Jeannette H. C. Woerner

collaborators

7 papers

math.PR2020

Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions

Michael Voit, Jeannette H. C. Woerner

We study Bessel and Dunkl processes $(X_{t, k})_{t \geq 0}$ on $R^{N}$ with possibly multivariate coupling constants $k \geq 0$ . These processes describe interacting particle system…

math.PR2020

Martingale estimation functions for Bessel processes

Nicole Hufnagel, Jeannette H. C. Woerner

In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel p…

math.CA2019

The differential equations associated with Calogero-Moser-Sutherland particle models in the freezing regime

Michael Voit, Jeannette H. C. Woerner

Multivariate Bessel processes describe Calogero-Moser-Sutherland particle models and are related with $β$ -Hermite and $β$ -Laguerre ensembles. They depend on a root system and a mul…

math.PR2019

Some martingales associated with multivariate Bessel processes

Miklos Kornyik, Michael Voit, Jeannette H. C. Woerner

We study Bessel processes on Weyl chambers of types A and B on $R^{N}$ . Using elementary symmetric functions, we present several space-time-harmonic functions and thus martin…

math.ST2019

Ordinal Patterns in Long-Range Dependent Time Series

Annika Betken, Jannis Buchsteiner, Herold Dehling +3

We analyze the ordinal structure of long-range dependent time series. To this end, we use so called ordinal patterns which describe the relative position of consecutive data points…

math.PR2019

Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case

Radomyra Shevchenko, Jeannette H. C. Woerner

In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stocha…