Showing math.STShow all
2 papers · 1 filter
math.ST2025
Tail Index Estimation for Discrete Heavy-Tailed Distributions
Patrice Bertail, Stephan Clémençon, Carlos Fernández
It is the purpose of this paper to investigate the issue of estimating the regularity index of a discrete heavy-tailed r.v. , \textit{i.e.} a r.v. valued in $\mathbb{…
math.ST2024
Harris recurrent Markov chains and nonlinear monotone cointegrated models
Patrice Bertail, Cécile Durot, Carlos Fernández
In this paper, we study a nonlinear cointegration-type model of the form \(Z_t = f_0(X_t) + W_t\) where \(f_0\) is a monotone function and \(X_t\) is a Harris recurrent Markov chai…