Related papers: Common persistence in conditional variance: A reco…
This article explores a relationship between inconsistency in the pairwise comparisons method and conditions of order preservation. A pairwise comparisons matrix with elements from an alo-group is investigated. This approach allows for a…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Structural models with no solution are incoherent, and those with multiple solutions are incomplete. We show that models with occasionally binding constraints are not generically coherent. Coherency requires restrictions on the parameters…
The paper explores a different variation of combined regression strategy to calculate the conditional survival function. We use regression based weak learners to create the proposed ensemble technique. The proposed combined regression…
Large Bayesian vector autoregressions with various forms of stochastic volatility have become increasingly popular in empirical macroeconomics. One main difficulty for practitioners is to choose the most suitable stochastic volatility…
We highlight a striking difference in behavior between two widely used variants of coordinate ascent variational inference: the sequential and parallel algorithms. While such differences were known in the numerical analysis literature in…
Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates…
The extended persistence diagram is an invariant of piecewise linear functions, which is known to be stable under perturbations of functions with respect to the bottleneck distance as introduced by Cohen-Steiner, Edelsbrunner, and Harer. We…
In many applications, the underlying scientific question concerns whether the variances of $k$ samples are equal. There are a substantial number of tests for this problem. Many of them rely on the assumption of normality and are not robust…
In a recent preprint (Mosegaard and Curtis, 2024, arXiv:2411.13570v2) we analyzed the consequences of ignoring the well-known inconsistency of classical conditional probability densities. We explained how this inconsistency, together with…
Our general aim is to give sufficient conditions for robustness behavior and convergence to the equilibrium point of linear time-varying fractional system's solutions. We approach this problem using as a framework a series of recent results…
Several consistency notions are available for a lower prevision P assessed on a set D of gambles (bounded random variables), ranging from the well known coherence to convexity and to the recently introduced 2-coherence and 2-convexity. In…
Pairwise comparisons between alternatives are a well-established tool to decompose decision problems into smaller and more easily tractable sub-problems. However, due to our limited rationality, the subjective preferences expressed by…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We consider the classical two-dimensional Rosenzweig-MacArthur prey-predator model with a degenerate noise, whereby only the prey variable is subject to small environmental fluctuations. This model has already been introduced in…
We consider a non-proportional hazards model where the regression coefficient is not constant but piecewise constant. Following Andersen and Gill (1982), we know that a knowledge of the changepoint leads to a relatively straightforward…
The linear regression model is widely used in empirical work in Economics, Statistics, and many other disciplines. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We…
Compositional data (i.e., data comprising random variables that sum up to a constant) arises in many applications including microbiome studies, chemical ecology, political science, and experimental designs. Yet when compositional data serve…
The paper is concerned with asymptotic properties of the principal components analysis of functional data. The currently available results assume the existence of the fourth moment. We develop analogous results in a setting which does not…
Individuals within any species exhibit differences in size, developmental state, or spatial location. These differences coupled with environmental fluctuations in demographic rates can have subtle effects on population persistence and…