3 citations · 3 across the 11 of their papers we have counts for
14 papers
A Functional Representation of Credit Behavior for Probability of Default Modeling
Jonas Brunholm, Bjarne Højgaard, Thomas D. Nielsen +1
This paper proposes a framework for modeling probability of default via functional data analysis. By representing a series of credit variables as functions, we investigate whether…
A Comparison of High-Dimensional Variable Selection Procedures for Electricity Spot Price Forecasting
Charisios Grivas, Mikkel Mandrup, Orimar Sauri
The paper considers the problem of variable selection for forecasting electricity spot prices. High-dimensional methods such as LASSO and Elastic Net are widely used for this purpo…
Path properties of Lévy driven mixed moving average processes
Danijel Grahovac, Péter Kevei, Orimar Sauri
We derive general sufficient conditions for the existence of càdlàg and continuous modifications of Lévy-driven mixed moving average processes. The conditions are explicit and easy…
Estimating non-linear functionals of trawl processes
Orimar Sauri
Trawl processes are a family of continuous-time, infinitely divisible, stationary processes whose correlation structure is entirely characterized by their so-called trawl function.…
The Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise
Orimar Sauri
In this paper we consider the Euler-Maruyama scheme for a class ofstochastic delay differential equations driven by a fractional Brownian motion with index . We establis…
Local Limit Theorems for Energy Fluxes of Infinite Divisible Random Fields
José Ulises Márquez-Urbina, Orimar Sauri
We study the local asymptotic behavior of divergence-like functionals of a family of -dimensional Infinitely Divisible Random Fields. Specifically, we derive limit theorems of s…