We investigate some aspects of the problem of the estimation of birth distributions (BDs) in multi-type Galton–Watson trees (MGWs) with unobserved types. More precisely, we consider two-type MGWs called spinal-structured trees. This kind of tree is characterized by a spine of special individuals whose BD $\nu$ is different from the other individuals in the tree (called normal, and whose BD is denoted by $\mu$). In this work, we show that even in such a very structured two-type population, our ability to distinguish the two types and estimate $\mu$ and $\nu$ is constrained by a trade-off between the growth-rate of the population and the similarity of $\mu$ and $\nu$. Indeed, if the growth-rate is too large, large deviation events are likely to be observed in the sampling of the normal individuals, preventing us from distinguishing them from special ones. Roughly speaking, our approach succeeds if $r\lt \mathfrak{D}(\mu,\nu)$, where r is the exponential growth-rate of the population and $\mathfrak{D}$ is a divergence measuring the dissimilarity between $\mu$ and $\nu$.

We consider a Poisson autoregressive process whose parameters depend on the past of the trajectory. We allow these parameters to take negative values, modelling inhibition. More precisely, the model is the stochastic process $(X_n)_{n\ge0}$ with parameters $a_1,\ldots,a_p \in \mathbb{R}$, $p\in\mathbb{N}$, and $\lambda \ge 0$, such that, for all $n\ge p$, conditioned on $X_0,\ldots,X_{n-1}$, $X_n$ is Poisson distributed with parameter $(a_1 X_{n-1} + \cdots + a_p X_{n-p} + \lambda)_+$. This process can be regarded as a discrete-time Hawkes process with inhibition and a memory of length p. In this paper we initiate the study of necessary and sufficient conditions of stability for these processes, which seems to be a hard problem in general. We consider specifically the case $p = 2$, for which we are able to classify the asymptotic behavior of the process for the whole range of parameters, except for boundary cases. In particular, we show that the process remains stochastically bounded whenever the solution to the linear recurrence equation $x_n = a_1x_{n-1} + a_2x_{n-2} + \lambda$ remains bounded, but the converse is not true. Furthermore, the criterion for stochastic boundedness is not symmetric in $a_1$ and $a_2$, in contrast to the case of non-negative parameters, illustrating the complex effects of inhibition.

We consider the problem of obtaining effective representations for the solutions of linear, vector-valued stochastic differential equations (SDEs) driven by non-Gaussian pure-jump Lévy processes, and we show how such representations lead to efficient simulation methods. The processes considered constitute a broad class of models that find application across the physical and biological sciences, mathematics, finance, and engineering. Motivated by important relevant problems in statistical inference, we derive new, generalised shot-noise simulation methods whenever a normal variance-mean (NVM) mixture representation exists for the driving Lévy process, including the generalised hyperbolic, normal-gamma, and normal tempered stable cases. Simple, explicit conditions are identified for the convergence of the residual of a truncated shot-noise representation to a Brownian motion in the case of the pure Lévy process, and to a Brownian-driven SDE in the case of the Lévy-driven SDE. These results provide Gaussian approximations to the small jumps of the process under the NVM representation. The resulting representations are of particular importance in state inference and parameter estimation for Lévy-driven SDE models, since the resulting conditionally Gaussian structures can be readily incorporated into latent variable inference methods such as Markov chain Monte Carlo, expectation-maximisation, and sequential Monte Carlo.

We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an Itô semimartingale with jumps and general stochastic volatility, we present a simple and explicit estimator using local order statistics. We establish consistency and stable central limit theorems as asymptotic properties. The asymptotic analysis builds upon an expansion of tail probabilities for the order statistics based on a generalized arcsine law. In order to use the involved distribution of local order statistics for a bias correction, an efficient numerical algorithm is developed. We demonstrate the finite-sample performance of the estimation in a Monte Carlo simulation.

We discuss a variant, named ‘Rattle’, of the product replacement algorithm. Rattle is a Markov chain, that returns a random element of a black box group. The limiting distribution of the element returned is the uniform distribution. We prove that, if the generating sequence is long enough, the probability distribution of the element returned converges unexpectedly quickly to the uniform distribution.

The Minkowski functionals, including the Euler characteristic statistics, are standard tools for morphological analysis in cosmology. Motivated by cosmic research, we examine the Minkowski functional of the excursion set for an isotropic central limit random field, whose k-point correlation functions (kth-order cumulants) have the same structure as that assumed in cosmic research. Using 3- and 4-point correlation functions, we derive the asymptotic expansions of the Euler characteristic density, which is the building block of the Minkowski functional. The resulting formula reveals the types of non-Gaussianity that cannot be captured by the Minkowski functionals. As an example, we consider an isotropic chi-squared random field and confirm that the asymptotic expansion accurately approximates the true Euler characteristic density.

We consider infinitely wide multi-layer perceptrons (MLPs) which are limits of standard deep feed-forward neural networks. We assume that, for each layer, the weights of an MLP are initialized with independent and identically distributed (i.i.d.) samples from either a light-tailed (finite-variance) or a heavy-tailed distribution in the domain of attraction of a symmetric $\alpha$-stable distribution, where $\alpha\in(0,2]$ may depend on the layer. For the bias terms of the layer, we assume i.i.d. initializations with a symmetric $\alpha$-stable distribution having the same $\alpha$ parameter as that layer. Non-stable heavy-tailed weight distributions are important since they have been empirically seen to emerge in trained deep neural nets such as the ResNet and VGG series, and proven to naturally arise via stochastic gradient descent. The introduction of heavy-tailed weights broadens the class of priors in Bayesian neural networks. In this work we extend a recent result of Favaro, Fortini, and Peluchetti (2020) to show that the vector of pre-activation values at all nodes of a given hidden layer converges in the limit, under a suitable scaling, to a vector of i.i.d. random variables with symmetric $\alpha$-stable distributions, $\alpha\in(0,2]$.

We adapt the classical definition of locally stationary processes in discrete time (see e.g. Dahlhaus, ‘Locally stationary processes’, in Time Series Analysis: Methods and Applications (2012)) to the continuous-time setting and obtain equivalent representations in the time and frequency domains. From this, a unique time-varying spectral density is derived using the Wigner–Ville spectrum. As an example, we investigate time-varying Lévy-driven state space processes, including the class of time-varying Lévy-driven CARMA processes. First, the connection between these two classes of processes is examined. Considering a sequence of time-varying Lévy-driven state space processes, we then give sufficient conditions on the coefficient functions that ensure local stationarity with respect to the given definition.

We establish new results on the strictly stationary solution to an iterated function system. When the driving sequence is stationary and ergodic, though not independent, the strictly stationary solution may admit no moment but we show an exponential control of the trajectories. We exploit these results to prove, under mild conditions, the consistency of the quasi-maximum likelihood estimator of GARCH(p,q) models with non-independent innovations.

The survival energy model (SEM) is a recently introduced novel approach to mortality prediction, which offers a cohort-wise distribution function of the time of death as the first hitting time of a “survival energy” diffusion process to zero. In this study, we propose a novel SEM that can serve as a suitable candidate in the family of prediction models. We also proposed a method to improve the prediction in an earlier work. We further examine the practical advantages of SEM over existing mortality models.

Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises [2], where the infinite-horizon problem is solved. Using a similar argument as that in [24], we show that this optimal prediction problem is equivalent to solving an optimal prediction problem in a finite-horizon setting. Surprisingly (unlike the infinite-horizon problem), an optimal stopping time is based on a curve that is killed at the moment the mean of the exponential time is reached. That is, an optimal stopping time is the first time the process crosses above a non-negative, continuous, and non-increasing curve depending on time. This curve and the value function are characterised as a solution of a system of nonlinear integral equations which can be understood as a generalisation of the free boundary equations (see e.g. [21, Chapter IV.14.1]) in the presence of jumps. As an example, we numerically calculate this curve in the Brownian motion case and for a compound Poisson process with exponential-sized jumps perturbed by a Brownian motion.

In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman–Bucy filter estimates based upon several nonlinear Kalman–Bucy diffusions. Using new conditional bias results for the mean of the aforementioned methods, we analyze the empirical log-scale normalization constants in terms of their $\mathbb{L}_n$ -errors and $\mathbb{L}_n$ -conditional bias. Depending on the type of nonlinear Kalman–Bucy diffusion, we show that these are bounded above by terms such as $\mathsf{C}(n)\left[t^{1/2}/N^{1/2} + t/N\right]$ or $\mathsf{C}(n)/N^{1/2}$ ( $\mathbb{L}_n$ -errors) and $\mathsf{C}(n)\left[t+t^{1/2}\right]/N$ or $\mathsf{C}(n)/N$ ( $\mathbb{L}_n$ -conditional bias), where t is the time horizon, N is the ensemble size, and $\mathsf{C}(n)$ is a constant that depends only on n, not on N or t. Finally, we use these results for online static parameter estimation for the above filtering models and implement the methodology for both linear and nonlinear models.

This paper investigates spatial data on the unit sphere. Traditionally, isotropic Gaussian random fields are considered as the underlying mathematical model of the cosmic microwave background (CMB) data. We discuss the generalized multifractional Brownian motion and its pointwise Hölder exponent on the sphere. The multifractional approach is used to investigate the CMB data from the Planck mission. These data consist of CMB radiation measurements at narrow angles of the sky sphere. The results obtained suggest that the estimated Hölder exponents for different CMB regions do change from location to location. Therefore, the CMB temperature intensities are multifractional. The methodology developed is used to suggest two approaches for detecting regions with anomalies in the cleaned CMB maps.

Suppose that we have a method which estimates the conditional probabilities of some unknown stochastic source and we use it to guess which of the outcomes will happen. We want to make a correct guess as often as it is possible. What estimators are good for this? In this work, we consider estimators given by a familiar notion of universal coding for stationary ergodic measures, while working in the framework of algorithmic randomness, i.e., we are particularly interested in prediction of Martin-Löf random points. We outline the general theory and exhibit some counterexamples. Completing a result of Ryabko from 2009 we also show that universal probability measure in the sense of universal coding induces a universal predictor in the prequential sense. Surprisingly, this implication holds true provided the universal measure does not ascribe too low conditional probabilities to individual symbols. As an example, we show that the Prediction by Partial Matching (PPM) measure satisfies this requirement with a large reserve.

For a determinantal point process (DPP) X with a kernel K whose spectrum is strictly less than one, André Goldman has established a coupling to its reduced Palm process $X^u$ at a point u with $K(u,u)>0$ so that, almost surely, $X^u$ is obtained by removing a finite number of points from X. We sharpen this result, assuming weaker conditions and establishing that $X^u$ can be obtained by removing at most one point from X, where we specify the distribution of the difference $\xi_u: = X\setminus X^u$. This is used to discuss the degree of repulsiveness in DPPs in terms of $\xi_u$, including Ginibre point processes and other specific parametric models for DPPs.

We consider the optimal prediction problem of stopping a spectrally negative Lévy process as close as possible to a given distance $b \geq 0$ from its ultimate supremum, under a squared-error penalty function. Under some mild conditions, the solution is fully and explicitly characterised in terms of scale functions. We find that the solution has an interesting non-trivial structure: if b is larger than a certain threshold then it is optimal to stop as soon as the difference between the running supremum and the position of the process exceeds a certain level (less than b), while if b is smaller than this threshold then it is optimal to stop immediately (independent of the running supremum and position of the process). We also present some examples.