Related papers: A supreme test for periodic explosive GARCH
Many scientific and economic problems involve the analysis of high-dimensional time series datasets. However, theoretical studies in high-dimensional statistics to date rely primarily on the assumption of independent and identically…
Max-stable processes have proved to be useful for the statistical modelling of spatial extremes. Several representations of max-stable random fields have been proposed in the literature. One such representation is based on a limit of…
This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…
In this paper, we first propose a unified framework for analyzing the stability of the phaseless operators for both amplitude and intensity measurement on an arbitrary geometric set, thereby characterizing the robust performance of phase…
This article introduces exact testing procedures on the mean of a Gaussian process $X$ derived from the outcomes of $\ell_1$-minimization over the space of complex valued measures. The process $X$ can be thought as the sum of two terms:…
Various spatiotemporal and network GARCH models have recently been proposed to capture volatility interactions, such as the transmission of market risk across financial networks. These approaches rely heavily on the specification of the…
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional…
This paper proposes a novel method (GLS Granger test) to determine causal relationships between time series based on the estimation of the autocovariance matrix and generalized least squares. We show the effectiveness of proposed…
Computing the permanent of a non-negative matrix is a computationally challenging, \#P-complete problem with wide-ranging applications. We introduce a novel permanental analogue of Schur's determinant formula, leveraging a newly defined…
In this paper, we are interested in investigating notions of stability for generalized linear differential equations (GLDEs). Initially, we propose and revisit several definitions of stability and provide a complete characterisation of them…
In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change…
Given a finite-valued sample $X_1,...,X_n$ we wish to test whether it was generated by a stationary ergodic process belonging to a family $H_0$, or it was generated by a stationary ergodic process outside $H_0$. We require the Type I error…
Current tests for nonlinearity compare a time series to the null hypothesis of a Gaussian linear stochastic process. For this restricted null assumption, random surrogates can be constructed which are constrained by the linear properties of…
The non-Gaussian quasi maximum likelihood estimator is frequently used in GARCH models with intension to improve the efficiency of the GARCH parameters. However, unless the quasi-likelihood happens to be the true one, non-Gaussian QMLE…
The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important question in financial applications, both from operational…
The Lyapounov exponent and sharp conditions for geometric ergodicity are determined of a time series model with both a threshold autoregression term and threshold autoregressive conditional heteroscedastic (ARCH) errors. The conditions…
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated by its potential applications in various areas and its…
Gamma-ray bursts (GRBs) are among the most potent probes of Lorentz invariance violation (LIV), offering direct constraints on the quantum gravity energy scale ($E_{\rm QG}$) based on observations of energy-dependent time lags. Individual…
We propose a new asymptotic test to assess the stationarity of a time series' mean that is applicable in the presence of both heteroscedasticity and short-range dependence. Our test statistic is composed of Gini's mean difference of local…
Motivated by a real problem in steel production, we introduce and analyze a general class of singularly perturbed linear hybrid systems with both switches and impulses, in which the slow or fast nature of the variables can be…