Results 71 to 80 of about 3,605 (210)
Twin Defaults and Bank Capital Requirements
The Journal of Finance, EarlyView.ABSTRACT We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns.
CATERINA MENDICINO +4 more
wiley +1 more source
Statistical inference for nth-order mixed fractional Brownian motion with polynomial drift
Modern Stochastics: Theory and ApplicationsThe mixed model with polynomial drift of the form $X(t)=\theta \mathcal{P}(t)+\alpha W(t)+\sigma {B_{H}^{n}}(t)$ is studied, where ${B_{H}^{n}}$ is the nth-order fractional Brownian motion with Hurst index $H\in (n-1,n)$ and $n\ge 2$, independent of the ...
Mohamed El Omari
doaj +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
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
ON ERGODICITY AND UNIDIMENSIONALITY
Kyushu Journal of Mathematics, 1994 This note does not have any mathematical content of its own but rather consists of a list of various results (for specific examples) about dimension of a measure. A Borel measure \(\mu\) on a metric space \(X\) is \(\alpha\)-dimensional \((\dim\mu= \alpha)\) if and only if \[ \liminf_{r\to 0} {\log\mu(B_r(x))\over \log r}= \alpha,\;\;\mu\text{-a.e.} \]
openaire +3 more sources
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
Ergodicity, Uniformity and Unique Ergodicity [PDF]
Indiana University Mathematics Journal, 1973 Hansel, G., Raoult, J. P.
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Ergodic theorem, ergodic theory, and statistical mechanics [PDF]
Proceedings of the National Academy of Sciences, 2015 This perspective highlights the mean ergodic theorem established by John von Neumann and the pointwise ergodic theorem established by George Birkhoff, proofs of which were published nearly simultaneously in PNAS in 1931 and 1932. These theorems were of great significance both in mathematics and in statistical mechanics.
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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