Results 101 to 110 of about 496,079 (237)

Locally Lipschitz functions, cofinal completeness, and UC spaces

, 2015
Let X, d be a metric space. We find necessary and sufficient conditions on the space for the locally Lipschitz functions to coincide with each of two more restrictive classes of locally Lipschitz functions studied by several authors: the uniformly ...
Beer, Gerald, Garrido Carballo, María Isabel   +1 more
core   +1 more source

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

Sequential Outlier Detection in Nonstationary Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT A novel method for sequential outlier detection in nonstationary time series is proposed. The method tests the null hypothesis of “no outlier” at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme‐value theory. The asymptotic properties of the test statistic are studied
Florian Heinrichs, Patrick Bastian, Holger Dette   +2 more
wiley   +1 more source

On the relationship between coercivity conditions and CPS type conditions of local Lipschitz functional

四川大学学报. 自然科学版
In this paper， using Ekeland’s variational principle and Clarke’s generalized gradient theory for non-smooth local Lipschitz functional， we study the relationship between classical coercive condition and Palais-Smale type condition generalized by Gong ...
ZHANG Xin-Yu, ZHANG Shi-Qing
doaj  

Basic theory of differential equations with linear perturbations of second type on time scales

Boundary Value Problems, 2019
In this paper, we develop the theory of differential equations with linear perturbations of second type on time scales. An existence theorem for differential equations with linear perturbations of second type on time scales is given under D $\mathscr{D}$
Yige Zhao, Yibing Sun, Zhi Liu, Zhanbing Bai   +3 more
doaj   +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

On an improved convergence analysis of a two-step Gauss-Newton type method under generalized Lipschitz conditions

, 2022
S.365-372We present a local convergence analysis of a two-step Gauss-Newton method under the generalized and classical Lipschitz conditions for the first- and second-order derivatives.
Shakhno, Stepan M., Iakymchuk, Roman, Argyros, Ioannis Konstantinos, Yarmola, Halyna P.   +3 more
core  

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

Marchenko–Pastur Laws for Daniell Smoothed Periodograms

Journal of Time Series Analysis, EarlyView.
ABSTRACT Given a sample X0,…,Xn−1$$ {X}_0,\dots, {X}_{n-1} $$ from a d$$ d $$‐dimensional stationary time series (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$, the most commonly used estimator for the spectral density matrix F(θ)$$ F\left(\theta \right) $$ at a given frequency θ∈[0,2π)$$ \theta \in \left[0,2\pi \right) $$ is the Daniell smoothed ...
Ben Deitmar
wiley   +1 more source

On Testing for Independence Between Generalized Error Models of Several Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi, Bouchra R. Nasri, Bruno N. Rémillard   +2 more
wiley   +1 more source