Results 91 to 100 of about 10,083 (253)
2011 49th Annual Allerton Conference on Communication, Control, and Computing (Allerton), 2011 35 pages, 2 ...
John C. Duchi +3 more
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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
Ergodicity, Uniformity and Unique Ergodicity [PDF]
Indiana University Mathematics Journal, 1973 Hansel, G., Raoult, J. P.
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This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process.
Dag Tjøstheim +2 more
core
On Dobrushin Ergodicity Coefficient and weak ergodicity of Markov Chains on Jordan Algebras
, 2013 In this paper we study certain properties of Dobrushin's ergodicity coe cient for stochastic operators de ned on non-associative L1-spaces associated with semi- nite JBW- algebras. Such results extends the well-known classical ones to a non-associative
Mukhamedov, Farrukh
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Ergodicity of Lévy-Type Processes [PDF]
, 2016 In this paper, conditions for transience, recurrence, ergodicity and strong, subexponential (polynomial) and exponential ergodicity of a class of Feller processes are derived.
Nikola Sandrić, Sandrić, Nikola
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Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors [PDF]
Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature.
Michael McAleer +2 more
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Geometric erogdicity of a bead-spring pair with stochastic Stokes forcing [PDF]
, 2009 We consider a simple model for the uctuating hydrodynamics of a exible polymer in dilute solution, demonstrating geometric ergodicity for a pair of particles that interact with each other through a nonlinear spring potential while being advected by ...
McKinley, Scott A. +2 more
core
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