Results 101 to 110 of about 9,177 (234)
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
Sequential Outlier Detection in Nonstationary Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT A novel method for sequential outlier detection in nonstationary time series is proposed. The method tests the null hypothesis of “no outlier” at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme‐value theory. The asymptotic properties of the test statistic are studied
Florian Heinrichs +2 more
wiley +1 more source
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
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
Parents Develop Long‐Term Disgust Habituation, but Only After Beginning to Wean Their Children
Scandinavian Journal of Psychology, EarlyView.ABSTRACT Disgust helps humans avoid potentially pathogenic substances such as bodily effluvia. This reduces illness risks and is difficult to overcome with cognitive strategies or through short‐term habituation (minutes to hours). Whether long‐term habituation (months to years) exists is an unsolved question.
Yifan Huang +4 more
wiley +1 more source
Computational analysis to assess hemodynamic forces in descending thoracic aortic aneurysms
The Journal of Physiology, EarlyView.Abstract figure legend Left: Pre‐processing. First, we perform the segmentation of the Computer Tomography angiorgraphy (angio‐CT) scans of a healthy patient, obtaining the surface of a healthy thoracic aorta with a Type III aortic arch. Then, we build nine ideal configurations with Descending Thoracic Aortic Aneurysm (DTAA), varying the aortic arch ...
Francesca Duca +7 more
wiley +1 more source
Mild and classical solutions to fractional Cauchy problem on time scales. [PDF]
HeliyonAl-Omari A, Al-Saadi H.
europepmc +1 more source