Results 131 to 140 of about 10,513 (300)

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

k-lp-Lipschitz t-norms

, 2007
k-lp-Lipschitz t-norms are shown to be ordinal sums of k-lp-Lipschitz Archimedean t-norms. Additive generators of k-lp-Lipschitz t-norms are characterized by means of k-p-convexity.
Mesiarová, A., A. Mesiarová
core   +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

Approximation of Lipschitz functions preserving boundary values

, 2019
Given an open subset of a Banach space and a Lipschitz real-valued function defined on its closure, we study whether it is possible to approximate this function uniformly by Lipschitz functions having the same Lipschitz constant and preserving the values
Deville, Robert,, Deville, Robert, Mudarra, Carlos   +2 more
core   +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

On the domain of the implicit function and applications

Journal of Inequalities and Applications, 2005
The implicit function theorem asserts that there exists a ball of nonzero radius within which one can express a certain subset of variables, in a system of equations, as functions of the remaining variables.
Papi Marco
doaj  

Lipschitz functions on topometric spaces

Journal of Logic and Analysis, 2013
Nous étudions des fonctions sur des espaces topométriques qui sont à la fois (métriquement) Lipschitz et (topologiquement) continus, en les utilisant dans des contextes où, en topologie classique, des fonctions continues ordinaires sont utilisées. Nous étudions les relations de telles fonctions avec des versions topométriques d'axiomes de séparation ...
openaire   +4 more sources

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

Smooth Approximation of Lipschitz Projections

, 2012
We show that any Lipschitz projection-valued function p on a connected closed Riemannian manifold can be approximated uniformly by smooth projection-valued functions q with Lipschitz constant close to that of p. This answers a question of Rieffel.
Hanfeng Li
core   +1 more source