Results 111 to 120 of about 13,676,050 (240)

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

Periodic solutions for second-order differential inclusions with nonsmooth potentials under weak AR-conditions

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
doaj  

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

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

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

Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley   +1 more source

Detecting Multiple Change Points in Linear Models With Heteroscedasticity

Journal of Time Series Analysis, EarlyView.
ABSTRACT The problem of detecting change points in the parameters of a linear regression model with errors and covariates exhibiting heteroscedasticity is considered. Asymptotic results for weighted functionals of the cumulative sum (CUSUM) processes of model residuals are established when the model errors are weakly dependent and non‐stationary ...
Lajos Horváth, Gregory Rice, Yuqian Zhao   +2 more
wiley   +1 more source

Bielecki-Ulam stability of a hammerstein-type difference system

MethodsX
In this study, we investigate the Bielecki-Ulam (B-U) stabilities of two forms of Hammerstein-type difference systems (HT-DS). Specifically, we consider the systems:(0.1){xm+1−xm=M¯mxm+F¯(m,xm,xhm)[∑[j=0][m]G¯(m,j)H¯(j,xj,xhj)]x0=b0,and(0.2){xm+1−xm=M ...
Gul Rahmat, Sohail Ahmad, Muhammad Sarwar, Kamaleldin Abodayeh, Saowaluck Chasreechai, Thanin Sitthiwirattham   +5 more
doaj   +1 more source

Existence of a differentiable function which does not satisfy a uniform condition of Lipschitz-type

Existence of a differentiable function which does not satisfy a uniform condition of Lipschitz-type
text
openaire   +1 more source

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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source