Results 111 to 120 of about 129,728 (246)
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 +4 more
wiley +1 more source
Recently, Hairer et. al (2012) showed that there exist SDEs with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong L^p-sense with respect to the initial value ...
Cox, Sonja +2 more
core
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 +2 more
wiley +1 more source
The oscillation of separately locally Lipschitz functions
Karpatsʹkì Matematičnì Publìkacìï, 2011 We prove that a function which dened on the product of two metric Baire spaces is the oscillation of some separately locally Lipschitz function if and only if it is an upper semicontinuous non-negative function which has a crosswise nowhere dense closure
V. H. Herasymchuk, O. V. Maslyuchenko
doaj
Pseudodifferential operators and their commutators on Morrey type spaces
Demonstratio MathematicaThis paper discusses the boundedness of the commutators generated by pseudodifferential operators with Lipschitz functions, and sets up the sufficient condition such that these operators are bounded on classical Morrey spaces and generalized Morrey ...
Deng Yu-Long
doaj +1 more source
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
The extension of starshaped bounded Lipschitz functions
Journal of Numerical Analysis and Approximation Theory, 1980 Not available.
C. Mustăţa
doaj +2 more sources
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
wiley +1 more source
(δ,γ)-Jacobi-Dunkl Lipschitz Functions in the Space L2(R,Aα,β(x)dx)
International Journal of Analysis and Applications, 2015 Using a generalized Jacobi-Dunkl translation, we obtain an analog of Theorem 5.2 in Younis paper [7] for the Jacobi-Dunkl transform for functions satisfying the (δ,γ)-Jacobi-Dunkl Lipschitz condition in the space L2(R,Aα,β(x)dx), α ≥ β ≥−1/2, α ≠−1/2.
R. Daher, S. El Ouadih
doaj +2 more sources