Results 61 to 70 of about 1,666 (170)
Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source
Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
Detection of multiple correlated time series and its application in synthetic aperture sonar imagery [PDF]
, 2014 2014 Summer.Detecting the presence of a common but unknown signal among two or more data channels is a problem that finds its uses in many applications, including collaborative sensor networks, geological monitoring of seismic activity, radar, and sonar.
Scharf, Louis L., advisor +4 more
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Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Panel Sequential Group Estimation of Interactive Effects Models
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper proposes a novel procedure to identify latent groups in the slopes of panel data models with interactive effects. The method is straightforward to apply and relies only on closed‐form estimators when evaluating the objective function.
Ignace De Vos, Joakim Westerlund
wiley +1 more source
, 2007 It has long been known that totally nonnegative (or totally positive matrices) are closed under normal matrix multiplication. A 2001 paper by Crans, Fallat and Johnson titled the “Hadamard Core of Totally Nonnegative Matrices\u27\u27, described ...
Dwelle, Kayla Bradley
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Single‐Breathhold 3D MR Elastography in the Liver, With Simultaneous R2* and PDFF Mapping
Magnetic Resonance in Medicine, Volume 96, Issue 2, Page 682-697, August 2026.Purpose To develop a sequence for the rapid acquisition of MR elastography (MRE) parameters in 3D, with simultaneous measurement of proton‐density fat fraction (PDFF) and R2* for multiparametric assessment of liver disease. Methods The proposed sequence uses an interleaved motion‐encoding scheme to acquire 3D volumes of all motion encodings and wave ...
Donovan P. Tripp +10 more
wiley +1 more source
Enhancing Volatility Prediction: A Wavelet‐Based Hierarchical Forecast Reconciliation Approach
Journal of Forecasting, Volume 45, Issue 4, Page 1652-1664, July 2026.ABSTRACT Forecasting realized volatility (RV) has been widely studied, with numerous techniques developed to enhance predictive accuracy. Among these techniques, the use of RV decompositions based on intraday asset returns has been applied. However, the use of a frequency‐based decomposition, which provides unique insights into the dynamics of RV ...
Adam Clements, Ajith Perera
wiley +1 more source
Phase‐Pole‐Free Images and Smooth Coil Sensitivity Maps by Regularized Nonlinear Inversion
Magnetic Resonance in Medicine, Volume 96, Issue 1, Page 134-145, July 2026.ABSTRACT Purpose Phase singularities are a common problem in image reconstruction with auto‐calibrated sensitivities due to an inherent ambiguity of the estimation problem. The purpose of this work is to develop a method for detecting and correcting phase poles in non‐linear inverse (NLINV) reconstruction of MR images and coil sensitivity maps ...
Moritz Blumenthal, Martin Uecker
wiley +1 more source
Capital in Motion: Synthesizing the Circulation and Reproduction in a Multi‐Sector Growth Model
Metroeconomica, Volume 77, Issue 3, Page 274-288, July 2026.ABSTRACT This paper analyzes Capital in Motion (CIM) in a capitalist economy, based on Karl Marx's Capital, Volume 2. It examines the circuit of capital, distinguishing between stock and flow variables, and integrates a multi‐sector growth model that combines the circuit and turnover of capital with the reproduction scheme.
Takashi Satoh
wiley +1 more source