Victor Korolev

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We investigate a class of exponentially weakly ergodic inhomogeneous birth and death processes. We consider special transformations of the reduced intensity matrix of the process and obtain uniform (in time) error bounds of truncations. Our approach also guarantees that we can find limiting characteristics approximately with an arbitrarily fixed error. As(More)
We describe an algorithm to forecast financial risks using parametrized models of normal variance-mean mixtures. The proposed method takes a set of vectors as the input, containing a fixed number of the distribution parameters – the final result of the modified two-step grid-based decomposition algorithm applied to a moving time window. In this article we(More)
In the paper, we discuss the transformation of the asymptotic expansion for the distribution of a statistic admitting Edgeworth expansion if the sample size is replaced by a random variable.We demonstrate that all those statistics that are regarded as asymptotically normal in the classical sense, become asymptotically Laplace or Student if the sample size(More)