Related papers: On generalized ARCH model with stationary liquidit…

This paper discusses a general framework for smoothing parameter estimation for models with regular likelihoods constructed in terms of unknown smooth functions of covariates. Gaussian random effects and parametric terms may also be…

In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal probability density function of the error term is found. It…

For given non-consistent initial conditions, we study the stability of a class of generalised linear systems of difference equations with constant coefficients and taking into account that the leading coefficient can be a singular matrix.…

Shear and bulk viscosity of liquid water and Argon are evaluated from first principles in the Density Functional Theory (DFT) framework, by performing Molecular Dynamics simulations in the NVE ensemble and using the Kubo-Greenwood…

The paper proposes an identification procedure for autoregressive gaussian stationary stochastic processes wherein the manifest (or observed) variables are mostly related through a limited number of latent (or hidden) variables. The method…

We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as…

The paper deals with the existence and almost periodic homogenization of some model of generalized Navier-Stokes equations. We first establish an existence result for non-stationary Ladyzhenskaya equations with a given non constant density.…

This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…

In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…

The condition of parameter identifiability is essential for the consistency of all estimators and is often challenging to prove. As a consequence, this condition is often assumed for simplicity although this may not be straightforward to…

We define a class of functions which have a known decay rate coupled with a periodic fluctuation. We identify conditions on the kernel of a linear summation convolution Volterra equation which give the equivalence of the kernel lying in…

Graph representations offer powerful and intuitive ways to describe data in a multitude of application domains. Here, we consider stochastic processes generating graphs and propose a methodology for detecting changes in stationarity of such…

Resolvers, like all electromagnetic devices, are constantly under investigation, both operationally and structurally. In this regard, proposing a modeling methodology that can save significant time without compromising accuracy is a big…

High-order ARX models can be used to approximate a quite general class of linear systems in a parametric model structure, and well-established methods can then be used to retrieve the true plant and noise models from the ARX polynomials.…

This paper introduces a novel quantile approach to harness the high-frequency information and improve the daily conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ…

Liquid marbles refer to liquid droplets that are covered with a layer of non-wetting particles. They are observed in nature and have practical significance. However, a generalized framework for analyzing liquid marbles as they inflate or…

A model-free bootstrap procedure for a general class of stationary time series is introduced. The theoretical framework is established, showing asymptotic validity of bootstrap confidence intervals for many statistics of interest. In…

In this article, we review and discuss different aspects of stability and genericity of some properties of space-times which occur in various contexts in the General Theory of Relativity. We also give argument supporting the conclusion that…

We consider stationary autoregressive processes with coefficients restricted to an ellipsoid, which includes autoregressive processes with absolutely summable coefficients. We provide consistency results under different norms for the…

We prove a sharp asymptotic formula for certain oscillatory integrals that may be approached using the stationary phase method. The estimates are uniform in terms of auxiliary parameters, which is crucial for application in analytic number…