Results 81 to 90 of about 94,647 (164)
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
A hypothesis on ergodicity and the signal‐to‐noise paradox
Atmospheric Science LettersThis letter raises the possibility that ergodicity concerns might have some bearing on the signal‐to‐noise paradox. This is explored by applying the ergodic theorem to the theory behind ensemble weather forecasting and the ensemble mean.
Daniel J. Brener
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Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source
Scaling Theory of Fading Ergodicity
Physical Review LettersIn most noninteracting quantum systems, the scaling theory of localization predicts one-parameter scaling flow in both ergodic and localized regimes. A corresponding scaling theory of many-body ergodicity breaking is still missing. Here, we introduce a scaling theory of ergodicity breaking in interacting systems, in which the divergent relaxation time ...
Rafał Świętek +4 more
openaire +3 more sources
On the application of ergodic theory to alternating Engel series
International Journal of Mathematics and Mathematical Sciences, 2001 We investigate the ergodic behaviour of the basic operator which generates the modified Engel-type alternating series representations of any number in (0,1] in terms of rationals.
C. Ganatsiou
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Uniform Convergence of Cesaro Averages for Uniquely Ergodic C*-Dynamical Systems
Entropy, 2018 Consider a uniquely ergodic C * -dynamical system based on a unital *-endomorphism Φ of a C * -algebra. We prove the uniform convergence of Cesaro averages 1 n ∑ k = 0 n − 1 λ − n Φ ...
Francesco Fidaleo
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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
Słabe łamanie ergodyczności vs. determinizm
Zagadnienia Filozoficzne w Nauce, 2015 All physical processes are deterministic de iure. Physicists speak about different types of determinism of physical processes, depending on the degree with which their course can be anticipated.
Andrzej Fuliński
doaj
On the ergodic theory of the real Rel foliation
Forum of Mathematics, PiLet ${{\mathcal {H}}}$ be a stratum of translation surfaces with at least two singularities, let $m_{{{\mathcal {H}}}}$ denote the Masur-Veech measure on ${{\mathcal {H}}}$ , and let $Z_0$ be a flow on $({{\mathcal {H ...
Jon Chaika, Barak Weiss
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Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +3 more
wiley +1 more source