scholarly journals A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares

2008 ◽  
Vol 40 (04) ◽  
pp. 1198-1222
Author(s):  
Donatas Surgailis
Keyword(s):  
Stationary Solution ◽  
Long Memory ◽  
Sufficient Conditions ◽  
Partial Sums ◽  
Finite Variance ◽  
Fourth Moment ◽  
Stable Limit ◽  
Arch Model ◽  
Necessary And Sufficient ◽  
Special Case

We introduce a modification of the linear ARCH (LARCH) model (Giraitis, Robinson, and Surgailis (2000)) - a special case of Sentana's (1995) quadratic ARCH (QARCH) model - for which the conditional variance is a sum of a positive constant and the square of an inhomogeneous linear combination of past observations. Necessary and sufficient conditions for the existence of a stationary solution with finite variance are obtained. We give conditions under which the stationary solution with infinite fourth moment can exhibit long memory, the leverage effect, and a Lévy-stable limit behavior of partial sums of squares.

scholarly journals A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares

2008 ◽  
Vol 40 (4) ◽  
pp. 1198-1222 ◽  
Author(s):  
Donatas Surgailis
Keyword(s):  
Stationary Solution ◽  
Long Memory ◽  
Sufficient Conditions ◽  
Partial Sums ◽  
Finite Variance ◽  
Fourth Moment ◽  
Stable Limit ◽  
Arch Model ◽  
Necessary And Sufficient ◽  
Special Case

We introduce a modification of the linear ARCH (LARCH) model (Giraitis, Robinson, and Surgailis (2000)) - a special case of Sentana's (1995) quadratic ARCH (QARCH) model - for which the conditional variance is a sum of a positive constant and the square of an inhomogeneous linear combination of past observations. Necessary and sufficient conditions for the existence of a stationary solution with finite variance are obtained. We give conditions under which the stationary solution with infinite fourth moment can exhibit long memory, the leverage effect, and a Lévy-stable limit behavior of partial sums of squares.

scholarly journals STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE

2017 ◽  
Vol 34 (6) ◽  
pp. 1159-1179 ◽  
Author(s):  
Liudas Giraitis ◽  
Donatas Surgailis ◽  
Andrius Škarnulis
Keyword(s):  
Present Article ◽  
Long Memory ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Finite Variance ◽  
Fourth Moment ◽  
Arch Model ◽  
Necessary And Sufficient

We prove the long standing conjecture of Ding and Granger (1996) about the existence of a stationary Long Memory ARCH model with finite fourth moment. This result follows from the necessary and sufficient conditions for the existence of covariance stationary integrated AR(∞), ARCH(∞), and FIGARCH models obtained in the present article. We also prove that such processes always have long memory.

PBW deformations of quantum symmetric algebras and their group extensions

2016 ◽  
Vol 15 (03) ◽  
pp. 1650049 ◽  
Author(s):  
Piyush Shroff ◽  
Sarah Witherspoon
Keyword(s):  
Finite Group ◽  
Lie Algebra ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Group Extensions ◽  
Enveloping Algebra ◽  
Symmetric Algebras ◽  
Necessary And Sufficient ◽  
Special Case

We examine PBW deformations of finite group extensions of quantum symmetric algebras, in particular the quantum Drinfeld orbifold algebras defined by the first author. We give a homological interpretation, in terms of Gerstenhaber brackets, of the necessary and sufficient conditions on parameter functions to define a quantum Drinfeld orbifold algebra, thus clarifying the conditions. In case the acting group is trivial, we determine conditions under which such a PBW deformation is a generalized enveloping algebra of a color Lie algebra; our PBW deformations include these algebras as a special case.

A model for interaction of a Poisson and a renewal process and its relation with queuing theory

1972 ◽  
Vol 9 (2) ◽  
pp. 451-456 ◽  
Author(s):  
Lennart Råde
Keyword(s):  
Poisson Process ◽  
Renewal Process ◽  
Queuing Theory ◽  
Random Number ◽  
Sufficient Conditions ◽  
Stieltjes Transform ◽  
Time Intervals ◽  
Response Process ◽  
Necessary And Sufficient ◽  
Special Case

This paper discusses the response process when a Poisson process interacts with a renewal process in such a way that one or more points of the Poisson process eliminate a random number of consecutive points of the renewal process. A queuing situation is devised such that the c.d.f. of the length of the busy period is the same as the c.d.f. of the length of time intervals of the renewal response process. The Laplace-Stieltjes transform is obtained and from this the expectation of the time intervals of the response process is derived. For a special case necessary and sufficient conditions for the response process to be a Poisson process are found.

scholarly journals Characterizations and Identities for Isosceles Triangular Numbers

2021 ◽  
Vol 14 (2) ◽  
pp. 380-395
Author(s):  
Jiramate Punpim ◽  
Somphong Jitman
Keyword(s):  
Positive Integer ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Triangular Numbers ◽  
Triangular Number ◽  
Recursive Formulas ◽  
Necessary And Sufficient ◽  
Positive Integers ◽  
Special Case

Triangular numbers have been of interest and continuously studied due to their beautiful representations, nice properties, and various links with other figurate numbers. For positive integers n and l, the nth l-isosceles triangular number is a generalization of triangular numbers defined to be the arithmetic sum of the formT(n, l) = 1 + (1 + l) + (1 + 2l) + · · · + (1 + (n − 1)l).In this paper, we focus on characterizations and identities for isosceles triangular numbers as well as their links with other figurate numbers. Recursive formulas for constructions of isosceles triangular numbers are given together with necessary and sufficient conditions for a positive integer to be a sum of isosceles triangular  numbers. Various identities for isosceles triangular numbers are established. Results on triangular numbers can be viewed as a special case.

On the Integral Extensions of Quadratic Forms Over Local Fields

1970 ◽  
Vol 22 (2) ◽  
pp. 297-307 ◽  
Author(s):  
Melvin Band
Keyword(s):  
Prime Ideal ◽  
Local Field ◽  
Quadratic Forms ◽  
Sufficient Conditions ◽  
Local Fields ◽  
Ring Of Integers ◽  
Finite Dimensional ◽  
Integral Analogue ◽  
Necessary And Sufficient ◽  
Special Case

Let F be a local field with ring of integers and unique prime ideal (p). Suppose that V a finite-dimensional regular quadratic space over F, W and W′ are two isometric subspaces of V (i.e. τ: W → W′ is an isometry from W to W′). By the well-known Witt's Theorem, τ can always be extended to an isometry σ ∈ O(V).The integral analogue of this theorem has been solved over non-dyadic local fields by James and Rosenzweig [2], over the 2-adic fields by Trojan [4], and partially over the dyadics by Hsia [1], all for the special case that W is a line. In this paper we give necessary and sufficient conditions that two arbitrary dimensional subspaces W and W′ are integrally equivalent over non-dyadic local fields.

scholarly journals Some Janowski Type Harmonic q-Starlike Functions Associated with Symmetrical Points

Mathematics ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 629 ◽  
Author(s):  
Muhammad Arif ◽  
Omar Barkub ◽  
Hari Srivastava ◽  
Saleem Abdullah ◽  
Sher Khan
Keyword(s):  
Differential Operator ◽  
Harmonic Functions ◽  
Sufficient Conditions ◽  
Starlike Functions ◽  
Partial Sums ◽  
Circular Region ◽  
Necessary And Sufficient ◽  
New Criterion ◽  
Symmetrical Points ◽  
Convexity Conditions

The motive behind this article is to apply the notions of q-derivative by introducing some new families of harmonic functions associated with the symmetric circular region. We develop a new criterion for sense preserving and hence the univalency in terms of q-differential operator. The necessary and sufficient conditions are established for univalency for this newly defined class. We also discuss some other interesting properties such as distortion limits, convolution preserving, and convexity conditions. Further, by using sufficient inequality, we establish sharp bounds of the real parts of the ratios of harmonic functions to its sequences of partial sums. Some known consequences of the main results are also obtained by varying the parameters.

Generalization of the basis property on finite groups

2020 ◽  
pp. 2150111
Author(s):  
Ibrahim Al-Dayel ◽  
Ahmad Al Khalaf
Keyword(s):  
Finite Group ◽  
Finite Groups ◽  
Frobenius Group ◽  
Sufficient Conditions ◽  
Basis Property ◽  
Generating Set ◽  
Equivalent Basis ◽  
Necessary And Sufficient ◽  
Special Case ◽  
Minimal Generating Set

A group [Formula: see text] has the Basis Property if every subgroup [Formula: see text] of [Formula: see text] has an equivalent basis (minimal generating set). We studied a special case of the finite group with the Basis Property, when [Formula: see text]-group [Formula: see text] is an abelian group. We found the necessary and sufficient conditions on an abelian [Formula: see text]-group [Formula: see text] of [Formula: see text] with the Basis Property to be kernel of Frobenius group.

A simple proof of a random stable limit theorem

1970 ◽  
Vol 7 (2) ◽  
pp. 502-504 ◽  
Author(s):  
Stephen R. Kimbleton
Keyword(s):  
Limit Theorem ◽  
Elementary Proof ◽  
General Theorem ◽  
Natural Extension ◽  
Sufficient Conditions ◽  
Domain Of Attraction ◽  
Stable Limit ◽  
Stable Law ◽  
Sufficient Conditions For Convergence ◽  
Necessary And Sufficient

Random stable limit theorems have been obtained by several authors, e.g., [3], [4]. The purpose of this note is to give a rather elementary proof of the basic version of this theorem. Our proof may be viewed as the natural extension to stable laws of the method used by Rényi [2] in obtaining a random central limit theorem. Indeed, the only “outside” theorems used are Kolmogorov's inequality (which Rényi also uses) and a general theorem on necessary and sufficient conditions for convergence of a triangular array. It will also be observed that in the present theorem, the consideration of random variables in the domain of attraction of a stable law of index α = 1, introduces no additional difficulties.

Correlation models with long-range dependence

2002 ◽  
Vol 39 (2) ◽  
pp. 370-382 ◽  
Author(s):  
Chunsheng Ma
Keyword(s):  
Time Series ◽  
Long Range ◽  
Long Memory ◽  
Short Range ◽  
Sufficient Conditions ◽  
Long Range Dependence ◽  
Simple Method ◽  
Summable Sequence ◽  
Correlation Models ◽  
Necessary And Sufficient

This paper is concerned with the correlation structure of a stationary discrete time-series with long memory or long-range dependence. Given a sequence of bounded variation, we obtain necessary and sufficient conditions for a function generated from the sequence to be a proper correlation function. These conditions are applied to derive various slowly decaying correlation models. To obtain correlation models with short-range dependence from an absolutely summable sequence, a simple method is introduced.

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