Results 121 to 130 of about 9,704 (289)

Two applications of the Theory of Currents

, 2013
In the first part of the thesis we find an adapted version of the Rademacher theorem of differentiability of Lipschitz functions, when the Lebesgue measure on the euclidean space is replaced by a generical Radon measure.
MARCHESE, ANDREA
core  

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

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

Bandlimited Lipschitz functions

, 2014
We study the space of bandlimited Lipschitz functions in one variable. In particular we provide a geometrical description of interpolating and sampling sequences for this space.
Ortega Cerdà, Joaquim, Lyubarskii, Yurii   +1 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

Pseudodifferential operators and their commutators on Morrey type spaces

Demonstratio Mathematica
This 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

Isometries on differentiable lipschitz functions

, 2019
We give a characterization of surjective isometries on spaces of real-valued differentiable Lipschitz functions on [0,1]. We also show that every compact composition operator in the space of real-valued differentiable Lipschitz functions on [0,1] must be
Ya-Shu Wang
core