Results 141 to 150 of about 25,546 (258)

Markov Determinantal Point Process for Dynamic Random Sets

Journal of Time Series Analysis, EarlyView.
ABSTRACT The Law of Determinantal Point Process (LDPP) is a flexible parametric family of distributions over random sets defined on a finite state space, or equivalently over multivariate binary variables. The aim of this paper is to introduce Markov processes of random sets within the LDPP framework. We show that, when the pairwise distribution of two
Christian Gouriéroux, Yang Lu
wiley   +1 more source

Multiple Changepoint Detection for Non‐Gaussian Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article combines methods from existing techniques to identify multiple changepoints in non‐Gaussian autocorrelated time series. A transformation is used to convert a Gaussian series into a non‐Gaussian series, enabling penalized likelihood methods to handle non‐Gaussian scenarios.
Robert Lund, Thomas J. Fisher, Norou Diawara, Michael Wehner   +3 more
wiley   +1 more source

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

Copulas in contact: Kriyol, Upper Guinea Creoles, and their substrate

Journal of Ibero-Romance Creoles, 2019
The present paper aims to describe copulas in Kriyol from a semantic-syntactic perspective and to compare them to copulas in the other Upper Guinea Creoles and certain substrate languages.
Chiara Truppi
doaj  

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, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

A Synthetic European Weather Dataset Based on Spatiotemporal Vine Copulas. [PDF]

Sci Data
Claassen JN, Koks EE, de Ruiter MC, Ward PJ, Jäger WS.   +4 more
europepmc   +1 more source

Analyzing Non‐Random Selectivity in Online Job Advertisements Using Eurostat Benchmark Data and Generalized Sample Selection Models: An Application to EU Regional Labor Markets

LABOUR, EarlyView.
ABSTRACT The present paper provides an overall framework to afford the problem of non‐representativeness and non‐random selectivity arising from online job ads data, using Generalized sample selection models and Eurostat benchmark data. We jointly model the outcome intensity (number of online job ads in observed profiles, whose levels are defined by ...
Pietro Giorgio Lovaglio, Mario Mezzanzanica   +1 more
wiley   +1 more source

Hydrological drought dynamic using copula functions and drought center migration in the Ganjiang river basin. [PDF]

Sci Rep
Liu W, Zhang J, Zhou Z, Zhu S, Liu L, Li J.   +5 more
europepmc   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Evaluating the Cauchy combination test for count data. [PDF]

PLoS One
Alsulami H, Liverani S.
europepmc   +1 more source