Results 101 to 110 of about 114,898,652 (277)
Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence [PDF]
, 2010 This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an ...
Hautsch, Nikolaus, Podolskij, Mark
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Contributions to Plasma Physics, EarlyView.ABSTRACT Warm dense matter (WDM) is now routinely created and probed in laboratories around the world, providing unprecedented insights into conditions achieved in stellar atmospheres, planetary interiors, and inertial confinement fusion experiments.
M. P. Böhme +15 more
wiley +1 more source
A Donsker Theorem for Lévy Measures [PDF]
Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, a Donsker-type theorem is proved,
Richard Nickl, Markus Reiß
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Artificial intelligence in preclinical epilepsy research: Current state, potential, and challenges
Epilepsia Open, EarlyView.Abstract Preclinical translational epilepsy research uses animal models to better understand the mechanisms underlying epilepsy and its comorbidities, as well as to analyze and develop potential treatments that may mitigate this neurological disorder and its associated conditions. Artificial intelligence (AI) has emerged as a transformative tool across
Jesús Servando Medel‐Matus +7 more
wiley +1 more source
Exchangeable Sequences Driven by an Absolutely Continuous Random Measure [PDF]
Let S be a Polish space and (Xn : n = 1) an exchangeable sequence of S-valued random variables. Let an(·) = P( Xn+1 in · | X1, . . . ,Xn) be the predictive measure and a a random probability measure on S such that an (weak) --> a a.s..
Pietro Rigo +2 more
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Complex Versus Parsimonious Site‐Based Stochastic Ground Motion Models: Which One Is Better?
Earthquake Engineering &Structural Dynamics, EarlyView.ABSTRACT Stochastic ground motion models (GMMs) provide a probabilistic representation of seismic input and are increasingly important for uncertainty quantification (UQ) in earthquake engineering. This study focuses on site‐based stochastic GMMs, which learn the statistical features of selected datasets of seismic records and generate statistically ...
Maijia Su +2 more
wiley +1 more source
Functional Limit Theorems for Occupation Time Fluctuations of Branching Systems in the Case of Long-Range Dependence [PDF]
Functional central limit theorem; Occupation time uctuation; Branching particle system; Distribution-valued Gaussian process; Fractional Brownian motion; Sub-fractional Brownian motion; Long-range ...
Luis G. Gorostiza +2 more
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A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting
Journal of Forecasting, EarlyView.ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley +1 more source
Regression Asymptotics Using Martingale Convergence Methods [PDF]
Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The
Peter C.B. Phillips, Rustam Ibragimov
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Journal of Forecasting, EarlyView.ABSTRACT This paper presents a method for forecasting limit order book durations using a self‐exciting flexible residual point process. High‐frequency events in modern exchanges exhibit heavy‐tailed interarrival times, posing a significant challenge for accurate prediction.
Kyungsub Lee
wiley +1 more source