Results 101 to 110 of about 712,412 (236)

Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency

Journal of Time Series Analysis, EarlyView.
ABSTRACT Expectile is a coherent and elicitable law‐invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large‐scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting
Feipeng Zhang, Ping‐Shou Zhong
wiley   +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

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

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

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, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Structure and Computation

Noûs, EarlyView.
ABSTRACT It is a truism of mathematics that differences between isomorphic number systems are irrelevant to arithmetic. This truism is deeply rooted in the modern axiomatic method and underlies most strands of arithmetical structuralism, the view that arithmetic is about some abstract number structure.
Balthasar Grabmayr
wiley   +1 more source

CRISPR/Cas‐Mediated Gene Editing in Plant Immunity and Its Potential for the Future Development of Fungal, Oomycete, and Bacterial Pathogen‐Resistant Pulse Crops

Plant, Cell &Environment, EarlyView.
ABSTRACT Pulses provide myriad health benefits and are advantageous in an environmental context as a result of their leguminous nature. However, phytopathogenic fungi, oomycetes and bacteria pose a substantial threat to pulse production, at times leading to crop failure.
Stacy D. Singer, Mohammed M. Mukthar, Udaya Subedi, Hari Poudel, Guanqun Chen, Nora Foroud, Syama Chatterton   +6 more
wiley   +1 more source

Spatial depth for data in metric spaces

Scandinavian Journal of Statistics, EarlyView.
Abstract We propose a novel measure of statistical depth, the metric spatial depth, for data residing in an arbitrary metric space. The measure assigns high (low) values for points located near (far away from) the bulk of the data distribution, allowing quantifying their centrality/outlyingness.
Joni Virta
wiley   +1 more source

An integrated platform for 2‐D and 3‐D optical and electrical mapping of arrhythmias in Langendorff‐perfused rabbit hearts

The Journal of Physiology, EarlyView.
Abstract figure legend Integrated multimodal platform for panoramic cardiac mapping in isolated heart experiments. On the left, an image of the experimental setup during data acquisition showing a Langendorff‐perfused rabbit heart surrounded by three optical cameras (CAM A, B and C) positioned 120° apart, each coupled with high‐power LEDs for panoramic
Jimena Siles, Vinícius Silva, Tainan Neves, Italo Sandoval, Angélica Quadros, Giovanni Weber, Óscar Barquero, Ilija Uzelac, João Salinet   +8 more
wiley   +1 more source