Results 111 to 120 of about 103,412 (240)

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Confidence Lipschitz classifiers: an instrument of guaranteed reliability

Научно-технический вестник информационных технологий, механики и оптики
A new method of guaranteed solution for multiclass classification problem of stochastic objects is proposed. Within the framework of the proposed approach, the classification result is a finite set of class indices which with a predetermined confidence ...
A. V. Timofeev
doaj   +1 more source

Lipschitz Estimates for Fractional Multilinear Singular Integral on Variable Exponent Lebesgue Spaces

Abstract and Applied Analysis, 2013
We obtain the Lipschitz boundedness for a class of fractional multilinear operators with rough kernels on variable exponent Lebesgue spaces. Our results generalize the related conclusions on Lebesgue spaces with constant exponent.
Hui-Ling Wu, Jia-Cheng Lan
doaj   +1 more source

Lipschitz Equivalence Class, Ideal Class and the Gauss Class Number Problem

, 2013
In this paper, we study the question of classifying self-similar sets under bi-Lipschitz mappings and obtain an important bi-Lipschitz invariant, which is an ideal of a ring related to IFS. Roughly speaking, different Lipschitz equivalence classes of self-similar sets correspond to different ideal classes of a related ring.
Xi, Li-Feng, Xiong, Ying
openaire   +2 more sources

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
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

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

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

Lipschitz Classes and Fourier Series of Stochastic Processes

Tokyo Journal of Mathematics, 1988
For \(2\pi\)-periodic stochastic processes belonging to the class \(L^{s,r}(T\times \Omega)\), \(1\leq r,s\), the corresponding Fourier series convergence is examined and conditions for the existence of the \(\ell\)-th derivative belonging to the Lipschitz class \(\Lambda_{\phi}\) of the processes are obtained.
openaire   +2 more sources

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