Canadian Journal of Statistics, EarlyView.Abstract We establish the consistency and the asymptotic distribution of the least squares estimators of the coefficients of a subset vector autoregressive process with exogenous variables (VARX). Using a martingale central limit theorem, we derive the asymptotic normal distribution of the estimators. Diagnostic checking is discussed using kernel‐based
Pierre Duchesne +2 more
wiley +1 more source
Exact Rovibronic Equivalence of the Adiabatic and Diabatic Representations of $$ N $$ -Coupled State Diatomic Systems. [PDF]
J Comput ChemBrady RP, Yurchenko SN.
europepmc +1 more source
Optimal dividends for a NatCat insurer in the presence of a climate tipping point
Canadian Journal of Statistics, EarlyView.Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher +2 more
wiley +1 more source
Negligible Long-Term Impact of Nonlinear Growth Dynamics on Heterogeneity in Models of Cancer Cell Populations. [PDF]
Bull Math BiolGiaimo S, Shah S, Raatz M, Traulsen A.
europepmc +1 more source
Asymptotic properties of cross‐classified sampling designs
Canadian Journal of Statistics, EarlyView.Abstract We investigate the family of cross‐classified sampling designs across an arbitrary number of dimensions. We introduce a variance decomposition that enables the derivation of general asymptotic properties for these designs and the development of straightforward and asymptotically unbiased variance estimators.
Jean Rubin, Guillaume Chauvet
wiley +1 more source
Stability of Partially Congested Travelling Wave Solutions for the Dissipative Aw-Rascle System. [PDF]
J Math Fluid MechDeléage É, Mehmood MA.
europepmc +1 more source
Asymptotic independence in more than two dimensions and its implications on risk management
Canadian Journal of Statistics, EarlyView.Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley +1 more source
Signpost Testing to Navigate the Parameter Space of the Gaussian Graphical Model With High-Dimensional Data. [PDF]
Biom JRuan K +2 more
europepmc +1 more source
Canadian Journal of Statistics, EarlyView.Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley +1 more source
Poroelasticity derived from the microstructure for intrinsically incompressible constituents. [PDF]
Z Angew Math PhysPenta R +3 more
europepmc +1 more source