Results 51 to 60 of about 2,916 (191)
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
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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
Communication Complexity of Set-Disjointness for All Probabilities [PDF]
, 2014 We study set-disjointness in a generalized model of randomized two-party communication where the probability of acceptance must be at least alpha(n) on yes-inputs and at most beta(n) on no-inputs, for some functions alpha(n)>beta(n). Our main result is a
Göös, Mika, Watson, Thomas
core +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
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
Improved optimal bounds using the Watson theorem.
Physical Review D, 1972 A method is presented to find an optimal lower bound on the quadratic functional integrals which appear in the derivation of bounds on the hadronic contribution to the muon magnetic moment, or on the Kl3 form factors, when one knows that the function and its derivative take some definite values at the origin and that its phase is given on a part of the
openaire +3 more sources