Results 91 to 100 of about 4,822 (250)

Adaptive Estimation for Weakly Dependent Functional Times Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro, Valentin Patilea, Myriam Vimond   +2 more
wiley   +1 more source

On the One-Leg Methods for Solving Nonlinear Neutral Differential Equations with Variable Delay

Journal of Applied Mathematics, 2012
Based on A-stable one-leg methods and linear interpolations, we introduce four algorithms for solving neutral differential equations with variable delay. A natural question is which algorithm is better.
Wansheng Wang, Shoufu Li
doaj   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

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
wiley   +1 more source

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

Geometric conditions and existence of bi-Lipschitz parameterizations

Duke Mathematical Journal, 1995
Let \(\Sigma\) be a locally compact set of Hausdorff dimension \(n\) in \(\mathbb{R}^{n+ m}\) and \(\zeta_0\) a point of \(\Sigma\). Set \[ \theta(r, \zeta)= \inf_L \{\textstyle{{1\over r}} D[Z\cap B(r, \zeta), L\cap B(r, \zeta)]\}, \] where the infimum is taken over all \(n\)-planes containing \(\zeta\), and \(D\) is the Hausdorff distance.
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

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

Semilocal convergence conditions for the secant method, using recurrent functions

Journal of Numerical Analysis and Approximation Theory, 2011
Using our new concept of recurrent functions, we present new sufficient convergence conditions for the secant method to a locally unique solution of a nonlinear equation in a Banach space.
Ioannis K. Argyros, Saïd Hilout
doaj   +2 more sources