiener-Itô integrals

We prove sufficient conditions, ensuring that a sequence of multiple Wiener-Itô integrals (with respect to a general Gaussian process) converges stably to a mixture of normal distributions. Our key tool is an asymptotic decomposition of contraction kernels, realized by means of increasing families of projection operators. We also use an infinite-dimensional Clark-Ocone formula, as well as a version of the correspondence between "abstract" and "concrete" filtered Wiener spaces, in a spirit similar to Üstünel and Zakai (1997).

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Stable stationary processes related to cyclic flows

We study stationary stable processes related to periodic and cyclic flows in the sense of Rosinski [Ann. Probab. 23 (1995) 1163-1187]. These processes are not ergodic. We provide their canonical representations, consider examples and show how to identify them among general stationary stable processes. We conclude with the unique decomposition in distribution of stationary stable processes into the sum of four major independent components: 1. A mixed moving average component. 2. A harmonizable (or ``trivial'') component. 3. A cyclic component 4. A component which is different from these.

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