Results 151 to 160 of about 1,589,926 (279)
Mixing It Up: Inflation at Risk
Journal of Money, Credit and Banking, EarlyView.Abstract Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that decomposes distributional risk forecasts of macro‐economic variables into underlying contributions and supports the construction of interpretable risk measures.
MAXIMILIAN SCHRÖDER
wiley +1 more source
Most Stringent Test for Location Parameter of a Random Number from Cauchy Density [PDF]
We study the test for location parameter of a random number from Cauchy density, focusing on point optimal tests. We develop analytical technique to compute critical values and power curve of a point optimal test. We study the power properties of various
Zaman, Asad +1 more
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Hyperspectral tomographic diffractive microscopy: Development and applications
Journal of Microscopy, EarlyView.Abstract Tomographic Diffractive Microscopy (TDM) provides label‐free three‐dimensional imaging of transparent samples with resolution surpassing confocal limits. At IRIMAS, successive instrumental developments since 2009 have enhanced TDM capabilities through transmission, reflection, isotropic, polarisation‐sensitive, and dual‐view configurations ...
Leonardo Pestana Legori +4 more
wiley +1 more source
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
Cauchy-egyenletek a közgazdaságtanban
, 2010 Cauchy-egyenletek matematikai vizsgálata és alkalmazása a közgazdaságtanban.gjalkalmazott matematikusrégi ...
Weinémer, Andrea
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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
Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
"Empirical characteristic function approach to goodness-of-fit tests for the Cauchy distribution with parameters estimated by MLE or EISE" [PDF]
We consider goodness-of-fit tests of Cauchy distribution based on weighted integrals of the squared distance of the difference between the empirical characteristic function of the standardized data and the characteristic function of the standard Cauchy ...
Akimichi Takemura, Muneya Matsui
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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