Results 191 to 200 of about 20,082 (312)

On the Existence of One‐Sided Representations for the Generalised Dynamic Factor Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We study the Generalised Dynamic Factor Model (GDFM) and show that the dynamic common component, that is, the common component of the GDFM, can be expressed using only current and past observations under mild assumptions. Specifically, we require (i) the dynamic common component to be purely non‐deterministic and (ii) the exclusion of ...
Philipp Gersing
wiley   +1 more source

Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth

Journal of Time Series Analysis, EarlyView.
ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli, Marco Lippi, Tommaso Proietti   +2 more
wiley   +1 more source

Iterative methods of strong convergence theorems for the split feasibility problem in Hilbert spaces. [PDF]

J Inequal Appl, 2016
Tang Y, Liu L.
europepmc   +1 more source

A Reverse of the Triangle Inequality in Inner Product Spaces and Applications for Polynomials

, 2005
A reverse of the triangle inequality in inner product spaces related to the celebrated Diaz-Metcalf inequality with applications for complex polynomials is ...
Dragomir, Sever S
core  

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

A construction of semi-infinite de Rham cohomology [PDF]

The purpose of this thesis is to describe a construction of semi-infinite de Rham cohomology for infinite dimensional manifolds equipped with the extra structure of a polarisation.
Stacey, Andrew Edgell
core  

Sparse Causal Dynamic Linear Regression

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley   +1 more source

Stochastic evolution equations in weighted L² spaces with jump noise

, 2012
Michel S. Stochastic evolution equations in weighted L² spaces with jump noise. Bielefeld: Universität Bielefeld; 2012.In this thesis, we study two classes of stochastic differential equations (SDEs in short) with jump noise in weighted L² spaces over ...
Michel, Simon
core  

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

On synchronal algorithm for fixed point and variational inequality problems in hilbert spaces. [PDF]

Springerplus, 2016
Bulama LM, Kılıçman A.
europepmc   +1 more source