Lithuanian Mathematical Journal 

About: Lithuanian Mathematical Journal is an academic journal published by Springer Science+Business Media. The journal publishes majorly in the area(s): Ordinary differential equation & Number theory. It has an ISSN identifier of 0363-1672. Over the lifetime, 2183 publications have been published receiving 9849 citations.

Detection of multiple change-points in multivariate time series

Abstract: We consider the multiple change-point problem for multivariate time series, including strongly dependent processes, with an unknown number of change-points. We assume that the covariance structure of the series changes abruptly at some unknown common change-point times. The proposed adaptive method is able to detect changes in multivariate i.i.d., weakly and strongly dependent series. This adaptive method outperforms the Schwarz criteria, mainly for the case of weakly dependent data. We consider applications to multivariate series of daily stock indices returns and series generated by an artificial financial market.

Certificateless signature and proxy signature schemes from bilinear pairings

Abstract: Due to avoiding the inherent escrow of identity-based cryptography and yet not requiring certificates to guarantee the authenticity of public keys, certificateless public key cryptography has received a significant attention. Due to various applications of bilinear pairings in cryptography, numerous pairing-based encryption schemes, signature schemes, and other cryptographic primitives have been proposed. In this paper, a new certificateless signature scheme based on bilinear pairings is presented. The signing algorithm of the proposed scheme is very simple and does not require any pairing computation. Combining our signature scheme with certificateless public key cryptography yields a complete solution of certificateless public key system. As an application of the proposed signature scheme, a certificateless proxy signature scheme is also presented. We analyze both schemes from security point of view.

A generalized fractionally differencing approach in long-memory modeling

Abstract: We extend the class of fractional ARIMA models to the class of fractional ARUMA models, which describe long-memory time series with long-range periodical behavior at a finite number of spectrum frequencies. The exact asymptotics of the covariance function and the spectrum at the points of peaks and zeros are given. To obtain asymptotic expansions, Gegenbauer polynomials are used. Consistent parameter estimation is discussed using Whittle's estimate.

Zones of attraction of self-similar multiple integrals

Abstract: ZONES OF ATTRACTION OF SELF-SIMILAR MULTIPLE INTEGRALS D. Surgailis UDC 519.21 The goal of this paper is the proof of the theorem announced in [20]. Here we consider the "multidimensional case," i.e., convergence to self-similar fields. We give a short survey of the separate sections. In Sec. 1 the concepts needed are formulated as well as the basic result of the paper (Theorem i). The connection of this theorem with the result of Dobrushin-Major [8] is discussed as well as some similar questions. In Sec. 2 the term making the basic contribution to the distribution of the sums considered is isolated. Here we explain the idea of the following proof, which is broken up into several lemmas, and their formulations are given. The proofs of these lemmas (except for Lemma 5) are carried out to section 3. In section 4 there is proved a lemma (Lemma 1 of [20]) on the convergence with respect to distribution of "discrete multiple integrals" to "continuous" integrals of Ito-- Wiener. With the help of this lemma, the remaining Lemma 5 is proved. i. Notation for what follows: R d is d-dimensional Euclidean space, x.y, ]xl are respectively the scalar product and norm in R d, Z d is the integer-valued d-dimensional lattice. We shall write

Processes of Meixner type

Abstract: Canonical form, self-decomposability, and the Esscher transforms of Meixner processes are discussed. Mixed Meixner processes are defined and characterized as Markov processes or semimartingales. Ornstein-Uhlenbeck and selfsimilar processes of Meixner type are also described.