Results 21 to 30 of about 6,700 (112)
On Integral Priors for Multiple Comparison in Bayesian Model Selection
International Statistical Review, EarlyView.Summary Noninformative priors constructed for estimation purposes are usually not appropriate for model selection and testing. The methodology of integral priors was developed to get prior distributions for Bayesian model selection when comparing two models, modifying initial improper reference priors. We propose a generalisation of this methodology to
Diego Salmerón +2 more
wiley +1 more source
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 +4 more
wiley +1 more source
Nonlinearity and Temporal Dependence [PDF]
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing.
Lars P. Hansen +2 more
core +3 more sources
, 1998 We examine the consequences of classical ergodicity for the localization properties of individual quantum eigenstates in the classical limit. We note that the well known Schnirelman result is a weaker form of quantum ergodicity than the one implied by ...
Heller, E. J., Kaplan, L.
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 +3 more
wiley +1 more source
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
Small-world MCMC and convergence to multi-modal distributions: From slow mixing to fast mixing
, 2007 We compare convergence rates of Metropolis--Hastings chains to multi-modal target distributions when the proposal distributions can be of ``local'' and ``small world'' type.
Guan, Yongtao, Krone, Stephen M.
core +1 more source
Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
Codifference can detect ergodicity breaking and non-Gaussianity
, 2019 We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of dependence that was previously studied mainly in the context of stable ...
Magdziarz, Marcin +2 more
core +1 more source