Related papers: Common persistence in conditional variance: A reco…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Complex high-dimensional co-occurrence data are increasingly popular from a complex system of interacting physical, biological and social processes in discretely indexed modifiable areal units or continuously indexed locations of a study…
Chatterjee's correlation coefficient has recently been proposed as a new association measure for bivariate random vectors that satisfies a number of desirable properties. Among these properties is the feature that the coefficient equals one…
One cannot justifiably presuppose the physical salience of structures derived via decoherence theory based upon an entirely uninterpreted use of the quantum formalism. Non-probabilistic accounts of the emergence of probability via…
This work has been prompted by the surprising lack of mathematical coherence in the common usage of some of the fundamental entities in the theory of probability, with an inherent risk of contradiction. While disentangling the intricacies,…
We review some string-inspired theoretical models which incorporate a correlated spacetime variation of coupling constants while remaining naturally compatible both with phenomenological constraints coming from geochemical data (Oklo;…
Most papers implicitly assume competing risks to be induced by residual cohort heterogeneity, i.e. heterogeneity that is not captured by the recorded covariates. Based on this observation we develop a generic statistical description of…
This article analyzes the relationship between co-persistence and hedging which indicates co-persistence ratio is just the long-term hedging ratio. The new method of exhaustive search algorithm for deriving co-persistence ratio is derived…
Piecewise constant priors are routinely used in the Bayesian Cox proportional hazards model for survival analysis. Despite its popularity, large sample properties of this Bayesian method are not yet well understood. This work provides a…
In this note, we study the long time behavior of Lotka-Volterra systems whose coefficients vary randomly. Bena{\"i}m and Lobry (2015) recently established that randomly switching between two environments that are both favorable to the same…
The paper studies nonstationary high-dimensional vector autoregressions of order $k$, VAR($k$). Additional deterministic terms such as trend or seasonality are allowed. The number of time periods, $T$, and the number of coordinates, $N$,…
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston (1993) stochastic volatility model. In order to obtain these cross-covariances the authors use an incorrect expression for the distribution of the…
In a 1996 paper, See$\beta$elberg, Trautmann and Thorn modified Gillespie's (1975) Monte Carlo algorithm which is used to stochastically simulate the collision and coalescence process. Their modification reduces the storage requirements of…
Bayesian inference paradigms are regarded as powerful tools for solution of inverse problems. However, when applied to inverse problems in physical sciences, Bayesian formulations suffer from a number of inconsistencies that are often…
The consistency of posterior distributions in density estimation is at the core of Bayesian statistical theory. Classical work established sufficient conditions, typically combining KL support with complexity bounds on sieves of high prior…
Algebraic persistence studies persistence modules (typically, linear representations of the poset $\mathbf{R}^n$ with $n \geq 1$) and the algebraic relationships between persistence modules that are interleaved. The notion of…
In this work we provide a simple estimation procedure for a general frailty model for analysis of prospective correlated failure times. Rigorous large-sample theory for the proposed estimators of both the regression coefficient vector and…
We consider a Lotka-Volterra food chain model with possibly intra-specific competition in a stochastic environment represented by stochastic differential equations. In the non-degenerate setting, this model has already been studied by A.…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
In a multiple linear regression model, the algebraic formula of the decomposition theorem explains the relationship between the univariate regression coefficient and partial regression coefficient using geometry. It was found that…