Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67-84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes ...
Robust estimation and risk minimisation in stochastic processes represent a central domain in modern statistical research. These methods are designed to ensure that statistical predictions remain ...
Stochastic processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...
This paper considers a local least absolute deviation estimation for unit root processes with generalized autoregressive conditional heteroskedastic (GARCH) errors and derives its asymptotic ...
My research interests are in geometric control theory, stochastic process, optimization, game theory and their applications in large-scale multi-agent systems. Our research group develops novel ...
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