Results 131 to 140 of about 250,497 (280)
Truncated polynomial algebras over the Steenrod algebra
Publicacions Matemàtiques, 1990 It is shown that the classification of polynomial algebras over the mod p Steenrod algebra is an essentially different problem from the classification of polynomial algebras truncated at height greater than p over the Steenrod algebra.
openaire +5 more sources
Goodness‐of‐Fit Tests for Positive Quadrant Dependence
International Statistical Review, EarlyView.Summary When two random variables are positive quadrant dependent (PQD), they are more likely to assume small (or large) values simultaneously compared with when the random variables are independent. This dependence structure is of interest in many areas, including finance, actuarial science and engineering.
Chuan‐Fa Tang, Joshua M. Tebbs
wiley +1 more source
A Note on Local Polynomial Regression for Time Series in Banach Spaces
Journal of Time Series Analysis, EarlyView.ABSTRACT This work extends local polynomial regression to Banach space‐valued time series for estimating smoothly varying means and their derivatives in non‐stationary data. The asymptotic properties of both the standard and bias‐reduced Jackknife estimators are analyzed under mild moment conditions, establishing their convergence rates.
Florian Heinrichs
wiley +1 more source
Polynomial algebras over the Steenrod algebra
Commentarii Mathematici Helvetici, 1990 Campbell, H.E.A., Selick, P.S.
openaire +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
The Natural Components of a Regular Linear System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT The analysis of a finite‐dimensional regular linear system may be simplified by separating the system into its natural components. The natural components are smaller linear systems on separate subspaces whose dimensions sum to the dimension of the original linear system.
Brendan K. Beare, Phil Howlett
wiley +1 more source
The Mathematical History Behind the Granger–Johansen Representation Theorem
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When can a vector time series that is integrated once (i.e., becomes stationary after taking first differences) be described in error correction form? The answer to this is provided by the Granger–Johansen representation theorem. From a mathematical point of view, the theorem can be viewed as essentially a statement concerning the geometry of ...
Johannes M. Schumacher
wiley +1 more source
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley +1 more source
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
Repelled Point Processes With Application to Numerical Integration
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat +3 more
wiley +1 more source