相关论文: GARCH-extended models: theoretical properties and …
The article addresses a long-standing open problem on the justification of using variational Bayes methods for parameter estimation. We provide general conditions for obtaining optimal risk bounds for point estimates acquired from…
We propose a generalized extreme shock model with a possibly increasing failure threshold. While standard models assume that the crucial threshold for the system may only decrease over time, because of weakening shocks and obsolescence, we…
Recently there has been increased interest in fitting generative graph models to real-world networks. In particular, Bl\"asius et al. have proposed a framework for systematic evaluation of the expressivity of random graph models. We extend…
Marginal models involve restrictions on the conditional and marginal association structure of a set of categorical variables. They generalize log-linear models for contingency tables, which are the fundamental tools for modelling the…
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…
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…
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…
Exponentially stable extended adaptive observer is proposed for a class of linear time-invariant systems with unknown parameters and overparameterization. It allows one to reconstruct unmeasured states and bounded external disturbance…
We establish verifiable general sufficient conditions for exponential or subexponential ergodicity of Markov processes that may lack the strong Feller property. We apply the obtained results to show exponential ergodicity of a variety of…
Generalized autoregressive score (GAS) models are a class of observation-driven time series models that employ the score to dynamically update time-varying parameters of the underlying probability distribution. GAS models have been…
In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models.…
Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper…
In [1], the authors have studied stability of certain causal properties of space-times in general relativity. As a continuation of this work, in the present paper, we review and discuss, some more aspects of stability which occur in various…
In this paper, we introduce generalized dichotomies for nonautonomous random linear dynamical systems acting on arbitrary Banach spaces, and obtain their complete characterization in terms of an appropriate admissibility property. These…
We establish a sufficient condition for the tightness of a sequence of stochastic processes. Our condition makes it possible to study processes with accumulations of fixed times of discontinuity. Our motivation comes from the study of…
Ranking data are frequently obtained nowadays but there are still scarce methods for treating these data when temporally observed. The present paper contributes to this topic by proposing and developing novel models for handling time series…
Extended Thermodynamics is a very important theory: for example, it predicts hyperbolicity, finite speeds of propagation waves as well as continuous dependence on initial data. Therefore, it constitutes a significative improvement of…
The property of extended longitudinal scaling of rapidity distributions was noticed recently over a broad range of beam energies. It is shown here that this property is consistent with predictions of the statistical thermal model up to the…
In this paper we consider multivariate time series obtained as solution to multidimensional nonlinear stochastic difference equations whose coefficients are allowed to be locally degenerate and to present discontinuities. We provide simple…
This article is a discussion of some characteristic properties in connection with global models, particularly for the application of prediction, such as the approximation property, the interpolation property and the transmission property.