Results 91 to 100 of about 3,141,474 (179)

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

The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study [PDF]

This paper presents a simulation study that assesses the finite sample performance of the subspace algorithm cointegration analysis developed in Bauer und Wagner (2002b).
Martin Wagner, Dietmar Bauer
core  

On the Existence of One‐Sided Representations for the Generalised Dynamic Factor Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We study the Generalised Dynamic Factor Model (GDFM) and show that the dynamic common component, that is, the common component of the GDFM, can be expressed using only current and past observations under mild assumptions. Specifically, we require (i) the dynamic common component to be purely non‐deterministic and (ii) the exclusion of ...
Philipp Gersing
wiley   +1 more source

Principal Component Analysis for High‐Dimensional Approximate Factor Models in Time Series: Assumptions, Asymptotic Theory, and Identification

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider estimation of large approximate factor models in high‐dimensional panels of stationary time series using Principal Component Analysis (PCA). We review the key results establishing the necessary and sufficient conditions for consistency and asymptotic normality of the estimators, which hold when both the cross‐sectional dimension n$$
Matteo Barigozzi
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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source

The Detection of Subsynchronous Oscillation in HVDC Based on the Stochastic Subspace Identification Method 1 [PDF]

, 2013
: Subsynchronous oscillation (SSO) usually caused by series compensation, power system stabilizer (PSS), high voltage direct current transmission (HVDC) and other power electronic equipment, which will affect the safe operation of generator shafting even
Li Xing-yuan, Luo Xiao-yi, Li Kuang, Chen Shi   +3 more
core  

Output-Only Identification of System Parameters from Noisy Measurements by Multiwavelet Denoising

Advances in Mechanical Engineering, 2014
In this paper we estimate the parameters of a multidimensional system from a record of noisy output measurements by using a multiwavelet denoising technique.
O. Al-Gahtani, M. El-Gebeily, Y. Khulief
doaj   +1 more source

Parametric Study of Stochastic Subspace Algorithms in Modal Analysis of Moment‐Resistant Frames [PDF]

Numerical Methods in Civil Engineering
The Finite Element Model (FEM) derived from the design drawings may not precisely depict the behavior of the actual structure. This is due to various factors, such as construction variations, uncertainties in boundary conditions, discrepancies in ...
Mehran Pourgholi, Saied Mahdavi
doaj   +1 more source

Teleosemantics for neural word embeddings

Mind &Language, EarlyView.
This paper applies a consumer‐based teleosemantic framework to give a detailed analysis of a particular algorithm for generating word embeddings. In the process, it addresses several of the challenges facing teleosemantic approaches to artificial neural networks.
Fintan Mallory
wiley   +1 more source