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Modern Stochastics: Theory and Applications*

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Journals: Modern Stochastics: Theory and Applications*

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Note on AR(1)-characterisation of stationary processes and model fitting

Marko Voutilainen

Lauri Viitasaari Pauliina Ilmonen

https://doi.org/10.15559/19-MSTA132

Pub. online: 8 Mar 2019 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 6, Issue 2 (2019), pp. 195–207

Abstract

It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that, using this characterisation, one can define closed form estimators for the model parameter based on autocovariance estimators for several different lags. However, this estimation procedure may fail in some special cases. In this article, a detailed analysis of these special cases is provided. In particular, it is proved that these cases correspond to degenerate processes.

Editorial

K. Kubilius Yu. Mishura L. Sakhno

https://doi.org/10.15559/19-MSTA131

Pub. online: 19 Feb 2019 Type: Editorial

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 6, Issue 1 (2019), pp. 1–2

Testing proportional hazards for specified covariates

Vilijandas Bagdonavičius Rūta Levulienė

https://doi.org/10.15559/19-MSTA129

Pub. online: 15 Feb 2019 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 6, Issue 2 (2019), pp. 209–225

Abstract

Tests for proportional hazards assumption concerning specified covariates or groups of covariates are proposed. The class of alternatives is wide: log-hazard rates under different values of covariates may cross, approach, go away. The data may be right censored. The limit distribution of the test statistic is derived. Power of the test against approaching alternatives is given. Real data examples are considered.

Subject index

https://doi.org/10.15559/18-MSTA54SI

Pub. online: 14 Jan 2019 Type: Subject Index

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 4 (2018), pp. 551–559

2010 Mathematics Subject Classification index

https://doi.org/10.15559/18-MSTA54MI

Pub. online: 14 Jan 2019 Type: 2010 Mathematics Subject Classification Index

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 4 (2018), pp. 547–550

Keywords index

https://doi.org/10.15559/18-MSTA54KI

Pub. online: 14 Jan 2019 Type: Keywords Index

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 4 (2018), pp. 545–546

Author index

https://doi.org/10.15559/18-MSTA54AI

Pub. online: 14 Jan 2019 Type: Author Index

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 4 (2018), pp. 543–544

Publisher’s word

https://doi.org/10.15559/18-MSTA54EDI

Pub. online: 14 Jan 2019 Type: Editorial

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 4 (2018), pp. 413–414

Editorial

K. Kubilius Yu. Mishura L. Sakhno

https://doi.org/10.15559/18-MSTA128

Pub. online: 14 Jan 2019 Type: Editorial

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 5, Issue 4 (2018), pp. 411–412

Convergence rates in the central limit theorem for weighted sums of Bernoulli random fields

Davide Giraudo

https://doi.org/10.15559/18-MSTA121

Pub. online: 21 Dec 2018 Type: Research Article

Open Access

Journal: Modern Stochastics: Theory and Applications* Volume 6, Issue 2 (2019), pp. 251–267

Abstract

Moment inequalities for a class of functionals of i.i.d. random fields are proved. Then rates are derived in the central limit theorem for weighted sums of such randoms fields via an approximation by m-dependent random fields.

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