Results 181 to 190 of about 13,144,199 (261)

Multiple Chains Markov Switching Vector Autoregression

Journal of Time Series Analysis, EarlyView.
ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley   +1 more source

The Impact of BOLD-Induced Linewidth Modulation on Functional ¹H MRS Analysis. [PDF]

NMR Biomed
Wilson M, Finney SM, Clarke WT.
europepmc   +1 more source

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

Fast Estimation and Valid Statistical Inference for Mixed-Effect Location-Scale Models Using Variational Inference. [PDF]

Stat Med
Wu BP, Hedeker D.
europepmc   +1 more source

Interior $C^2$ estimate for Hessian quotient equation in general dimension

In this paper, we study the interior $C^2$ regularity problem for the Hessian quotient equation $\left(\frac{\sigma_n}{\sigma_k}\right)(D^2u)=f$. We give a complete answer to this longstanding problem: for $k=n-1,n-2$, we establish an interior $C^2 ...
Lu, Siyuan
core  

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

A Golden-Ratio Ladder and a Delocalisation-Saturated Participation Bridge for the Hydrogen-Bond Network of Liquid Water. [PDF]

Molecules
Washburn J, Allahyarov E.
europepmc   +1 more source

Parametric Time‐Variation in the Unconditional Volatility: Estimation and Inference

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose modeling time‐variation in the unconditional volatility by augmenting the standard GARCH model by a deterministic time‐varying intercept. The model, called the additive time‐varying (ATV‐)GARCH model, can be interpreted as a reduced form of a model including covariates and can be derived from a multiplicative decomposition of ...
Niklas Ahlgren, Alexander Back, Timo Teräsvirta   +2 more
wiley   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Generalizations of the quadratic bound optimization principle. [PDF]

Proc Natl Acad Sci U S A
Li XJ, Tian GL, Zhou H, Lange K.
europepmc   +1 more source