Related papers: Tests for Forecast Instability and Forecast Failur…
We introduce a novel notion of invariance feedback entropy to quantify the state information that is required by any controller that enforces a given subset of the state space to be invariant. We establish a number of elementary properties,…
This work provides a framework for nonlinear model-free control of systems with unknown input-output dynamics, but outputs that can be controlled by the inputs. This framework leads to real-time control of the system such that a feasible…
Reasoning failures in large language models (LLMs) are typically measured only at the end of a generation, yet many failures manifest as a process-level breakdown: the model "loses the thread" mid-reasoning. We study whether such breakdowns…
Reliable inference for spatial regression remains challenging because it requires the correct specification of the spatial dependence structure, the mean trend, and the error distribution. Existing parametric testing methods rely on…
This paper deals with the problem of estimating the state of a linear time-invariant system in the presence of sporadically available measurements and external perturbations. An observer with a continuous intersample injection term is…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
We consider a large class of nonlinear diffusive systems with nonlocal coupling. By using a non-perturbative analytical approach we are able to determine the convective and absolute instabilities of all the uniform states of these systems.…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical…
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data.…
We consider Wald type statistics designed for joint predictability and structural break testing based on the instrumentation method of Phillips and Magdalinos (2009). We show that under the assumption of nonstationary predictors: (i) the…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
We propose a new model predictive control (MPC) approach which is completely based on an observer for the state system. For this, we show semiglobally practically asymptotic stability of the closed loop for an abstract observer and…
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised.…
We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of…
Model mismatch often poses challenges in model-based controller design. This paper investigates model predictive control (MPC) of uncertain linear systems with input constraints, focusing on stability and closed-loop infinite-horizon…
The definitions of temporal instability and of spatial instability in a flow system are comparatively surveyed. The simple model of one-dimensional Burgers' flow is taken as the scenario where such different conceptions of instability are…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
A non parametric method based on the empirical likelihood is proposed for detecting the change in the coefficients of high-dimensional linear model where the number of model variables may increase as the sample size increases. This amounts…
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We…