Results 181 to 190 of about 360,754 (261)
A new heteroskedasticity‐robust test for explosive bubbles
Journal of Time Series Analysis, EarlyView.We propose a new class of modified regression‐based tests for detecting asset price bubbles designed to be robust to the presence of general forms of both conditional and unconditional heteroskedasticity in the price series. This modification, based on the approach developed in Beare (2018) in the context of conventional unit root testing, is achieved ...
David I. Harvey +3 more
wiley +1 more source
Riemann Integral of Functions from R into Rn [PDF]
, 2009 Keiichi Miyajima, Yasunari Shidama
openalex +1 more source
Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, EarlyView.ABSTRACT The common practice in cointegrating polynomial regressions (CPRs) often confines nonlinearities in the variable of interest to stochastic trends, thereby overlooking the possibility that they may be caused by deterministic components. As an extension, we propose univariate and multivariate CPRs that incorporate power law deterministic trends.
Yicong Lin, Hanno Reuvers
wiley +1 more source
Change Point Analysis for Functional Data Using Empirical Characteristic Functionals
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth +2 more
wiley +1 more source
On the integral of the error term in the fourth moment of the Riemann zeta-function
, 2000 Aleksandar Ivić
openalex +1 more source
On the use of receiver operating characteristic area under the curve in eyewitness memory research
Legal and Criminological Psychology, EarlyView.Abstract Purpose Eyewitness memory research has reformed police practices and policy and is sometimes relied upon in legal proceedings. Due to the practical implications derived from this research, it is imperative to evaluate how practical recommendations are postulated.
Paul Riesthuis, Henry Otgaar
wiley +1 more source
Evaluate Fuzzy Riemann Integrals Using the Monte Carlo Method
, 2001 Hsien-Chung Wu
openalex +1 more source
Spanning Multi‐Asset Payoffs With ReLUs
Mathematical Finance, EarlyView.ABSTRACT We propose a distributional formulation of the spanning problem of a multi‐asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish a Fourier‐based formula to calculate the solution.
Sébastien Bossu +2 more
wiley +1 more source
Integral representations of the Riemann zeta function for odd-integer arguments
, 2002 Djurdje Cvijović, Jacek Klinowski
openalex +1 more source