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We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed noise. For general ARMA$(p,q)$ equations these conditions are…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We…
The exponential stability, in both mean square and almost sure senses, for energy solutions to a class of nonlinear and non-autonomous stochastic PDEs with finite memory is investigated. Various criteria for stability are obtained. An…
Using the theory of fixed point index, we establish new results for the existence of nonzero solutions of Hammerstein integral equations with reflections. We apply our results to a first order periodic boundary value problem with…
This work establishes nonlinear orbital asymptotic stability of scalar radiative shock profiles, namely, traveling wave solutions to the simplified model system of radiating gas \cite{Hm}, consisting of a scalar conservation law coupled…
Existence of stationary solutions to a nonlocal fourth-order elliptic obstacle problem arising from the modelling of microelectromechanical systems with heterogeneous dielectric properties is shown. The underlying variational structure of…
In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the limiting behaviors of the TAR(1) process are very different…
Solutions to most nonlinear ordinary differential equations (ODEs) rely on numerical solvers, but this gives little insight into the nature of the trajectories and is relatively expensive to compute. In this paper, we derive analytic…
Hierarchical renormalization group transformations are related to non-associative algebras. Non-trivial infrared fixed points are shown to be solutions of polynomial equations. At the example of a scalar model in $d(\ge2)$ dimensions some…
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A class of regression models where cointegration works was…
A stochastic differential equation with infinite memory is considered. The drift coefficient of the equation is a nonlinear functional of the past history of the solution. Sufficient conditions for existence and uniqueness of stationary…
We constuct a sequential adaptive procedure for estimating the autoregressive function at a given point in nonparametric autoregression models with Gaussian noise. We make use of the sequential kernel estimators. The optimal adaptive…
Reaction-diffusion equations (RDEs) model the spatiotemporal evolution of a density field $u(\vec{x},t)$ according to diffusion and net local changes. Usually, the diffusivity is positive for all values of $u,$ which causes the density to…
This paper establishes the conditions of existence of a stationary solution to the first order autoregressive equation on a plane as well as properties of the stationarity solution. The first-order autoregressive model on a plane is defined…
We explore the connection between outlier-robust high-dimensional statistics and non-convex optimization in the presence of sparsity constraints, with a focus on the fundamental tasks of robust sparse mean estimation and robust sparse PCA.…
We construct stationary statistical solutions of a deterministic unforced nonlinear Schr\"odinger equation, by perturbing it by a linear damping $\gamma u$ and a stochastic force whose intensity is proportional to $\sqrt \gamma$, and then…
Planar wave trains are traveling wave solutions whose wave profiles are periodic in one spatial direction and constant in the transverse direction. In this paper, we investigate the stability of planar wave trains in reaction-diffusion…
In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests, a likelihood based information criterion, or a residual based test. The properties of such procedures…
We investigate the periodic and stationary solutions of distribution-dependent stochastic differential equations. While generally, the semigroups associated with the equations are nonlinear, we show that the methods of weak convergence and…