Results 101 to 110 of about 11,194,513 (228)

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

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

SDE and BSDE on Hilbert spaces: applications to quasi-linear evolution equations and the asymptotic properties of the stochastic quasi-geostrophic equation [PDF]

, 2012
Zhu R. SDE and BSDE on Hilbert spaces: applications to quasi-linear evolution equations and the asymptotic properties of the stochastic quasi-geostrophic equation.
Zhu, Rongchan
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

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

Inequality of Opportunity in Wealth: Levels, Trends and Drivers in Germany

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper studies inequality of opportunity (IOp) in individual net wealth in Germany from 2002 to 2019 using the Socio‐Economic Panel (SOEP). Applying the ex‐ante IOp framework, we quantify the share of wealth inequality attributable to immutable circumstances and benchmark it against IOp in gross labour earnings.
Daniel Graeber, Johannes König, Viola Hilbert   +2 more
wiley   +1 more source

Panoramic voltage‐sensitive optical mapping of contracting hearts using cooperative multiview motion tracking with 12 cameras

The Journal of Physiology, EarlyView.
Abstact figure legend A panoramic 3D optical mapping system was developed, enabling imaging of action potential waves across the entire strongly deforming ventricular surface of beating isolated hearts. The system comprises 12 high‐speed cameras and a soccerball‐shaped imaging chamber with 48 light‐emitting diodes (LEDs).
Shrey Chowdhary, Jan Lebert, Shai Dickman, Mason Manetta, Charles Gordon, Jan Christoph   +5 more
wiley   +1 more source

Comparative multimodal calibration of patient‐specific atrial fibrillation models: Impact of imaging and electrophysiology data on arrhythmogenic substrate identification

The Journal of Physiology, EarlyView.
Abstract figure legend Comparative multimodal calibration of patient‐specific left atrial (LA) models to identify arrhythmogenic substrates in atrial fibrillation (AF). A, LA models shown in posterior and anterior views, calibrated separately using: late gadolinium enhancement magnetic resonance imaging (LGE‐MRI) image intensity ratio (IIR; blue–red ...
Mahmoud Ehnesh, Haseeb Valli, Ovais A. Jaffery, Sam Coveney, Alexander Zolotarev, Zhong Chen, Wajid Hussain, David G. Jones, Raad Mohiaddin, Tom Wong, Gregory Slabaugh, Steven A. Niederer, Edward Vigmond, Shouvik Haldar, Caroline Roney   +14 more
wiley   +1 more source