Results 31 to 40 of about 1,140 (171)
On Selection of Cross‐Section Averages in Non‐Stationary Environments
Journal of Time Series Analysis, EarlyView.ABSTRACT Information criteria (ICs) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that ICs perform well in Common Correlated Effects (CCE) and related settings when selecting a set of cross‐section averages (CAs) sufficient for the factor space under stationary factors.
Jan Ditzen, Ovidijus Stauskas
wiley +1 more source
, 1994 A permutation lattice for a finite group G is a free Z-module with a finite basis which is permuted by G; direct summands of these, as ZG-module, are the lattices of the title.
Weiss, A., Wang, X.Y.
core +1 more source
A Note on Local Polynomial Regression for Time Series in Banach Spaces
Journal of Time Series Analysis, EarlyView.ABSTRACT This work extends local polynomial regression to Banach space‐valued time series for estimating smoothly varying means and their derivatives in non‐stationary data. The asymptotic properties of both the standard and bias‐reduced Jackknife estimators are analyzed under mild moment conditions, establishing their convergence rates.
Florian Heinrichs
wiley +1 more source
Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +1 more source
The Natural Components of a Regular Linear System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT The analysis of a finite‐dimensional regular linear system may be simplified by separating the system into its natural components. The natural components are smaller linear systems on separate subspaces whose dimensions sum to the dimension of the original linear system.
Brendan K. Beare, Phil Howlett
wiley +1 more source
MODULES WHOSE CERTAIN SUBMODULES ARE ESSENTIALLY EMBEDDED IN DIRECT SUMMANDS
, 2016 It is well known that, if the ring has acc on essential right ideals, then for every quasi-continuous module over the ring, the finite exchange property implies the full exchange property.
TERCAN, ADNAN, KARA, YELİZ
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Bernstein-Sato functional equations, V-filtrations, and multiplier ideals of direct summands [PDF]
, 2019 This paper investigates the existence and properties of a Bernstein– Sato functional equation in nonregular settings. In particular, we construct D-modules in which such formal equations can be studied.
Álvarez Montaner, Josep +2 more
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Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley +1 more source
Repelled Point Processes With Application to Numerical Integration
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat +3 more
wiley +1 more source
Modules whose h-closed submodules are direct summands
, 2020 This paper is based on the class of modules whose h-closed submodules are direct summands. We introduce and investigate the structural properties for the former class of modules and we elaborate our results with lifting ...
Kara, Yeliz
core