相关论文: Strict Stationarity Testing and GLAD Estimation of…

We propose a procedure to decide between the null hypothesis of (strict) stationarity and the alternative of non-stationarity, in the context of a Random Coefficient AutoRegression (RCAR). The procedure is based on randomising a diagnostic…

This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the non-stationary heteroskedastic time series. It is shown that the DARWIN model is always non-stationary and heteroskedastic, and…

We present a new approach for constructing polytope Lyapunov functions for continuous-time linear switching systems (LSS). This allows us to decide the stability of LSS and to compute the Lyapunov exponent with a good precision in…

This paper considers an augmented double autoregressive (DAR) model, which allows null volatility coefficients to circumvent the over-parameterization problem in the DAR model. Since the volatility coefficients might be on the boundary, the…

This paper provides an entire inference procedure for the autoregressive model under (conditional) heteroscedasticity of unknown form with a finite variance. We first establish the asymptotic normality of the weighted least absolute…

This article develops a statistical test for the null hypothesis of strict stationarity of a discrete time stochastic process in the frequency domain. When the null hypothesis is true, the second order cumulant spectrum is zero at all the…

The spacecraft attitude tracking problem is addressed with actuator faults and uncertainties among inertias, external disturbances, and, in particular, state estimates. A continuous sliding mode attitude controller is designed using…

Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. However, neither theory nor estimation methods are currently…

We study the stability properties of a class of time-varying nonlinear systems. We assume that non-strict input-to-state stable (ISS) Lyapunov functions for our systems are given and posit a mild persistency of excitation condition on our…

We derive tests of stationarity for univariate time series by combining change-point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a…

Recent research has demonstrated that the rotor angle stability can be assessed by identifying the sign of the system maximal Lyapunov exponent (MLE). A positive (negative) MLE implies unstable (stable) rotor angle dynamics. However,…

This paper investigates the robustness of exponential stability of a class of switched systems described by linear functional differential equations under arbitrary switching. We will measure the stability robustness of such a system,…

This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based…

In recommender systems, users always choose the favorite items to rate, which leads to data missing not at random and poses a great challenge for unbiased evaluation and learning of prediction models. Currently, the doubly robust (DR)…

The paper is concerned with the development of Lyapunov methods for the analysis of equilibrium stability in a dynamical system on the space of probability measures driven by a non-local continuity equation. We derive sufficient conditions…

This paper addresses the problem of robust stabilization for linear hyperbolic Partial Differential Equations (PDEs) with Markov-jumping parameter uncertainty. We consider a 2 x 2 heterogeneous hyperbolic PDE and propose a control law using…

In this paper, we introduce an innovative testing procedure for assessing individual hypotheses in high-dimensional linear regression models with measurement errors. This method remains robust even when either the X-model or Y-model is…

A novel first-order autoregressive moving average model for analyzing discrete-time series observed at irregularly spaced times is introduced. Under Gaussianity, it is established that the model is strictly stationary and ergodic. In the…

Hyperexponential stability is investigated for dynamical systems with the use of both, explicit and implicit, Lyapunov function methods. A nonlinear hyperexponential control is designed for stabilizing linear systems. The tuning procedure…

We tackle the stationarity issue of an autoregressive path with a polynomial trend, and we generalize some aspects of the LMC test, the testing procedure of Leybourne and McCabe. First, we show that it is possible to get the asymptotic…