Results 31 to 40 of about 255 (153)
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
Design of experiments with mixed effects and discrete responses plus related topics
, 2012 For certain types of experiment, the response cannot be adequately modelled using a normal distribution. When this is the case, it is common to use a Generalised Linear Model (GLM) to analyse the data. Such models allow us to fit a wide range of response
Waite, Timothy
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Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
wiley +1 more source
Optimal Stopping with Dynamic Variational Preferences [PDF]
We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures.
Daniel Engelage
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Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, Volume 79, Issue 8, Page 1973-2102, August 2026.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source
A fractional Dickey-Fuller test for unit roots [PDF]
, 2002 This paper presents a new test for fractionally integrated (FI) processes. In particular, it proposes a testing procedure in the time domain that extends the well-known Dickey-Fuller approach.
Gonzalo, Jesús +2 more
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Mathematical Finance, Volume 36, Issue 3, Page 481-499, July 2026.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer +2 more
wiley +1 more source
Deterministic Multi-Player Dynkin Games [PDF]
A multi-player Dynkin game is a sequential game in which at every stage one of the players is chosen, and that player can decide whether to continue the game or to stop it, in which case all players receive some terminal payoff.
Eilon, SOLAN, Nicolas, VIEILLE
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A methodological framework for Monte Carlo probabilistic inference for diffusion processes [PDF]
, 2009 The methodological framework developed and reviewed in this article concerns the unbiased Monte Carlo estimation of the transition density of a diffusion process, and the exact simulation of diffusion processes.
Papaspiliopoulos, Omiros
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Mathematical Finance, Volume 36, Issue 3, Page 595-619, July 2026.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source