Sparse Causal Dynamic Linear Regression
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley +1 more source
Theoretical analysis of thermomechanical response for biological skin tissues. [PDF]
Sci RepIslam N, Das B, Lahiri A.
europepmc +1 more source
On a nonlinear eigenvalue problem
Journal of Mathematical Analysis and Applications, 1968 openaire +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Photonic neuromorphic computing using symmetry-protected zero modes in coupled nanolaser arrays. [PDF]
Nat CommunJi K +4 more
europepmc +1 more source
Nowcasting Swiss GDP Growth From Public Lead Texts: Simple Methods Are Sufficient
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Public lead texts from Swiss newspapers contain most of the signal needed to nowcast Swiss GDP growth in real time. I build an indicator from daily topic‐specific sentiment and recession measures extracted from three Swiss newspapers and evaluate it in pseudo‐real time.
Marc Burri
wiley +1 more source
Research on AUV Underwater Localization Method Based on an n-Shaped Array. [PDF]
Sensors (Basel)Han C, Gao M, Shen T, Guo C.
europepmc +1 more source
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
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A nonlocal West Nile virus model with nonlocal free boundary conditions driven by both mosquitoes and birds. [PDF]
J Math BiolLong X, Lou Y, Ni W, Yi T.
europepmc +1 more source
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source