Related papers: Common persistence in conditional variance: A reco…
The concept of topological persistence, introduced recently in computational topology, finds applications in studying a map in relation to the topology of its domain. Since its introduction, it has been extended and generalized in various…
We introduce extensions of stability selection, a method to stabilise variable selection methods introduced by Meinshausen and B\"uhlmann (J R Stat Soc 72:417-473, 2010). We propose to apply a base selection method repeatedly to random…
In this paper, we introduce the notion of an Evertse-Ferretti Nevanlinna constant and compare it with the birational Nevanlinna constant introduced by the authors in a recent joint paper. We then use it to recover several previously known…
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…
In this article, we consider the problem of constructing the confidence interval and testing hypothesis for the common coefficient of variation (CV) of several normal populations. A new method is suggested using the concepts of generalized…
Distorted distributions were introduced in the context of actuarial science for several variety of insurance problems. In this paper we consider the quantile-based probabilistic mean value theorem given in Di Crescenzo et al. [4] and…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two-regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung…
If two species exhibit different nonlinear responses to a single shared resource, and if each species modifies the resource dynamics such that this favors its competitor, they may stably coexist. This coexistence mechanism, known as…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Panel data often contain stayers (units with no within-variations) and slow movers (units with little within-variations). In the presence of many slow movers, conventional econometric methods can fail to work. We propose a novel method of…
New estimators for the mean and the covariance function for partially observed functional data are proposed using a detour via the fundamental theorem of calculus. The new estimators allow for a consistent estimation of the mean and…
Confounding seriously impairs our ability to learn about causal relations from observational data. Confounding can be defined as a statistical association between two variables due to inputs from a common source (the confounder). For…
We consider Bayesian inference in inverse regression problems where the objective is to infer about unobserved covariates from observed responses and covariates. We establish posterior consistency of such unobserved covariates in Bayesian…
The problem of detecting variance breaks in the case of smooth time-varying variance structure is studied. It is highlighted that the tests based on (piecewise) constant specification of the variance are not able to distinguish between…
We investigate stability of both localized time-periodic coherent states (pulsons) and uniformly distributed coherent states (oscillating condensate) of a real scalar field satisfying the Klein-Gordon equation with a logarithmic…
We discuss the stability theory and numerical analysis of the Helmholtz equation with variable and possibly non-smooth or oscillatory coefficients. Using the unique continuation principle and the Fredholm alternative, we first give an…
Consider a system of autonomous interacting agents moving in space, adjusting each own velocity as a weighted mean of the relative velocities of the other agents. In order to test the robustness of the model, we assume that each pair of…
This paper considers equity premium prediction, for which mean regression can be problematic due to heteroscedasticity and heavy-tails of the error. We show advantages of quantile predictions using a novel penalized quantile regression that…
Vickrey's classic single-bottleneck departure time choice equilibrium model exhibits instability under many plausible day-to-day learning dynamics. Such instability is not observed in reality -- does this difference stem from the day-to-day…