The objective of this paper is to study the large time asymptotic of the following exponential moment: Exexp{±∫0tV(X(s))ds}, where {X(s)} is a d-dimensional Ornstein–Uhlenbeck process and {V(x)}x∈Rd is a homogeneous ergodic random Poisson potential. It turns out that the positive/negative...

In the spiked population model introduced by Johnstone (2001) [11], the population covariance matrix has all its eigenvalues equal to unit except for a few fixed eigenvalues (spikes). The question is to quantify the effect of the perturbation caused by the spike eigenvalues. Baik and Silverstein...

An approach is proposed for initializing the expectation–maximization (EM) algorithm in multivariate Gaussian mixture models with an unknown number of components. As the EM algorithm is often sensitive to the choice of the initial parameter vector, efficient initialization is an important...

The sandwich algorithm (SA) is an alternative to the data augmentation (DA) algorithm that uses an extra simulation step at each iteration. In this paper, we show that the sandwich algorithm always converges at least as fast as the DA algorithm, in the Markov operator norm sense. We also...

This paper analyzes the private provision of public goods where consumers interact within a fixed network structure and may benefit only from their direct neighbors' provisions. We present a proof for existence and uniqueness of a Nash equilibrium with general best-reply functions. Our...