3 citations · 6 across the 14 of their papers we have counts for
16 papers
Statistical inference based on band-limited kernels: Rational-infinitely divisible distributions and beyond
Vladimir Panov, Anton Ryabchenko
This paper investigates the problem of statistical inference for a mixture distribution consisting of a discrete and a continuous component, with a particular focus on the class of…
Decompounding Under General Mixing Distributions
Denis Belomestny, Ekaterina Morozova, Vladimir Panov
This study focuses on statistical inference for compound models of the form , where is a random variable denoting the count of summands, which are independent…
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…
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…
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…
Extremes of Gaussian non-stationary processes and maximal deviation of projection density estimates
Valentin Konakov, Vladimir Panov, Vladimir Piterbarg
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribut…
Limit Theorems for the Alloy-type Random Energy Model
Stanislav Molchanov, Vladimir Panov
In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. Mo…
Multivariate subordination of stable processes
V. Panov, E. Samarin
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical ti…
Semiparametric estimation in the normal variance-mean mixture model
Denis Belomestny, Vladimir Panov
In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popula…
Limit theorems for sums of random variables with mixture distribution
Vladimir Panov
In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the ca…
Statistical inference for moving-average Lévy-driven processes: Fourier-based approach
Denis Belomestny, Tatiana Orlova, Vladimir Panov
We consider a new method of the semiparametric statistical estimation for the continuous-time moving average Lévy processes. We derive the convergence rates of the proposed estimat…
Low frequency estimation of continuous-time moving average Lévy processes
Denis Belomestny, Vladimir Panov, Jeannette Woerner
In this paper we study the problem of statistical inference for a continuous-time moving average Lévy process of the form $$Z_{t} = \int_{\mathbb{R}}\mathcal{K}(t-s)\, dL_{s},\quad…
Statistical inference for generalized Ornstein-Uhlenbeck processes
Denis Belomestny, Vladimir Panov
In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type \[ X_{t} = e^{-ξ_{t}} \left( X_{0} + \int_{0}^{t} e^{ξ_{u-}…
Series representations for bivariate time-changed L{é}vy models
Vladimir Panov, Igor Sirotkin
In this paper, we analyze a L{é}vy model based on two popular concepts - subordination and L{é}vy copulas. More precisely, we consider a two-dimensional L{é}vy process such that ea…
Convergence rates of maximal deviation distribution for projection estimates of Lévy densities
Valentin Konakov, Vladimir Panov
In this paper, we consider projection estimates for Lévy densities in high-frequency setup. We give a unified treatment for different sets of basis functions and focus on the asymp…
Statistical inference for exponential functionals of Lévy processes
Denis Belomestny, Vladimir Panov
In this paper, we consider the exponential functional \(A_{\infty}=\int_0^\infty e^{-ξ_s}ds\) of a L{é}vy process \(ξ_s\) and aim to estimate the characteristics of \(ξ_{s}\) from…