Found 4 document(s)
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We study the dimension-free inequalities, see Talagrand [49], for non-product measures extending Marton's [39] weak transport from the Hamming distance to other metrics. The Euclidian norm is proved to be appropriate for...
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This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic p...
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Assume that $(X_t)_{t\in\Z}$ is a real valued time series admitting a common marginal density $f$ with respect to Lebesgue's measure. Donoho {\it et al.}~(1996) propose a near-minimax method based on thresholding wavelet...
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Assuming that $(X_t)_{t\in\Z}$ is a vector valued time series with a common marginal distribution admitting a density $f$, our aim is to provide a wide range of consistent estimators of $f$. We consider different methods...