Results 71 to 80 of about 9,201 (174)

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

Can Computer Algebra be Liberated from its Algebraic Yoke ?

, 2005
So far, the scope of computer algebra has been needlessly restricted to exact algebraic methods. Its possible extension to approximate analytical methods is discussed.
Barrere, R.
core   +1 more source

An extension of the projected gradient method to a Banach space setting with application in structural topology optimization [PDF]

, 2015
For the minimization of a nonlinear cost functional $j$ under convex constraints the relaxed projected gradient process $\varphi_{k+1} = \varphi_{k} + \alpha_k(P_H(\varphi_{k}-\lambda_k \nabla_H j(\varphi_{k}))-\varphi_{k})$ is a well known method.
Blank, Luise, Rupprecht, Christoph
core   +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

Multilevel quadrature for elliptic problems on random domains by the coupling of FEM and BEM [PDF]

, 2018
Elliptic boundary value problems which are posed on a random domain can be mapped to a fixed, nominal domain. The randomness is thus transferred to the diffusion matrix and the loading.
Harbrecht, Helmut, Schmidlin, Marc
core   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
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

Modular curvature for toric noncommutative manifolds

, 2015
A general question behind this paper is to explore a good notion for intrinsic curvature in the framework of noncommutative geometry started by Alain Connes in the 80s.
Liu, Yang
core  

Sensitivity analysis in a market with memory [PDF]

, 2017
A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dependence of option prices on the memory.
Banos, David R., Di Nunno, Giulia, Proske, Frank   +2 more
core  

Nonparametric Cure Models Through Extreme‐Value Tail Estimation

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT In survival analysis, the estimation of the proportion of subjects who will never experience the event of interest, termed the cure rate, has received considerable attention recently. Its estimation can be a particularly difficult task when follow‐up is not sufficient, that is, when the censoring mechanism has a smaller support than the ...
Jan Beirlant, Martin Bladt, Ingrid Van Keilegom   +2 more
wiley   +1 more source