Results 61 to 70 of about 97,220 (201)

Econometrics at the Extreme: From Quantile Regression to QFAVAR1

Journal of Economic Surveys, EarlyView.
ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte, Konstantinos N. Konstantakis, Dimitris Konstantios, Panayotis G. Michaelides, Arsenios‐Georgios N. Prelorentzos   +4 more
wiley   +1 more source

Uniformly ergodic theorem for commuting multioperators

Electronic Journal of Differential Equations, 2006
In this paper, we established some uniformly Ergodic theorems by using multioperators satisfying the E-k condition introduce in [3]. One consequence, is that if $I-T$ is quasi-Fredholm and satisfies E-k condition then $T$ is uniformly ergodic.
Samir Lahrech, Abderrahim Mbarki, Abdelmalek Ouahab, Said Rais   +3 more
doaj  

On the exchange of intersection and supremum of sigma-fields in filtering theory

, 2011
We construct a stationary Markov process with trivial tail sigma-field and a nondegenerate observation process such that the corresponding nonlinear filtering process is not uniquely ergodic. This settles in the negative a conjecture of the author in the
A. Budhiraja, A. J. Majda, B. Weiss, D. S. Ornstein, F. Hollander den, H. Kesten, H. Kunita, H. Matzinger, H. Totoki, H. Weizsäcker von, I. Crimaldi, I. Meilijson, J. Brossard, L. Chaumont, M. Rahe, M. Smorodinsky, M. Yor, M. Émery, O. Cappé, P. A. Meyer, P. Baxendale, P. Chigansky, P. Masani, R. Handel van, R. Handel van, R. Handel van, Ramon van Handel, S. A. Kalikow, S. Laurent, S. Meyn, V. A. Volkonskii, Ya. G. Sinai   +31 more
core   +1 more source

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

Z^d-actions with prescribed topological and ergodic properties

, 2010
We extend constructions of Hahn-Katznelson and Pavlov to Z^d-actions on symbolic dynamical spaces with prescribed topological and ergodic properties.
Bergelson, YURI LIMA
core   +1 more source

Tests for Changes in Count Time Series Models With Exogenous Covariates

Journal of Time Series Analysis, EarlyView.
ABSTRACT We deal with a parametric change in models for count time series with exogenous covariates specified via the conditional distribution, i.e., with integer generalized autoregressive conditional heteroscedastic models with covariates (INGARCH‐X).
Šárka Hudecová, Marie Hušková
wiley   +1 more source

On Exponential‐Family INGARCH Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT A range of integer‐valued generalised autoregressive conditional heteroscedastic (INGARCH) models have been proposed in the literature, including those based on conditional Poisson, negative binomial and Conway‐Maxwell‐Poisson distributions. This note considers a larger class of exponential‐family INGARCH models, showing that maximum empirical
Alan Huang, Thomas Fung, Kyle Macaskill, Rowan Aukes   +3 more
wiley   +1 more source

Time‐Varying Dispersion Integer‐Valued GARCH Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza, Luiza S. C. Piancastelli, Konstantinos Fokianos, Hernando Ombao   +3 more
wiley   +1 more source

Impact of Imperfect Angle Estimation on Spatial and Directional Modulation

IEEE Access, 2020
In this paper, we investigate the impact of imperfect angle estimation (IAE) on spatial and directional modulation (SDM) systems, assuming that the signal experiences line of sight (LoS) propagation.
Hongyan Zhang, Yue Xiao, Yanping Xiao, Wei Xiang   +3 more
doaj   +1 more source

Estimation of Change Points for Non‐Linear (Auto‐)Regressive Processes Using Neural Network Functions

Journal of Time Series Analysis, EarlyView.
ABSTRACT In this paper, we propose a new test for the detection of a change in a non‐linear (auto‐)regressive time series as well as a corresponding estimator for the unknown time point of the change. To this end, we consider an at‐most‐one‐change model and approximate the unknown (auto‐)regression function by a neural network with one hidden layer. It
Claudia Kirch, Stefanie Schwaar
wiley   +1 more source