Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index

In this paper, we studied the particular cases of higher-order realized multipower variation process, their asymptotic properties comprising the probability limits and limit distributions were highlighted. The respective asymptotic variances of the limit distributions were obtained and jump detection models were developed from the asymptotic results. The models were obtained from the particular cases of the higher-order of the realized multipower variation process, in a class of continuous stochastic volatility semimartingale process. These are extensions of the method of jump detection by Barndorff-Nielsen and Shephard (2006), for large discrete data. An Empirical Application of the models to the Nigerian All Share Index (NASI) data shows that the models are robust to jumps and suggest that stochastic models with added jump components will give a better representation of the NASI price process.

Nonparametric Estimation of the Ruin Probability in the Classical Compound Poisson Risk Model

In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density of the sizes of claims. We propose a nonparametric estimation approach which does not involve smoothing and thus is free of the bandwidth choice. Compared with the Fourier-transformation-based estimators, our estimators have simpler forms and thus are easier to calculate. We establish asymptotic distributions of our estimators, which allows us to consistently estimate the asymptotic variances of our estimators with the plug-in principle and enables interval estimates of the ruin probability.

Large-sample asymptotics of the pseudo-marginal method

Summary The pseudo-marginal algorithm is a variant of the Metropolis–Hastings algorithm which samples asymptotically from a probability distribution when it is only possible to estimate unbiasedly an unnormalized version of its density. Practically, one has to trade off the computational resources used to obtain this estimator against the asymptotic variances of the ergodic averages obtained by the pseudo-marginal algorithm. Recent works on optimizing this trade-off rely on some strong assumptions, which can cast doubts over their practical relevance. In particular, they all assume that the distribution of the difference between the log-density, and its estimate is independent of the parameter value at which it is evaluated. Under regularity conditions we show that as the number of data points tends to infinity, a space-rescaled version of the pseudo-marginal chain converges weakly to another pseudo-marginal chain for which this assumption indeed holds. A study of this limiting chain allows us to provide parameter dimension-dependent guidelines on how to optimally scale a normal random walk proposal, and the number of Monte Carlo samples for the pseudo-marginal method in the large-sample regime. These findings complement and validate currently available results.

Asymptotic Performances of a Signal-To-Noise Ratio Moment-Based Estimator for Real Sinusoids in Additive Noise

We considered the problem of the estimation of signal-to-noise ratio (SNR) with a real deterministic sinusoid with unknown frequency, phase and amplitude in additive Gaussian noise of unknown variance. A blind SNR estimator that does not require the knowledge of the instantaneous frequency of the sinusoid, through separate estimation of signal and noise power, was derived using the method of moments, a general method to derive estimators based on high-order moments. Statistical performances of the proposed estimators were studied theoretically through derivation of Cramer–Rao lower bounds (CRLBs) and asymptotic variances. Furthermore, results from Monte-Carlo simulations that confirm the validity of the theoretical analysis are presented along with some comments on the use of proposed estimators in practical applications.

Correlation formulas for Markovian network processes in a random environment

We consider Markov processes, which describe, e.g. queueing network processes, in a random environment which influences the network by determining random breakdown of nodes, and the necessity of repair thereafter. Starting from an explicit steady-state distribution of product form available in the literature, we note that this steady-state distribution does not provide information about the correlation structure in time and space (over nodes). We study this correlation structure via one-step correlations for the queueing-environment process. Although formulas for absolute values of these correlations are complicated, the differences of correlations of related networks are simple and have a nice structure. We therefore compare two networks in a random environment having the same invariant distribution, and focus on the time behaviour of the processes when in such a network the environment changes or the rules for travelling are perturbed. Evaluating the comparison formulas we compare spectral gaps and asymptotic variances of related processes.