Results 151 to 160 of about 1,073,267 (191)

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

Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)

Journal of Time Series Analysis, EarlyView.
ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley   +1 more source

Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting

Journal of Time Series Analysis, EarlyView.
ABSTRACT Estimating the periodicity of a stationary time series via fitting a second‐order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule (1927). We investigate properties of this procedure when applied to general stationary processes possessing a spectral density with a dominant peak at some unknown frequency ...
Jens‐Peter Kreiss, Panagiotis Maouris, Efstathios Paparoditis   +2 more
wiley   +1 more source

Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley   +1 more source

Weighted Poincare Inequality of Fractional Order (Stochastic Analysis of Jump Processes and Related Topics)

Weighted Poincare Inequality of Fractional Order (Stochastic Analysis of Jump Processes and Related Topics)
openaire   +1 more source

On Stochastic Inequalities and Dependence Orderings

Applied Mathematics and Computation, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Oluyede, Broderick O.
exaly   +4 more sources

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Uniform Stochastic Ordering and Related Inequalities

Canadian Journal of Statistics, 1982
AbstractStochastic order between univariate random variates may be called uniform when such order persists under conditioning to a broad family of intervals. The ordering is local when it holds for any finite interval (a, b), however small. Local order in multivariate settings has been described by Whitt (1980, 1981), by Karlin and Rinott (1980), and ...
Ushio Sumita, Julian Keilson
exaly   +3 more sources

Inequality Orderings, Normalized Stochastic Dominance, and Statistical Inference

Journal of Business and Economic Statistics, 2000
This article derives large-sample properties and provides asymptotically distribution-free statistical inference procedures for an alternative approach to inequality orderings—normalized stochastic dominance (NSD). NSD is a straightforward extension of standard dominance techniques.
Buhong Zheng, John Paul Formby, W James Smith   +2 more
exaly   +2 more sources

Stochastic Ordering Inequalities in Parallel and Series Systems With Gumble Distributed Components

Calcutta Statistical Association Bulletin, 2022
The stochastic comparisons of parallel and series systems are worthy of study. In this article, we present some stochastic comparisons of parallel and series systems having independent components from Gumble distribution which is also known as an extreme value type-I distribution with two parameters (one location and one shape).
Nitin Gupta
exaly   +2 more sources

Inequalities for Fractional Integral With the Use of Stochastic Orderings

Applied Mathematics and Computation
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tomasz Szostok, Abayomi Dennis Epebinu
exaly   +3 more sources