Results 71 to 80 of about 5,027 (259)

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

On the Hausdorff measure of noncompactness for the parameterized Prokhorov metric

Journal of Inequalities and Applications, 2016
We quantify the Prokhorov theorem by establishing an explicit formula for the Hausdorff measure of noncompactness (HMNC) for the parameterized Prokhorov metric on the set of Borel probability measures on a Polish space.
Ben Berckmoes
doaj   +1 more source

Intersections of Projections and Slicing Theorems for the Isotropic Grassmannian and the Heisenberg group

Analysis and Geometry in Metric Spaces, 2020
This paper studies the Hausdorff dimension of the intersection of isotropic projections of subsets of ℝ2n, as well as dimension of intersections of sets with isotropic planes. It is shown that if A and B are Borel subsets of ℝ2n of dimension greater than
Román-García Fernando
doaj   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

THE USE OF COMPLEXITY HIERARCHIES IN DESCRIPTIVE SET THEORY AND AUTOMATA THEORY

TASK Quarterly, 2005
The concept of a reduction between subsets of a given space is described, giving rise to various complexity hierarchies, studied both in descriptive set theory and in automata theory.
ALESSANDRO ANDRETTA, RICCARDO CAMERLO
doaj  

Hausdorff Outer Measures and the Representation of Coherent Upper Conditional Previsions by the Countably Additive Möbius Transform

Fractal and Fractional
This paper explores coherent upper conditional previsions, a class of nonlinear functionals that generalize expectations while preserving consistency properties.
Serena Doria
doaj   +1 more source

Eigenvalues Associated with Borel Sets

Real Analysis Exchange, 2006
Every Borel subset K of an interval [c, d] induces a sequence of eigenvalues. If K is closed, the asymptotic behavior of the eigenvalues is related to the positions and lengths of its complementary intervals. The rate of growth becomes “lowest possible” if K has self-similarity properties.
openaire   +2 more sources

Testing Distributional Granger Causality With Entropic Optimal Transport

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley   +1 more source

Borel-amenable reducibilities for sets of reals [PDF]

The Journal of Symbolic Logic, 2009
AbstractWe show that if ℱ is any “well-behaved” subset of the Borel functions and we assume the Axiom of Determinacy then the hierarchy of degrees on (ωω) induced by ℱ turns out to look like the Wadge hierarchy (which is the special case where ℱ is the set of continuous functions).
openaire   +6 more sources