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Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
(2009)
We consider a mixture of AR-ARCH models where the switching between the basic states of the observed time series is controlled by a hidden Markov chain. Under simple conditions, we prove consistency and asymptotic normality of the maximum likelihood parameter estimates combining general results on asymptotics of Douc et al (2004) and of geometric ergodicity of Franke et al (2007).
Based on general partitions of unity and standard numerical flux functions, a class of mesh-free methods for conservation laws is derived. A Lax-Wendroff type consistency analysis is carried out for the general case of moving partition functions. The analysis leads to a set of conditions which are checked for the finite volume particle method FVPM. As a by-product, classical finite volume schemes are recovered in the approach for special choices of the partition of unity.
To prove difficult theorems in a mathematical field requires substantial know-ledge of that field. In this paper a frame-based knowledge representation formalismis presented, which supports a conceptual representation and to a large extent guar-antees the consistency of the built-up knowledge bases. We define a semantics ofthe representation by giving a translation into the underlaying logic.
We show how to buildup mathematical knowledge bases usingframes. We distinguish three differenttypes of knowledge: axioms, definitions(for introducing concepts like "set" or"group") and theorems (for relating theconcepts). The consistency of such know-ledge bases cannot be proved in gen-eral, but we can restrict the possibilit-ies where inconsistencies may be impor-ted to very few cases, namely to the oc-currence of axioms. Definitions and the-orems should not lead to any inconsisten-cies because definitions form conservativeextensions and theorems are proved to beconsequences.
We study nonlinear finite element discretizations for the density gradient equation in the quantum drift diffusion model. Especially, we give a finite element description of the so--called nonlinear scheme introduced by {it Ancona}. We prove the existence of discrete solutions and provide a consistency and convergence analysis, which yields the optimal order of convergence for both discretizations. The performance of both schemes is compared numerically, especially with respect to the influence of approximate vacuum boundary conditions.