2 citations · 2 across the 3 of their papers we have counts for
5 papers
Vector autoregression models with skewness and heavy tails
Sune Karlsson, Stepan Mazur, Hoang Nguyen
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence t…
Estimation of the linear fractional stable motion
Stepan Mazur, Dmitry Otryakhin, Mark Podolskij
In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a…
Discriminant analysis in small and large dimensions
Taras Bodnar, Stepan Mazur, Edward Ngailo +1
We study the distributional properties of the linear discriminant function under the assumption of normality by comparing two groups with the same covariance matrix but different m…
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
Taras Bodnar, Stepan Mazur, Stanislas Muhinyuza +1
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product,…
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Taras Bodnar, Stepan Mazur, Nestor Parolya
In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of ob…