Results 21 to 30 of about 2,539 (109)

Profiling the sleep architecture of ageing adults using a seven‐state continuous‐time Markov model

Journal of Sleep Research, Volume 34, Issue 2, April 2025.
Summary Sleep is a complex biological process regulated by networks of neurons and environmental factors. As one falls asleep, neurotransmitters from sleep–wake regulating neurones work in synergy to control the switching of different sleep states throughout the night. As sleep disorders or underlying neuropathology can manifest as irregular switching,
Jonathon Jacobs, Caitlin E. Martin, Bernard Fuemmeler, Shanshan Chen   +3 more
wiley   +1 more source

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

Autoregressive Hypergraph

Journal of Time Series Analysis, EarlyView.
ABSTRACT Traditional graph representations are insufficient for modelling real‐world phenomena involving multi‐entity interactions, such as collaborative projects or protein complexes, necessitating the use of hypergraphs. While hypergraphs preserve the intrinsic nature of such complex relationships, existing models often overlook temporal evolution in
Xianghe Zhu, Qiwei Yao
wiley   +1 more source

Multiple Chains Markov Switching Vector Autoregression

Journal of Time Series Analysis, EarlyView.
ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley   +1 more source

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Never, Ever Getting Started: On Prospect Theory Without Commitment

Mathematical Finance, EarlyView.
ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley   +1 more source

Natural selection and recombination interact to structure genome-wide variation in pines. [PDF]

Plant J
SUMMARY Genetic differentiation among populations often varies significantly across the genome due to factors such as selection and recombination, resulting in a heterogeneous genomic landscape. However, variation in low‐differentiation regions—genomic valleys—remains poorly understood.
Yang CJ, Funda T, Chaudhary R, Chen ZQ, Barcala ME, Wu H.   +5 more
europepmc   +2 more sources

Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling

Mathematical Finance, EarlyView.
ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici, Gianluca Fusai, Anna Maria Gambaro, Daniele Marazzina   +3 more
wiley   +1 more source

Using Stochastic Simulations to Shed Light on How to Deploy Speed Breeding and Genomic Selection in Self‐Pollinated Recurrent Breeding Programs

Plant Breeding, EarlyView.
ABSTRACT Speed breeding can shorten breeding cycles and, when combined with genomic selection, can accelerate genetic gain. Yet it remains unclear how different integration strategies affect long‐term response, genetic variance and cost‐efficiency in small public programs.
Jesimiel da Silva Viana, Júlio César DoVale, Roberto Fritsche‐Neto   +2 more
wiley   +1 more source