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Structural Break Detection in Autoregressional Conditional Heteroskedasticity Model: Case of Student’s Distribution
Mathematical Models and Computer Simulations. 2023. Vol. 15. No. 4. P. 654–659.
Two methods of structural break detection in a piecewise generalized model of autoregressive
conditional heteroscedasticity are considered. The first method is based on Kolmogorov–
Smirnov statistics and is called the KS method. The second one is based on the cumulative sums and
is called the KL method. In this paper, the KS and KL methods are compared under the assumption
of Student’s conditional distribution of random errors. The results of our Monte Carlo experiments
are as follows: the KL method is inferior to the KS method both in terms of the average probability of
errors of the first type and in terms of the average power of detecting a structural break.
Kupavskii A., Noskov F., Forum of Mathematics, Sigma 2026 Vol. 14 Article 124
We call a family of $s$ sets $\{F_1, \ldots, F_s\}$ a sunflower with $s$ petals if, for any distinct $i, j \in [s]$, one has $F_i \cap F_j = \cap_{u = 1}^s F_u$. The set $C = \cap_{u = 1}^s F_u$ is called the {\it core} of the sunflower. It is a classical result of ...
Added: October 8, 2026
Flamarion M. V., Pelinovsky E., Chaos, Solitons and Fractals 2026 Vol. 213 No. 2 Article 119245
This article concerns the study of modulational instability in the rotated-modified Gardner–Whitham (rmGW) equation. This model incorporates both quadratic and cubic nonlinearities, similarly to the Gardner equation, while also retaining the fully dispersive character of the Whitham equation together with a large-scale dispersive term analogous to that in the Ostrovsky equation. Using a classical multiple-scale asymptotic expansion, we ...
Added: October 8, 2026
Люксембург А. А., УРСС, 2005.
Изучается возможность автоматизированного построения математических теорий. Рассматривается дедуктивная система, основанная на языке логики предикатов первого порядка, объектами системы являются математические выражения или формулы, которые описывают математические объекты или их свойства. В дедуктивной системе выводятся математические определения и теоремы. Для доказательства теорем используются методы автоматического доказательства. Разработан алгоритм, выводящий часть формул системы. Для решения задачи используется аппарат математической ...
Added: October 7, 2026
Bernardin C., Gonçalves P., Olla S., Mathematical Physics Analysis and Geometry 2024 Vol. 27 No. 7
We consider the macroscopic limit for the space-time density fluctuations in the open symmetric simple exclusion in the quasi-static scaling limit. We prove that the distribution of these fluctuations converge to a gaussian space-time field that is delta correlated in time but with long-range correlations in space. ...
Added: October 6, 2026
Bernardin C., Chhaibi R., Najnudel J. et al., Probability Theory and Related Fields 2026 Vol. 195 P. 1823–1875
We study the celebrated Shiryaev-Wonham filter (Wonham, W.M., in J. Soc. Ind. Appl. Math. 347–369, 1964) in its historical setup, where the hidden Markov jump process has two states. We are interested in the weak noise regime for the observation equation. Interestingly, this becomes a strong noise regime for the filtering equations. Earlier results of ...
Added: October 5, 2026
Ismailov A., Spiridonov V., Успехи математических наук 2026 Т. 81 № 5 С. 183–184
Получена новая формула для цепной дроби Аски–Вильсона в форме отношения двух q-гипер-геометрических рядов. ...
Added: October 5, 2026
Abdulkhaev K., Shirokov D., Advances in Applied Clifford Algebras 2026 Vol. 36 P. 1–21
In this paper, we present explicit formulas for the inverse and determinant in geometric (Clifford) algebras over vector spaces of dimension n = 7. The derivation of these formulas is made possible by generalizing the concept of conjugation to basis conjugation operations. We further develop a general method for constructing such formulas over odd-dimensional spaces ...
Added: October 4, 2026
Kuninets A., IEEE Transactions on Information Theory 2026 P. 1–1
In this work we study the applicability of Quasi-Cyclic Subfield Subcodes of Dual Elliptic (QC-SSDE) codes for integration into code-based cryptographic schemes. Detailed algorithms are provided for constructing parity-check matrices as well as block-circulant parity-check matrices for this family of codes, accompanied by empirical results that enable the construction of QC-SSDE codes with predetermined dimensions. ...
Added: October 3, 2026
Medvedev G., Alexandrov Artem, Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 2026 Vol. 114 Article 044102
Graphons are measurable functions used to describe the asymptotic behavior of convergent graph families. Originally motivated by problems in combinatorics and graph theory, graphons have found numerous applications in the modeling and analysis of dynamical processes on networks. In this work, we use graphons to formulate the Ising model on convergent graph sequences, which include ...
Added: October 2, 2026
Pochinka O., Baranov D., Nozdrinova E., Теоретическая и математическая физика 2026 Т. 229 № 1 С. 3–14
The Birman–Williams problem on describing the planetary link of a fibered knot K in S^3 has been partially solved. Using Nielsen's theory for the classification of periodic surface homeomorphisms and its close relationship with the theory of gradient-like diffeomorphisms, it is proved that the planetary link of the trefoil (the unique periodic fibered knot of genus ...
Added: October 2, 2026
Lubashevsky I., Lubashevskiy V., Physica D: Nonlinear Phenomena 2026 Vol. 498 Article 135441
We develop a novel cloud-function formalism describing the dynamical relationship between sensory-information processing in large-scale brain networks (supraliminal processing) and the content of the mental representation of an observed object. The formalism combines elements of neural field theory for large-scale neural activity with the spatial characteristics of perceived objects and their embedding in the environment ...
Added: October 2, 2026
Zlotnik A., Математические заметки 2026 Т. 120 № 6 С. 1005–1009
Численным методам решения систем газодинамических уравнений посвящена обширная литература. Ранее было разработано и успешно апробировано специальное семейство симметричных по пространству консервативных разностных методов, основанных на предварительной кинетической, точнее, квазигазодинамической (КГД), регуляризации этих уравнений. Актуальной задачей является построение численных методов, которые обладают не только свойством консервативности по массе, импульсу и полной энергии, но и удовлетворяют условиям энтропийной ...
Added: October 1, 2026
Vyugin I. V., Sashadhar D., Algebra and Number Theory 2026 P. 1–10
We study the K-Fibonacci sequence Fp modulo prime p. Cardinalities of sets |Fp+Fp| and |Fp⋅Fp| are estimated. We present the method of estimating doubling constant of some m-dimensional recurrent sets in Fp. ...
Added: October 1, 2026
Kuksin S., Dynamical Systems 2026
We study the mixing properties of discrete-time and continuous-time dissipative dynamical systems driven by bounded mixing random forces. The continuous-time systems are
reduced to discrete-time random dynamical systems generated by time-one maps, so that
the main analysis is carried out in the discrete setting. We introduce a class of mixing random forcings whose regular conditional distributions with ...
Added: October 1, 2026
Kuksin S., Shirikyan A., Journal of Dynamics and Differential Equations 2026 P. 1098–1100
The paper deals with the problem of large-time behaviour of trajectories for discrete-time dynamical systems driven by a random noise. Assuming that the phase space is finite-dimensional and compact, and the noise is a Markov process with a transition probability satisfying some regularity hypotheses, we prove that all the trajectories converge to a unique measure ...
Added: October 1, 2026
Potanin B., Dolgikh S., Statistics and Probability Letters 2027 Article 110984
We derive bounds on the gradient and Hessian of the log-CDF, ln F(x), of the multivariate normal distribution. These bounds scale linearly and quadratically in ‖x‖ , respectively, with constants depending only on the covariance matrix. We demonstrate the usefulness of these bounds by proving asymptotic normality of the maximum-likelihood estimator of the multivariate probit ...
Added: October 1, 2026
A. V. Pereskokov, Journal of Mathematical Sciences 2026 Vol. 302 No. 4 P. 531–545
We consider the Zeeman effect problem for the hydrogen atom in a magnetic field using
irreducible representations of the Karasev–Novikova algebra with quadratic commutation
relations. We find the asymptotics of a series of eigenvalues and the corresponding
asymptotic eigenfunctions near the upper boundaries of spectral clusters. ...
Added: October 1, 2026
Vasilyeva R., Skrobotov A., Царев А. В., Applied Econometrics 2025 Vol. 80 P. 117 – 142
Added: September 21, 2026
Prokhorov A., Radchenko P., Semenov A. et al., Journal of Business and Economic Statistics 2026
Added: September 21, 2026
Buchko A., Peresetsky A., HSE Economic Journal 2025 Vol. 29 No. 3 P. 383–406
In recent years cryptocurrencies have gained popularity: institutional and retail investors as well as different trading companies started positively looking at crypto assets. As a result, the convergence level between cryptocurrencies and the traditional markets has changed a lot. Stocks deserve close attention because they are a key asset for many investors. This article explores ...
Added: September 17, 2026
Soldatova A., Банковские услуги 2025 № 5 С. 41–44
This article covers the results of a roundtable discussion at the Higher School of Economics (HSE) on the Russian bond market. Key issues and trends in the bond market over the past year were discussed, including macroeconomic risks and new threats to private investors related to the increasing frequency of coupon defaults by issuers. The ...
Added: September 3, 2026
Ионцев М. А., Инновации и инвестиции 2025 № 7 С. 43–46
The article examines the volatility of the BTC digital currency against the background of volatility indicators of traditional securities. A comparative analysis was conducted, which revealed that the level of price instability of BTC is generally comparable to the volatility of a number of stocks and other financial instruments. Particular attention is paid to factors ...
Added: November 10, 2025
Soldatova A., Финансы, деньги, инвестиции (Россия) 2025 № 2 С. 27–36
The article is devoted to the study of the features and advantages of investing in an Islamic index. The principles of Islamic finance, the distinctive features of Islamic indices and the methods of their calculation are considered. An analysis of the industry structure of the global Islamic index was conducted. The stages of forming an ...
Added: July 8, 2025
Pshichenko D., Znanstvena misel 2024 No. 96 P. 38–42
The article analyzes the application of artificial intelligence (AI) models for forecasting market volatility (MV). Examples of algorithms such as recurrent neural networks (RNN), long short-term memory (LSTM) networks, and regression methods are studied, demonstrating their effectiveness in processing time series and identifying complex data patterns. The importance of integrating machine learning (ML), as a ...
Added: March 10, 2025