Results 41 to 50 of about 504 (127)
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
Likelihood Estimation for Stochastic Differential Equations with Mixed Effects
Scandinavian Journal of Statistics, EarlyView.ABSTRACT Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. When time series are observed for several experimental units, it is often the case that some of the parameters vary between the individual experimental units.
Fernando Baltazar‐Larios +2 more
wiley +1 more source
Dynamical determinants and their applications [PDF]
This thesis is concerned with situations where we can define trace-class transfer oper- ators, and extract useful information from their determinants. The first topic is on Lyapunov exponents of random products of matrices.
Felton, Philip
core
A note about the spectrum of composition operators induced by a rotation [PDF]
, 2020 [EN] A characterization of those points of the unit circle which belong to the spectrum of a composition operator C phi, defined by a rotation phi (z)=rz with |r|=1, on the space H0(D) of all analytic functions which vanish at 0, is given.
Bonet Solves, José Antonio
core +1 more source
Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, Volume 79, Issue 8, Page 1973-2102, August 2026.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source
Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, Volume 40, Issue 3, Page 1672-1686, July 2026.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 +4 more
wiley +1 more source
, 2008 exponent, linear repetitivity, primitive substitution Abstract. We review recent results which relate spectral theory of discrete one-dimensional Schrödinger operators over strictly ergodic systems to uniform existence of the Lyapunov exponent.
Daniel Lenz
core
Abundance of transitive linear operators in infinite dimension.
, 2022 A teoria de Sistemas Dinâmicos estuda o comportamento de fenômenos em um conjunto no decorrer do tempo e se interessa majoritariamente em sistemas com um certo grau de desordem e imprevisibilidade.
Kawahama, Felipe Hikari [UNIFESP]
core
Markov Determinantal Point Process for Dynamic Random Sets
Journal of Time Series Analysis, Volume 47, Issue 4, Page 784-802, July 2026.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
Ergodic theory of nonlinear markov operators with applications in nonlinear consensus problems [PDF]
, 2016 A consensus problem of multi-agent systems has been considered a dual problem to Markov chains. Historically, an idea of reaching consensus through linear repeated averaging was introduced by DeGroot (see [1]) for a structured time-invariant and ...
Saburov, Mansoor
core