Results 211 to 220 of about 307 (253)

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

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
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  

On stochastic inequalities and dependence orderings [PDF]

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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Inequalities for fractional integral with the use of stochastic orderings

Applied Mathematics and Computation
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Abayomi Dennis Epebinu, Tomasz Szostok
exaly   +2 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 P 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).
Surojit Biswas, Nitin Gupta
openaire   +1 more source

Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations

Mathematics and Computers in Simulation, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ahmed S. Hendy, Mahmoud A. Zaky, Durvudkhan Suragan   +2 more
openaire   +2 more sources