Estimation of the regime shifts of the volatility and the trend by a variational method

This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by

Combined with the new, mixed boundary conditions recently introduced by the authors ( Brisard et al. , 2013b ), the resulting numerical method is an attractive tool for

Assessment of early-detection methods in terms of (i) the potential for detecting early-warnings signals in the selected time series, (ii) how far in advance early-warning signals

The variational discrete element method developed in [ 28 ] for dynamic elasto- plastic computations is adapted to compute the deformation of elastic Cosserat materials.. In addition

Perturbative expansions such as high-temperature series are frequently used for exploring the critical properties of spin systems, especially when the dimensionality or the symetries

Our results can be interpreted as follows. The inverse problem is drastically reduced when the number of observations per subject increases, enabling, in a way, to invert the..

In particular given n the number of observations, the choice of N = n/2 Fourier coefficients to estimate the integrated volatility is optimal and in this case, the variance is the

La comparaison de l’effet des différents niveaux de température sur le taux de chlorophylle chez les feuilles de la première vague de croissance des semis de chêne