Related papers: On generalized ARCH model with stationary liquidit…
A lattice model for binary mixture of lipids and water is introduced and investigated. The orientational degrees of freedom of the amphiphilic molecules are taken into account in the same way as in the model for oil-water-surfactant…
The article contains an overview over locally stationary processes. At the beginning time varying autoregressive processes are discussed in detail - both as as a deep example and an important class of locally stationary processes. In the…
We introduce the arbitrary rectangle-range generalized elastic net penalty method, abbreviated to ARGEN, for performing constrained variable selection and regularization in high-dimensional sparse linear models. As a natural extension of…
In this note, we show the existence of regular solutions to the stationary version of the Navier-Stokes system for compressible fluids with a density dependent viscosity, known as the shallow water equations. For arbitrary large forcing we…
For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (corresponding to at-the-money option with expiry at t+DT), and…
In this paper we discuss the Mather problem for stationary Lagrangians, that is Lagrangians $L:\Rr^n\times \Rr^n\times \Omega\to \Rr$, where $\Omega$ is a compact metric space on which $\Rr^n$ acts through an action which leaves $L$…
We introduce and explore a new class of stationary time series models for variance matrices based on a constructive definition exploiting inverse Wishart distribution theory. The main class of models explored is a novel class of stationary,…
For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for…
Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general…
A general system of several ordinary differential equations coupled with a reaction-diffusion equation in a bounded domain with zero-flux boundary condition is studied in the context of pattern formation. These initial-boundary value…
We develop of a field-theoretic approach for the treatment of both the non-local and the non-linear response of structured liquid dielectrics. Our systems of interest are composed of dipolar solvent molecules and simple salt cations and…
Using the LRT statistic, a model R^2 is proposed for the generalized linear mixed model for assessing the association between the correlated outcomes and fixed effects. The R^2 compares the full model to a null model with all fixed effects…
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric…
Systems consisting of a single ordinary differential equation coupled with one reaction-diffusion equation in a bounded domain and with the Neumann boundary conditions are studied in the case of particular nonlinearities from the…
We revisit the paradigm of unified dark energy discussing in detail the averaging problem in this type of scenarios, highlighting the need for a full non-linear treatment. We also address the question of if and how models with one or…
We consider a shallow water model in a homogenization framework. For periodic topographies, Craig, Lannes and Sulem have established a consistency result under some non-resonance conditions. In the present contribution, we significantly…
We propose an $L^2$ norm for stationary Autoregressive Moving Average (ARMA) models. We look at ARMA models within the Hilbert space of the past with present of a true purely linearly non-deterministic stationary process $X_t$, and compute…
We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class…
This work is concerned with the estimation of the intensity parameter of a stationary determinantal point process. We consider the standard estimator, corresponding to the number of observed points per unit volume and a recently introduced…
We study a simplistic model of instationary gas flows consisting of a sequence of k stationary gas flows. We present efficiently solvable cases and NP-hardness results, establishing complexity gaps between stationary and instationary gas…