3 papers
stat.ME2022
Statistical Inference for Scale Mixture Models via Mellin Transform Approach
Denis Belomestny, Ekaterina Morozova, Vladimir Panov
This paper deals with statistical inference for the scale mixture models. We study an estimation approach based on the Mellin -- Stieltjes transform that can be applied to both dis…
q-fin.ST2022
Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes
Ekaterina Morozova, Vladimir Panov
In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy proc…
math.ST2021
Extreme value analysis for mixture models with heavy-tailed impurity
Vladimir Panov, Ekaterina Morozova
This paper deals with the extreme value analysis for the triangular arrays, which appear when some parameters of the mixture model vary as the number of observations grow. When the…