Results 31 to 40 of about 504 (127)
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
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
Chaotic Behaviour on Invariant Sets of Linear Operators
, 2015 We study hypercyclicity, Devaney chaos, topological mixing properties and strong mixing in the measure-theoretic sense for operators on topological vector spaces with invariant sets.
Murillo Arcila, Marina +1 more
core +1 more source
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
Linear transfers, Kantorovich operators, and their ergodic properties
, 2020 In this work, we introduce and study a class of convex functionals on pairs of probability measures, the linear transfers, which have a structure that com- monly arises in the dual formulations of many well-studied variational prob- lems. We show that
Bowles, Malcolm
core
Transience and non-explosion of certain stochastic Newtonian systems [PDF]
, 2002 We give sufficient conditions for non-explosion and transience of the solution (xt,pt) (in dimensions >= 3) to a stochastic Newtonian system of the form { dxdt = ptdt dpt = -δV(xt)/δx dt - δc(xt)/δx dξt where {ξt}t>=0 is a d-dimensional Lévy process,
Kolokoltsov, V. N. (Vasiliĭ Nikitich) +2 more
core
Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
Power bounded composition operators on spaces of analytic functions [PDF]
, 2010 We study the dynamical behaviour of composition operators defined on spaces of real analytic functions. We characterize when such operators are power bounded, i.e. when the orbits of all the elements are bounded. In this case this condition is equivalent
José Bonet +3 more
core +1 more source
Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting
Journal of Time Series Analysis, EarlyView.ABSTRACT Estimating the periodicity of a stationary time series via fitting a second‐order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule (1927). We investigate properties of this procedure when applied to general stationary processes possessing a spectral density with a dominant peak at some unknown frequency ...
Jens‐Peter Kreiss +2 more
wiley +1 more source
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