Results 61 to 70 of about 83,569 (221)
Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Accelerating MCMC via Parallel Predictive Prefetching [PDF]
, 2014 We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential future steps of ...
Adams, Ryan P. +4 more
core
A goodness‐of‐fit test for regression models with discrete outcomes
Canadian Journal of Statistics, EarlyView.Abstract Regression models are often used to analyze discrete outcomes, but classical goodness‐of‐fit tests such as those based on the deviance or Pearson's statistic can be misleading or have little power in this context. To address this issue, we propose a new test, inspired by the work of Czado et al.
Lu Yang +2 more
wiley +1 more source
Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, EarlyView.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source
Contributions to Plasma Physics, EarlyView.ABSTRACT Ab initio path integral Monte Carlo (PIMC) simulations constitute the gold standard for the estimation of a broad range of equilibrium properties of a host of interacting quantum many‐body systems spanning a broad range of conditions from ultracold atoms to warm dense quantum plasmas.
Paul Hamann +2 more
wiley +1 more source
Twenty years of dynamic occupancy models: a review of applications and look to the future
Ecography, EarlyView.Since their introduction over 20 years ago, dynamic occupancy models (DOMs) have become a powerful and flexible framework for estimating species occupancy across space and time while accounting for imperfect detection. As their popularity has increased and extensions have further expanded their capabilities, DOMs have been applied to increasingly ...
Saoirse Kelleher +3 more
wiley +1 more source
Energy Science &Engineering, EarlyView.Schematic diagram showing the proposed approach for EV charging/discharging. ABSTRACT The number of electric vehicles (EVs) on the road is rising as a result of recent advancements in EV technology, and EVs are important to the smart grid economy. Demand response schemes involving electric vehicles have the potential to dramatically reduce the cost of ...
F. Zonuntluanga +6 more
wiley +1 more source
Markov Chain Monte Carlo Technology [PDF]
In the past fifteen years computational statistics has been enriched by a powerful, somewhat abstract method of generating variates from a target probability distribution that is based on Markov chains whose stationary distribution is the probability ...
Chib, Siddhartha
core
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, EarlyView.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
Industry Portfolio Volatility Connections and Industry Portfolio Returns
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper tracks dynamic connections that form among daily US industry portfolio return volatilities using a Bayesian time‐varying parameter VAR model. Market participants often focus on sectors to filter vast amounts of information, and this focus results in cross‐industry return predictability. We characterise connections that form over the
Michael Ellington +2 more
wiley +1 more source