Results 91 to 100 of about 766 (235)
Pointwise Multipliers on the Morrey Spaces
, 2009 A function g is called a pointwise multiplier from L^p〓to L^p〓, if the pointwise product fg belongs to L^p〓for each f∈L^p〓. We denote by PWM(L^p〓, Lp〓) the set of all pointwise multipliers from L^p〓to L^p〓. It is known that PWM(L^p〓, L^p〓)=L^p〓, 1/p〓+1/p〓
NAKAI, Eiichi
core
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
Uniform Convergence in B-Duals
, 2013 Let E be a vector valued sequence space with â-dual Åâã. We consider sufficient conditions on E for the series in a pointwise bounded subset of Åâã to be uniformly convergent over certain subsets of E.
Swartz, Charles
core +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 +2 more
wiley +1 more source
Kohn–Sham equations for nanowires with direct current
, 2003 The paper describes the derivation of the Kohn–Sham equations for a nanowire with direct current. A value of the electron current enters the problem as an input via a subsidiary condition imposed by pointwise Lagrange multiplier.
Kosov, D.S., D. S. Kosov
core +1 more source
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time‐invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long‐run restrictions based on the cointegration structure of the variables are available for identifying structural ...
Martin Bruns, Helmut Lütkepohl
wiley +1 more source
Factorizations induced by complete Nevanlinna–Pick factors
, 2018 We prove a factorization theorem for reproducing kernel Hilbert spaces whose kernel has a normalized complete Nevanlinna–Pick factor. This result relates the functions in the original space to pointwise multipliers determined by the Nevanlinna–Pick ...
Richter, Stefan +3 more
core +1 more source
Confidence Intervals for Price Discovery
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen +2 more
wiley +1 more source
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