Herein we obtain several almost sure and Lp convergence properties of generalized linear processes. When the generalized linear process is generated by an orthonormal Sp system (which includes the classical i.i.d. white noise, Lp bounded martingale difference sequences and weakly multiplicative...

Multivariate self-normalized processes, for which self-normalization consists of multiplying by the inverse of a positive definite matrix (instead of dividing by a positive random variable as in the scalar case), are ubiquitous in statistical applications. In this paper we make use of a...

A nonparametric approach is developed herein to estimate parameters in nonlinear mixed effects models. Asymptotic properties of the nonparametric maximum likelihood estimators and associated computational algorithms are provided. Empirical Bayes estimators of functionals of the random effects...

A new ordering scheme for defining quantiles of the multivariate distribution of a stopping time and a stopped stochastic process is introduced. This ordering scheme is used in conjunction with resampling methods to construct confidence intervals for a population mean following a group...

Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Evolution of trading infrastructure -- 1.2 Quantitative strategies and time-scales -- 1.3 Statistical arbitrage and debates about EMH -- 1.4...