Results 101 to 110 of about 327,788 (207)

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

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

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

Semilocal convergence of Newton-like methods under general conditions with applications in fractional calculus

Journal of Numerical Analysis and Approximation Theory, 2015
We present a semilocal convergence study of Newton-like methods on a generalized Banach space setting to approximate a locally unique zero of an operator.
George A. Anastassiou, Ioannis K. Argyros   +1 more
doaj   +2 more sources

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

On the semilocal convergence of Newton-type methods, when the derivative is not continuously invertible

Cubo, 2011
We provide a semilocal convergence analysis for Newton-type methods to approximate a locally unique solution of a nonlinear equation in a Banach space setting. The Frechet-derivative of the operator involved is not necessarily continuous invertible. This
Ioannis K Argyros, Saïd Hilout
doaj  

Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)

Journal of Time Series Analysis, EarlyView.
ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley   +1 more source

On the range of the derivative of a smooth mapping between Banach spaces

Abstract and Applied Analysis, 2005
We survey recent results on the structure of the range of the derivative of a smooth mapping f between two Banach spaces X and Y. We recall some necessary conditions and some sufficient conditions on a subset A of ℒ(X,Y) for the existence of a Fréchet ...
Robert Deville
doaj   +1 more source

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

Information‐Theoretic Approach to Financial Market Modeling

Mathematical Finance, EarlyView.
ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley   +1 more source