Related papers: The Wishart short rate model
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
In linear regression problems with related predictors, it is desirable to do variable selection and estimation by maintaining the hierarchical or structural relationships among predictors. In this paper we propose non-negative garrote…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a…
The reduction of a continuous Markov process with multiple metastable states to a discrete rate process is investigated in the presence of slow time dependent parameters such as periodic external forces or slowly fluctuating barrier…
This paper investigates the continuous-time limit of score-driven models with long memory. By extending score-driven models to incorporate infinite-lag structures with coefficients exhibiting heavy-tailed decay, we establish their weak…
We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets.…
Recent works have shown an interest in investigating the frequentist asymptotic properties of Bayesian procedures for high-dimensional linear models under sparsity constraints. However, there exists a gap in the literature regarding…
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and the special…
With $P_t$ the price in current dollars of a dollar delivered $t$ time units from now, we assume that $P$ is a decreasing function defined for $t \in \mathbb{R}_+$ with $P_0 = 1$. The negative logarithmic derivative, $-…
This paper deals with the Elliptical Wishart and Inverse Elliptical Wishart distributions, which play a major role when handling covariance matrices. Similarly to multivariate elliptical distributions, these form a large family of…
Many physical phenomena are modeled as stochastic searchers looking for targets. In these models, the probability that a searcher finds a particular target, its so-called hitting probability, is often of considerable interest. In this work…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
In this paper we consider some hypothesis tests within a family of Wishart distributions, where both the sample space and the parameter space are symmetric cones. For such testing problems, we first derive the joint density of the ordered…
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the estimation of its parameters. Here, we study the Maximum…
Organizations use cash management models to control balances to both avoid overdrafts and obtain a profit from short-term investments. Most management models are based on control bounds which are derived from the assumption of a particular…
In this paper, we obtain sufficient conditions in terms of projective criteria under which the partial sums of a stationary process with values in ${\mathcal{H}}$ (a real and separable Hilbert space) admits an approximation, in…
We prove that the number of iterations required to solve a random positive definite linear system with the conjugate gradient algorithm is almost deterministic for large matrices. We treat the case of Wishart matrices $W = XX^*$ where $X$…
The shear viscosity in the dilute regime of a model for confined granular matter is studied by simulations and kinetic theory. The model consists on projecting into two dimensions the motion of vibrofluidized granular matter in shallow…