Results 181 to 190 of about 37,974 (331)

Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion

, 2022
Manel Belksier, Hacène Boutabia, Rania Bougherra   +2 more
openalex   +1 more source

Robust Distance Covariance

International Statistical Review, EarlyView.
Summary Distance covariance is a popular measure of dependence between random variables. It has some robustness properties, but not all. We prove that the influence function of the usual distance covariance is bounded, but that its breakdown value is zero.
Sarah Leyder, Jakob Raymaekers, Peter J. Rousseeuw   +2 more
wiley   +1 more source

Portfolio Optimization for Pension Purposes: Literature Review

Journal of Economic Surveys, EarlyView.
ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira, Igor Leão dos Santos, Pedro Henrique Gonzalez   +2 more
wiley   +1 more source

The valuation of currency options by fractional Brownian motion. [PDF]

Springerplus, 2016
Shokrollahi F, Kılıçman A.
europepmc   +1 more source

Sleep Deprivation in Mice: Looking Beyond the Slow Wave Rebound

Journal of Sleep Research, EarlyView.
ABSTRACT Sleep is a fundamental process supporting the dynamic regulation of neural function. Emerging methods have proposed that the aperiodic components of brain signals (such as the spectral slope, spectral intercept, and spectral knee), in addition to entropy‐based measures, offer robust empirical markers of neural states.
Tárek Zoltán Magyar, Orsolya Szalárdy, Róbert Bódizs   +2 more
wiley   +1 more source

Fractional Brownian motion analysis for epidemic spreading of diseases

, 2021
Lima L.
europepmc   +1 more source

Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion. [PDF]

J Inequal Appl, 2018
Zhang X, Ruan D.
europepmc   +1 more source

Monitoring panels of sparse functional data

Journal of Time Series Analysis, EarlyView.
Panels of random functions are common in applications of functional data analysis. They often occur when sequences of functions are observed at a number of different locations. We propose a methodology to monitor for structural breaks in such panels and to identify the changing components with statistical certainty.
Tim Kutta, Agnieszka Jach, Piotr Kokoszka   +2 more
wiley   +1 more source

On some method on model construction for strictly φ-sub-Gaussian generalized fractional Brownian motion

, 2021
Olga Vasylyk, Iryna Rozora, Tetiana Ianevych, I. I. Lovytska   +3 more
openalex   +2 more sources

Change Point Analysis for Functional Data Using Empirical Characteristic Functionals

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth, Gregory Rice, Jeremy VanderDoes   +2 more
wiley   +1 more source