This paper studies the residual empirical process of longand short-memory time series regression models and establishes its uniform expansion under a general framework. The results are applied to the stochastic regression models and unstable autoregressive models. For the long-memory noise, it is shown that the limit distribution of the Kolmogorov–Smirnov test statistic studied in Ho and Hsing ...

In this paper, we examine for long memory dynamics in the daily and weekly exchange rates of six Asia Pacific countries: Australia, Japan, New Zealand, Singapore, South Korea and Taiwan. Three semiparametric frequency domain estimators and the exact maximum likelihood estimator are used. Estimation results reveal strong evidence of long memory in the weekly exchange rate series for all six coun...

in this paper, we intend to solve special kind of ordinary differential equations which is called heun equations, by converting to a corresponding stochastic differential equation(s.d.e.). so, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this s.d.e. is solved by numerically methods. mo...

it is known that a stochastic dierential equation (sde) induces two probabilisticobjects, namely a diusion process and a stochastic ow. while the diusion process isdetermined by the innitesimal mean and variance given by the coecients of the sde,this is not the case for the stochastic ow induced by the sde. in order to characterize thestochastic ow uniquely the innitesimal covariance give...

in the present article, we focus on the numerical approximation of stochastic partial differential equations of itˆo type with space-time white noise process, in particular, parabolic equations. for each case of additive andmultiplicative noise, the numerical solution of stochastic diffusion equations is approximated using two stochastic finite difference schemes and the stability and consisten...

We consider a new class of non Markovian processes with a countable number of interacting components, both in discrete and continuous time. Each component is represented by a point process indicating if it has a spike or not at a given time. The system evolves as follows. For each component, the rate (in continuous time) or the probability (in discrete time) of having a spike depends on the ent...

We continue our study of burn-off chip-firing games on graphs initiated in [Discrete Math. Theor. Comput. Sci. 15 (2013), no. 1, 121–132]. Here we introduce randomness by choosing each successive seed uniformly from among all possible nodes. The resulting stochastic process—a Markov chain (Xn)n≥0 with state space the set R of relaxed legal chip configurations C : V → N on a connected graph G = ...