We consider Taylor’s stochastic volatility model (SVM) when the innovations of the hidden log-volatility process have a Laplace distribution (ℓ <Subscript>1</Subscript> exponential density), rather than the standard Gaussian distribution (ℓ <Subscript>2</Subscript>) usually employed. Recently many investigations have employed ℓ <Subscript>1</Subscript>...</subscript></subscript></subscript>

The proposed smooth blockwise iterative thresholding estimator (SBITE) is a model selection technique defined as a fixed point reached by iterating a likelihood gradient-based thresholding function. The smooth James--Stein thresholding function has two regularization parameters λ and ν, and a...

In a sailboat race, the navigator’s attempts to plot the fastest possible course are hindered by shifty winds. We present mathematical models appropriate for this situation, which use statistical analysis of wind fluctuations and are amenable to stochastic optimization methods. We describe the...