-sectional and serial dependence, as well as heteroskedasticity. Our models also allow for missing observations in the dependent …

-sectional and serial dependence, as well as heteroskedasticity. Our models also allow for missing observations in the dependent …

This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized … cross-correlations caused by serial dependence. In this respect, we study analytically the density of sample cross …

This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized … cross-correlations caused by serial dependence. In this respect, we study analytically the density of sample cross …

extropy measure can be used for this purpose. Regarding signed serial dependence in categorical time series, we consider three …The analysis and modeling of categorical time series requires quantifying the extent of dispersion and serial … dependence. The dispersion of categorical data is commonly measured by Gini index or entropy, but also the recently proposed …

extropy measure can be used for this purpose. Regarding signed serial dependence in categorical time series, we consider three …The analysis and modeling of categorical time series requires quantifying the extent of dispersion and serial … dependence. The dispersion of categorical data is commonly measured by Gini index or entropy, but also the recently proposed …

uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show … contributes to generating different serial dependence patterns of excess returns: rational expectations risk premium models tend … to generate negative serial dependence of excess returns, while expectational errors models tend to generate positive …