Results 121 to 130 of about 204,835 (237)
On the Coefficient of Coherence for Weakly Stationary Stochastic Processes
The Annals of Mathematical Statistics, 1964 The coefficient of coherence is defined for bivariate weakly stationary stochastic processes which have spectral distributions dominated by a fixed Lebesgue-Stieltjes measure. This quantity is shown to possess two of the important properties which make the ordinary correlation coefficient a desirable measure of linear regression for pairs of random ...
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Alternative Price Dynamics and Valuation of Flexible Strategies
International Journal of Finance &Economics, EarlyView.ABSTRACT In this article, we study the optimal operational strategy of production projects. We investigate different underlying price models and determine the optimal barriers of transition to suspension, recovery, or irreversible abandonment of productive activity.
Cristina Bertolosi +2 more
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Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
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Interdisciplinary Medicine, EarlyView.This review explores how Fusobacterium nucleatum extracellular vesicles drive local oral diseases and distal pathologies via sophisticated cross‐compartment cross talk. It highlights the transformative potential of these “tiny carriers” as next‐generation molecular intermediaries for advanced health monitoring and innovative bio‐interventions by ...
Rongyang Ma +6 more
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Stationary Gaussian stochastic processes
, 2021 Jeg presenterer litt av teorien om stokastiske prosesser. Jeg presenterer et bevis for det spektrale representasjonsteoremet for stasjonære, Gaussiske prosesser og anvender det til å studere andre-ordens, lineære, stokastiske differensialligninger.
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On the Multivariate Analysis of Weakly Stationary Stochastic Processes
The Annals of Mathematical Statistics, 1964 The existence of the class of orthogonal projections which map an arbitrary $q$-variate weakly stationary stochastic process again into a $q$-variate process contained in the span of $p(\leqq q)$ of its component processes is established. Mimicking the definitions of the partial and multiple correlation coefficients (e.g., Anderson, 1958), these ...
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Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
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IET Networks, EarlyView., 2022 Abstract Everything can be connected in the Internet of Things (IoTs) technology that enables efficient communication between connected objects. IoTs industry‐based meta‐heuristic and mining algorithms, which are considered an important field of Artificial Intelligence will be used to construct a healthcare application in this study for lowering costs,
Muhaned Al‐Hashimi +4 more
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Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
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Journal of Applied Econometrics, EarlyView.ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
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