Results 81 to 90 of about 44,017 (164)

Tests for Changes in Count Time Series Models With Exogenous Covariates

Journal of Time Series Analysis, Volume 47, Issue 3, Page 526-538, May 2026.
ABSTRACT We deal with a parametric change in models for count time series with exogenous covariates specified via the conditional distribution, i.e., with integer generalized autoregressive conditional heteroscedastic models with covariates (INGARCH‐X).
Šárka Hudecová, Marie Hušková
wiley   +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  

Nonparametric Detection of a Time‐Varying Mean

Journal of Time Series Analysis, Volume 47, Issue 3, Page 597-611, May 2026.
ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley   +1 more source

Complete lattices of probability measures with applications to martingale theory

, 2000
Kertz, Robert P., Rösler, Uwe
openaire   +2 more sources

Wild bootstrap for counting process-based statistics: a martingale theory-based approach. [PDF]

Lifetime Data Anal
Dietrich MT, Dobler D, de Gunst MCM.
europepmc   +1 more source

Stochastic responses and marginal valuation. [PDF]

Proc Natl Acad Sci U S A
Hansen LP, Souganidis P.
europepmc   +1 more source

The Scaling Limit of the Volume of Loop-<i>O</i>(<i>n</i>) Quadrangulations. [PDF]

Commun Math Phys
Aïdékon É, Da Silva W, Hu X.
europepmc   +1 more source

Pricing quanto options with market liquidity risk. [PDF]

PLoS One, 2023
Gao R, Bai Y.
europepmc   +1 more source

Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]

Entropy (Basel)
Nowak P, Gatarek D.
europepmc   +1 more source

Fasys: Visible-Light-Based Communication and Positioning Services towards Smart Cities. [PDF]

Sensors (Basel), 2023
Yu B, Liu X, Guo L, Wei X, Song S.
europepmc   +1 more source