Results 41 to 50 of about 658,996 (166)

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

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

Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth

Journal of Time Series Analysis, EarlyView.
ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli, Marco Lippi, Tommaso Proietti   +2 more
wiley   +1 more source

Multiple Chains Markov Switching Vector Autoregression

Journal of Time Series Analysis, EarlyView.
ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley   +1 more source

Estimation of the Intercept Parameter in Integrated Galton–Watson Processes

Journal of Time Series Analysis, EarlyView.
ABSTRACT We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case ...
Yang Lu
wiley   +1 more source

A central limit theorem for biased random walks on Galton–Watson trees [PDF]

Probability Theory and Related Fields, 2007
Let ${\cal T}$ be a rooted Galton-Watson tree with offspring distribution $\{p_k\}$ that has $p_0=0$, mean $m=\sum kp_k>1$ and exponential tails. Consider the $λ$-biased random walk $\{X_n\}_{n\geq 0}$ on ${\cal T}$; this is the nearest neighbor random walk which, when at a vertex $v$ with $d_v$ offspring, moves closer to the root with probability ...
Peres, Yuval, Zeitouni, Ofer
openaire   +3 more sources

Sparse Causal Dynamic Linear Regression

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley   +1 more source

Zeros of Bessel functions: monotonicity, concavity, inequalities

Le Matematiche, 2007
We present a survey of the most important inequalities and monotonicity, concavity (convexity) results of the zeros of Bessel functions. The results refer to the definition Jνκ of the zeros of Cν (x) = Jν (x) cosα −Yν (x) sin&
Andrea Laforgia, Pierpaolo Natalini
doaj  

Weak Exogeneity, Driving Trends and Non‐Causality. Is Dynamic Adjustment Informative About Causality?

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT In VECMs (or CVARs), the weak exogeneity of some of the variables (for the long‐run parameters) is related to the equilibrium adjustment dynamics. This has sometimes led to the statistical concept of weak exogeneity being given a causal interpretation.
Emanuele Lopetuso, Michael P. Clements
wiley   +1 more source

Doctor Watson Architects: AIR Grid Transnational

, 2018
At a place called Saint Paul-lez-Durance in Southern France there is an enormous construction site where scientists and engineers are building a Tokamak (The word is an abbreviation for toroidal chamber with magnetic coils, it is a device that uses a ...
Watson, V.A.
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