Results 51 to 60 of about 109,181 (158)
Time‐Varying Dispersion Integer‐Valued GARCH Models
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza +3 more
wiley +1 more source
Towards a constructive simplicial model of Univalent Foundations
, 2021 We provide a partial solution to the problem of defining a constructive version of Voevodsky's simplicial model of univalent foundations. For this, we prove constructive counterparts of the necessary results of simplicial homotopy theory, building on the
Gambino, Nicola, Henry, Simon
core
A Note on Local Polynomial Regression for Time Series in Banach Spaces
Journal of Time Series Analysis, EarlyView.ABSTRACT This work extends local polynomial regression to Banach space‐valued time series for estimating smoothly varying means and their derivatives in non‐stationary data. The asymptotic properties of both the standard and bias‐reduced Jackknife estimators are analyzed under mild moment conditions, establishing their convergence rates.
Florian Heinrichs
wiley +1 more source
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
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 +3 more
wiley +1 more source
Mathematical Finance, EarlyView.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
Capital in Motion: Synthesizing the Circulation and Reproduction in a Multi‐Sector Growth Model
Metroeconomica, EarlyView.ABSTRACT This paper analyzes Capital in Motion (CIM) in a capitalist economy, based on Karl Marx's Capital, Volume 2. It examines the circuit of capital, distinguishing between stock and flow variables, and integrates a multi‐sector growth model that combines the circuit and turnover of capital with the reproduction scheme.
Takashi Satoh
wiley +1 more source
Dimension reduction for optimal design problems with Kronecker product structure
Scandinavian Journal of Statistics, EarlyView.Abstract This paper is motivated by the problem of optimal allocation of trials in multi‐environment crop variety testing with a large number of varieties. Optimizing the allocation of trials results in the minimization of a design criterion with a Kronecker product structure in the information matrix.
Taras Bodnar, Maryna Prus
wiley +1 more source
Kripke's Reduction of Löb's Theorem to the Second Incompleteness Theorem
Theoria, EarlyView.ABSTRACT In this paper, we discuss Kripke's reduction of Löb's Principle to the Second Incompleteness Theorem. We have a closer look at the non‐constructive character of the reduction. We reflect on what the argument has to tell us. In the Appendix, We give a strengthening of Löb's Principle suggested by Kripke's reduction.
Albert Visser
wiley +1 more source
Beyond the Adult Mind: A Developmental Framework for Predictive Processing in Infancy
Topics in Cognitive Science, EarlyView.Abstract Predictive Processing has been proposed as the single unifying computation underlying all of cognition, and proponents argue that all psychological phenomena can be explained as consequences of this principle. This theoretical framework has inspired many cognitive scientists and neuroscientists, but it currently has no developmental mechanism ...
Emma K. Ward +4 more
wiley +1 more source