Results 71 to 80 of about 5,443 (259)

Concepts of Statistical Causality and Strong and Weak Properties of Predictable Representation

Mathematics
The paper considers the statistical concept of causality in continuous time, which is based on Granger’s definition of causality. We give necessary and sufficient conditions, in terms of statistical causality, for the preservation of the strong property ...
Dragana Valjarević
doaj   +1 more source

Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients

Modern Stochastics: Theory and Applications, 2014
In the paper we establish strong uniqueness of solution of a system of stochastic differential equations with random non-Lipschitz coefficients that involve both the square integrable continuous vector martingales and centered and non-centered Poisson ...
G. Kulinich, S. Kushnirenko
doaj   +1 more source

Functional Vašiček Model

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, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

On Selection of Cross‐Section Averages in Non‐Stationary Environments

Journal of Time Series Analysis, EarlyView.
ABSTRACT Information criteria (ICs) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that ICs perform well in Common Correlated Effects (CCE) and related settings when selecting a set of cross‐section averages (CAs) sufficient for the factor space under stationary factors.
Jan Ditzen, Ovidijus Stauskas
wiley   +1 more source

Martingales on manifolds and geometric Ito calculus [PDF]

This work studies properties of stochastic processes taking values in a differential manifold M with a linear connection Γ, or in a Riemannian manifold with a metric connection.
Darling, R. W. R.
core  

Thermodynamic bounds and symmetries in first-passage problems of fluctuating currents

New Journal of Physics
We develop a method for deriving thermodynamic bounds for first-passage problems of currents with two boundaries in Markov chains. Using this method, we derive a thermodynamic bound on the rate of dissipation in terms of the splitting probability and the
Adarsh Raghu, Izaak Neri
doaj   +1 more source

Estimation of the Intercept Parameter in Integrated Galton–Watson Processes

Journal of Time Series Analysis, EarlyView.
ABSTRACT We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case ...
Yang Lu
wiley   +1 more source

Martingales on Random Sets and the Strong Martingale Property

Electronic Journal of Probability, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

Martingales and First Passage Times of AR(1) Sequences [PDF]

Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences (AR(1)).
Alex Novikov, Nino Kordzakhia
core