Results 131 to 140 of about 6,536,345 (211)

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Composition operators for holomorphic Lipschitz functions

We study composition operators on spaces of holomorphic Lipschitz functions defined on the open unit ball of a complex Banach space. Our approach is based on the linearization of the symbol through the holomorphic Lipschitz-free spaces, which allow composition operators to be realized as adjoints of linear operators.
Dimant, Verónica, García-Lirola, Luis C., Guerrero-Viu, Juan, Procházka, Antonín   +3 more
openaire   +2 more sources

Testing Distributional Granger Causality With Entropic Optimal Transport

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley   +1 more source

Marchenko–Pastur Laws for Daniell Smoothed Periodograms

Journal of Time Series Analysis, EarlyView.
ABSTRACT Given a sample X0,…,Xn−1$$ {X}_0,\dots, {X}_{n-1} $$ from a d$$ d $$‐dimensional stationary time series (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$, the most commonly used estimator for the spectral density matrix F(θ)$$ F\left(\theta \right) $$ at a given frequency θ∈[0,2π)$$ \theta \in \left[0,2\pi \right) $$ is the Daniell smoothed ...
Ben Deitmar
wiley   +1 more source

Does a non-Lipschitz function operate on a nontrivial Banach function algebra?

Tohoku Mathematical Journal, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley   +1 more source

Galois connection between Lipschitz and linear operator ideals and minimal Lipschitz operator ideals

, 2019
We establish a relation between Lipschitz operator ideals and linear operator ideals, which fits in the framework of Galois connection between lattices.
Villafañe, Norberto Román, Turco, Pablo Alejandro, Pablo Turco, Román Villafañe   +3 more
core   +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

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

Qualitative Analysis of a Coupled Fractional-Order System Under Generalized Weighted Caputo Operators

Journal of Mathematics
This paper investigates a new class of coupled fractional-order systems driven by the generalized weighted fractional operator in the Caputo sense, recently introduced with a modified Mittag-Leffler kernel and an auxiliary strictly increasing function φ.
Fawziah M. Alotaibi
doaj   +1 more source