Results 41 to 50 of about 238 (174)
, 2018 We study finite energy classes of quasiplurisubharmonic (qpsh) functions in the setting of toric compact Kähler manifolds. We characterize toric qpsh functions and give necessary and sufficient conditions for them to have finite (weighted) energy, both ...
Zeriahi, Ahmed +3 more
core +1 more source
Exponential ergodicity and regularity for equations with Lévy noise
, 2012 We prove exponential convergence to the invariant measure, in the total variation norm, for solutions of SDEs driven by α-stable noises in finite and in infinite dimensions. Two approaches are used.
Shirikyan, Armen +11 more
core +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
Regularizing properties of nonlinear semigroups
, 1987 It is known that some classes of m m -accretive operators A A generate Lipschitz continuous semigroups of contractions; that is | | S ( t +
Semion Gutman
core +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
Continuous Families Of Hölder Functions That Are Not Of Bounded Variation
, 2015 This paper deals with three classes of functions of great importance in analysis and its applications. We construct a family of Hölder functions in the closed unit interval having two continuous parameters.
Torriani H.H.
core
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 +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 +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