Results 91 to 100 of about 66,313 (214)

Confidence Intervals for Price Discovery

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen, Paolo Paruolo, Anders Rahbek   +2 more
wiley   +1 more source

Fixed accuracy confidence intervals for variance under first-order stationary autoregressive processes

Research in Statistics
A sequential procedure is developed to construct a fixed accuracy confidence interval (CI) of the common unknown variance of the random observations, where the observations arise from a first-order stationary autoregressive (AR(1)) process with a ...
Rahul Bhattacharya, Uttam Bandyopadhyay, Atanu Biswas, Pritam Sarkar   +3 more
doaj   +1 more source

Martingale representations in dynamic enlargement setting: the role of the accessible jump times

, 2019
Let M and N be an F-martingale and an H-martingale respectively on the same probability space, both enjoying the predictable representation property. We discuss how, under the assumption of the existence of an equivalent decoupling measure for F and H ...
Calzolari, Antonella, Torti, Barbara
core  

Least Trimmed Squares: Cointegration and Outliers

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley   +1 more source

Convergence Theorems for Partial Sums of Arbitrary Stochastic Sequences

Journal of Inequalities and Applications, 2010
By using Doob's martingale convergence theorem, this paper presents a class of strong limit theorems for arbitrary stochastic sequence. Chow's two strong limit theorems for martingale-difference sequence and Loève's and Petrov's strong limit ...
Wang Xiaosheng, Guo Haiying
doaj  

Long-Time Behavior of Galton–Watson Systems with Circular Mechanism

Mathematics
Let {Zn:n≥0} be a Galton–Watson system with a circular mechanism a∗b, where a={aj}j=0∞ and b={bj}j=0∞ are probability distributions on Z+:={0,1,2,⋯}. Let ma:=∑j=0∞jaj, mb:=∑j=0∞jbj. The extinction property of such branching systems is first studied. Then,
Junping Li, Mixuan Hou
doaj   +1 more source

Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas

Journal of Probability and Statistics, 2010
We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-
Patrice Gaillardetz
doaj   +1 more source

Sparse Warcasting

Scottish Journal of Political Economy, EarlyView.
ABSTRACT Forecasting economic activity during institutional collapse requires nowcasts derived exclusively from alternative data sources. Such sources are abundant yet theoretically unanchored and potentially weakly informative. This study examines whether sparse supervised dimension reduction extracts reliable signals in a context rich in data but ...
Mihnea Constantinescu
wiley   +1 more source

Cumulative exposure to tacrolimus is associated with increased risk of malignancy for solid organ transplant recipients

International Journal of Cancer, Volume 158, Issue 12, Page 3152-3160, 15 June 2026.
What's new? Long‐term immunosuppression in solid organ transplant recipients (SOTRs) is linked to increased cancer risk. Although this risk potentially increases with greater immunosuppressant exposure, the exact dose‐response pattern remains uncertain.
Sergio A. Acuna, Xun Zhao, Maggie Jones‐Carr, Graham Smith, Kyla Naylor, Bima J. Hasjim, Shiyi Chen, An‐Wen Chan, Nancy Baxter, S. Joseph Kim, Mamatha Bhat   +10 more
wiley   +1 more source

On the Foundational Arguments of Sufficient Dimension Reduction

WIREs Computational Statistics, Volume 18, Issue 2, June 2026.
Contemporary Sufficient Dimension Reduction, a versatile method for extracting material information from data, can serve as a preprocessor for classical modeling and inference, or as a standalone theory that leads directly to statistical inference. ABSTRACT Sufficient dimension reduction (SDR) refers to supervised methods of dimension reduction that ...
R. Dennis Cook
wiley   +1 more source