Results 111 to 120 of about 1,155,766 (245)
Density‐Valued ARMA Models by Spline Mixtures
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
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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
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On the analyticity of the semigroup generated by the Stokes operator with Neumann-type boundary conditions on Lipschitz subdomains of Riemannian manifolds [PDF]
, 2008 Marius Mitrea, Sylvie Monniaux
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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 +2 more
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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
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Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
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Optimality and Duality Theorems in Nonsmooth Multiobjective Optimization
Fixed Point Theory and Applications, 2011 In this paper, we consider a class of nonsmooth multiobjective programming problems. Necessary and sufficient optimality conditions are obtained under higher order strongly convexity for Lipschitz functions.
Bae Kwan, Kim Do
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Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
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Macroscopic Market Making Games
Mathematical Finance, EarlyView.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
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Electronic Journal of Differential Equations, 2014 In this article, we study a periodic second-order differential inclusions with locally Lipschitz potentials. By means of the least action principle and the minimax principle of nonsmooth type, we prove the existence of two nontrivial periodic ...
Lizhen Chen, Qinghua Zhang, Gang Li
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