6 papers
On non-negative solutions of SDDEs with an application to CARMA processes
Mikkel Slot Nielsen, Victor Rohde
This note provides a simple sufficient condition ensuring that solutions of stochastic delay differential equations (SDDEs) driven by subordinators are non-negative. While, to the…
Modeling of time series using random forests: theoretical developments
Richard A. Davis, Mikkel S. Nielsen
In this paper we study asymptotic properties of random forests within the framework of nonlinear time series modeling. While random forests have been successfully applied in variou…
On non-stationary solutions to MSDDEs: representations and the cointegration space
Mikkel Slot Nielsen
In this paper we study solutions to multivariate stochastic delay differential equations (MSDDEs) which have stationary increments, and we show that this modeling framework is in m…
A surrogate model for estimating extreme tower loads on wind turbines based on random forest proximities
Mikkel Slot Nielsen, Victor Rohde
In the present paper we present a surrogate model, which can be used to estimate extreme tower loads on a wind turbine from a number of signals and a suitable simulation tool. Due…
Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages
Mikkel Slot Nielsen, Jan Pedersen
The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estima…
Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
Richard A. Davis, Mikkel Slot Nielsen, Victor Rohde
In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces…