p-exponent and p-leaders, Part I: Negative pointwise regularity

2016 ◽  
Vol 448 ◽  
pp. 300-318 ◽  
Author(s):  
S. Jaffard ◽  
C. Melot ◽  
R. Leonarduzzi ◽  
H. Wendt ◽  
P. Abry ◽  
...  
Keyword(s):  
Pointwise Regularity

scholarly journals Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process

2021 ◽  
Author(s):  
Massimiliano Frezza ◽  
Sergio Bianchi ◽  
Augusto Pianese
Keyword(s):  
At Risk ◽  
Financial Markets ◽  
Value At Risk ◽  
Average Method ◽  
Moving Average ◽  
Computational Approach ◽  
Local Regularity ◽  
Price Process ◽  
Weighted Moving Average ◽  
Pointwise Regularity

AbstractA new computational approach based on the pointwise regularity exponent of the price time series is proposed to estimate Value at Risk. The forecasts obtained are compared with those of two largely used methodologies: the variance-covariance method and the exponentially weighted moving average method. Our findings show that in two very turbulent periods of financial markets the forecasts obtained using our algorithm decidedly outperform the two benchmarks, providing more accurate estimates in terms of both unconditional coverage and independence and magnitude of losses.

Pointwise regularity criteria

2004 ◽  
Vol 339 (11) ◽  
pp. 757-762 ◽  
Author(s):  
Stéphane Jaffard
Keyword(s):  
Regularity Criteria ◽  
Pointwise Regularity

scholarly journals Pointwise regularity for solutions of double obstacle problems on metric spaces

2011 ◽  
Vol 109 (2) ◽  
pp. 185 ◽  
Author(s):  
Zohra Farnana
Keyword(s):  
Metric Spaces ◽  
Hölder Continuity ◽  
Obstacle Problems ◽  
Holder Continuity ◽  
Hölder Continuous ◽  
Pointwise Regularity

We study continuity at a given point for solutions of double obstacle problems. We obtain pointwise continuity of the solutions for discontinuous obstacles. We also show Hölder continuity for solutions of the double obstacle problems if the obstacles are Hölder continuous.

CONTRIBUTIONS OF FRACTIONAL CALCULUS TO EARLY VISION

Fractals ◽  
1994 ◽  
Vol 02 (03) ◽  
pp. 387-390
Author(s):  
FRÉDÉRIC FALZON ◽  
GÉRARD GIRAUDON
Keyword(s):  
Fractional Calculus ◽  
Large Class ◽  
Image Understanding ◽  
Features Extraction ◽  
Detection Methods ◽  
Early Vision ◽  
Singularity Detection ◽  
Accurate Knowledge ◽  
Almost All ◽  
Pointwise Regularity

As for almost all physical signals, useful information for image understanding is contained in the position and nature of singularities. Consequently, a set of early vision methods has been proposed for locating discontinuities of given derivatives with the aim of solving a large class of features extraction problems. Certain early vision tasks also require a more accurate knowledge of pointwise regularity, mainly for evaluating image roughness. We propose to take these requirements into account, by extending the usual singularity detection methods with the help of fractional calculus.

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