Sep 13, 2008 · The procedure uses a single sample path of the diffusion and involves two estimators, one temporal and one spatial. We first apply the test to ...
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A test for non-stationarity of a one-dimensional diffusion based on the time inhomogeneity of the diffusion function is developed and found evidence that ...
Sep 13, 2008 · The procedure uses a single sample path of the diffusion and involves two estimators, one temporal and one spatial. We first apply the test to ...
Murad Taqqu. Registered: Abstract. Financial data are often assumed to be generated by diffusions. Using recent results of Fan et al. (J Am Stat Assoc ...
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In this work, we provide the first experimental validation of superstatistics and formal comparison of four non-stationary diffusion decision models in a ...
We propose additive functional-based nonstationarity tests that exploit the different divergence rates of the occupation times of a (possibly nonlinear) process ...
For non-terminated processes, there are two possible hypotheses: that decisions are made on the basis of the partial information that has already been ...
Sep 27, 2024 · TL;DR: This paper delves into the potential of multi-resolution technique and diffusion model for non-stationary time series anomaly detection, ...
The new estimator enables us to construct exact level-a confidence intervals and tests for the parameter in the possibly non-stationary and/or nonlinear ...
Oct 13, 2017 · Diffusion indexes measure the extent of common participation of the various sectors of the economy in expansions and contractions of aggregate ...