Results 91 to 100 of about 1,368 (203)

Sequential Outlier Detection in Nonstationary Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT A novel method for sequential outlier detection in nonstationary time series is proposed. The method tests the null hypothesis of “no outlier” at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme‐value theory. The asymptotic properties of the test statistic are studied
Florian Heinrichs, Patrick Bastian, Holger Dette   +2 more
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

The approximation of the solutions of equations using approximant sequences

Journal of Numerical Analysis and Approximation Theory, 2003
We intend to characterize the convergence of a certain sequence that belongs to a subset of a Banach space towards the solution of an equation obtained by the annulment of a nonlinear mapping that is defined on this subset and that takes values in ...
Adrian Diaconu
doaj   +2 more sources

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

A family of Halley–Chebyshev iterative schemes for non-Fréchet differentiable operators

, 2009
A modification of some classical third order methods is studied. The main advantage of these methods is that they do not need evaluate any Fréchet derivative.
Amat, Sergio, Busquier, Sonia, Mestiri, Driss, Bermúdez, Concepción   +3 more
core   +1 more source

Edge‐Length Preserving Embeddings of Graphs Between Normed Spaces

Journal of Graph Theory, Volume 112, Issue 4, Page 491-506, August 2026.
ABSTRACT The concept of graph embeddability, initially formalized by Belk and Connelly and later expanded by Sitharam and Willoughby, extends the question of embedding finite metric spaces into a given normed space. A finite simple graph G = ( V , E ) is said to be ( X , Y )‐embeddable if any set of induced edge lengths from an embedding of G into a ...
Sean Dewar, Eleftherios Kastis, Derek Kitson, William Sims   +3 more
wiley   +1 more source

Constraints Optimal Control Problem For Quaternary Nonlinear Elliptic System

Academic Science Journal
This paper is concerned with the study of the constraints quaternary continuous classical optimal control vector problem (CQCCOCVP) with equality and inequality constraint (EINC) controlled by quaternary nonlinear elliptic partial differential equations
Jamil Al-Hawasy, Haider H. Diwan, Waffa F. Keidan   +2 more
doaj   +1 more source

On the Choice of Optimization Norm for Anderson Acceleration of the Picard Iteration for Navier–Stokes Equations

Numerical Methods for Partial Differential Equations, Volume 42, Issue 4, July 2026.
ABSTRACT While recent Anderson acceleration (AA) convergence theory [Pollock et al., IMA Num. An., 2021] requires that the AA optimization norm match the Hilbert space norm associated with the fixed point operator, in implementations the ℓ2$$ {\ell}^2 $$ norm is the most common choice. So far there is little research done regarding this discrepancy. To
Elizabeth Hawkins, Leo G. Rebholz
wiley   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Local convergence of inexact Newton methods under affine invariant conditions and hypotheses on the second Fréchet derivative

, 1999
We use inexact Newton iterates to approximate a solution of a nonlinear equation in a Banach space. Solving a nonlinear equation using Newton iterates at each stage is very expensive in general.
Argyros, Ioannis
core