Random coefficient continuous systems: Testing for extreme sample path behavior
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.01.002
Abstract: This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model… read more here.
Keywords: coefficient continuous; continuous systems; sample path; extreme sample ... See more keywords
Measuring Sample Path Causal Influences With Relative Entropy
Sign Up to like & getrecommendations! Published in 2020 at "IEEE Transactions on Information Theory"
DOI: 10.1109/tit.2019.2945290
Abstract: We present a sample path dependent measure of causal influence between time series. The proposed causal measure is a random sequence, a realization of which enables identification of specific patterns that give rise to high… read more here.
Keywords: path causal; measuring sample; path; sample path ... See more keywords