Related papers: Multivariate Feller conditions in term structure m…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…
Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
We give a finite-sample analysis of predictive inference procedures after model selection in regression with random design. The analysis is focused on a statistically challenging scenario where the number of potentially important…
Various extensions of standard inflationary models have been proposed recently by adding vector fields. Because they are generally motivated by large-scale anomalies, and the possibility of statistical anisotropy of primordial fluctuations,…
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence…
We give a substitute to Feller property for semigroups of time-changed processes; under some conditions this leads to establish sufficient (new) conditions for the semigroups to be Feller. Moreover, given a standard process and a sequence…
In observational studies, treatment may be adapted to covariates at several times without a fixed protocol, in continuous time. Treatment influences covariates, which influence treatment, which influences covariates, and so on. Then even…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
We address the issue of variable selection in the regression model with very high ambient dimension, i.e., when the number of covariates is very large. The main focus is on the situation where the number of relevant covariates, called…
Conditionally specified models are often used to describe complex multivariate data. Such models assume implicit structures on the extremes. So far, no methodology exists for calculating extremal characteristics of conditional models since…
We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in…
We analyze control of the familywise error rate (FWER) in a multiple testing scenario with a great many null hypotheses about the distribution of a high-dimensional random variable among which only a very small fraction are false, or…
In structure-based models of proteins, one often assumes that folding is accomplished when all contacts are established. This assumption may frequently lead to a conceptual problem that folding takes place in a temperature region of very…
A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the…
Regression models describing the joint distribution of multivariate response variables conditional on covariate information have become an important aspect of contemporary regression analysis. However, a limitation of such models is that…
Model selection often aims to choose a single model, assuming that the form of the model is correct. However, there may be multiple possible underlying explanatory patterns in a set of predictors that could explain a response. Model…
This paper considers fixed effects (FE) estimation for linear panel data models under possible model misspecification when both the number of individuals, $n$, and the number of time periods, $T$, are large. We first clarify the probability…
We study perturbations of Feller generators under `lower order terms' with measurable coefficients. We investigate which properties of the original semigroup -- such as positivity, conservativeness and the Feller property -- are passed to…