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math.PR2020
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…
stat.ML2020
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…