Results 121 to 130 of about 7,683 (263)
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 +2 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
On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)
Journal of Time Series Analysis, EarlyView.ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley +1 more source
Revista Colombiana de Estadística, 2011 En riesgos competitivos, el problema de identificabilidad asociado a la dependencia entre los modos de falla, se puede resolver utilizando el estimador cópula-gráfico que asume la forma de la cópula conocida.
SERGIO YÁÑEZ +3 more
doaj
Animal Logic: Locke and the Nature of Inference
Noûs, EarlyView.ABSTRACT Can animals reason? If so, what would their reasoning consist in, and how, if at all, would it differ from its human counterpart? On these questions, John Locke stakes out a position that also merits consideration today. I argue that, for Locke, reasoning is a matter of the subject's construing her mental states as support for a conclusion ...
Walter Ott
wiley +1 more source
Assessing the Effectiveness of Workers' Selection Exams: The Case of the Bank of Italy
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT High‐stakes exams can be used to rank and select candidates for job openings, and the ability of those selected hinges on the design of the exam. I propose a method to model candidates' performance to assess how effective the exam is at selecting high‐ability candidates.
Santiago Pereda‐Fernández
wiley +1 more source
Data-Driven Chance Constrained Mixed Integer Nonlinear Bilevel Optimization via Copulas. [PDF]
Ind Eng Chem ResJohnn SN +5 more
europepmc +1 more source
Toxic utopia: Unseen ideology and “Le Politique” in China Miéville's The City & The City
Orbis Litterarum, EarlyView.Abstract What if ideology were not just hidden—but aesthetic? This article reads China Miéville's The City & The City not as a metaphor for division, but as a speculative blueprint for how politics operates through enforced invisibility. By threading Derrida's Absolute Other and Rancière's le politique through Miéville's uncanny urban layering, we ...
Bo Kampmann Walther, Rune Graulund
wiley +1 more source
Copulas for Covariate Simulation in Pharmacometrics. [PDF]
CPT Pharmacometrics Syst PharmacolGuo Y, Guo T, van Hasselt JGC, Zwep LB.
europepmc +1 more source