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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.
Ilyashenko Y., Shilin I., Stanislav Minkov, Russian Journal of Mathematical Physics 2026 Vol. 33 No. 1 P. 89–106
In this paper, new numerical invariants of structurally unstable vector fields in the plane
are found. One of the main tools is an improved asymptotics of sparkling saddle connections that
occur when a separatrix loop of a hyperbolic saddle breaks. Another main tool is a new topological
invariant of two arithmetic progressions, both perturbed and unperturbed, on the ...
Added: May 26, 2026
Gusev I., Maksaev A., Promyslov V., Journal of Mathematical Sciences 2025 Vol. 299 No. 6
The regular graph of the space of n × m matrices over a field F is defined as the undirected graph whose vertices are matrices of rank min(n, m), and distinct matrices A and B are connected by an edge if and only if rk(A + B) < min(n, m). In this paper, for |F| ...
Added: May 25, 2026
Tyukin I., Tyukina T., van Helden D. P. et al., Information Sciences 2024 Vol. 678 Article 120856
AI errors pose a significant challenge, hindering real-world applications. This work introduces a novel approach to cope with AI errors using weakly supervised error correctors that guarantee a specific level of error reduction. Our correctors have low computational cost and can be used to decide whether to abstain from making an unsafe classification. We provide ...
Added: May 23, 2026
Zaikin A., Sviridov I., Sosedka A. et al., Technologies 2026 Vol. 14 No. 2 Article 84
High-dimensional tabular data are common in biomedical and clinical research, yet conventional machine learning methods often struggle in such settings due to data scarcity, feature redundancy, and limited generalization. In this study, we systematically evaluate Synolitic Graph Neural Networks (SGNNs), a framework that transforms high-dimensional samples into sample-specific graphs by training ensembles of low-dimensional pairwise ...
Added: May 23, 2026
Kibkalo Vladislav, Chertopolokhov V., Mukhamedov A. et al., IEEE Access 2026 Vol. 14 P. 14369–14392
This study presents on-the-fly identification and multi-step prediction of nonlinear systems with delayed inputs using a dynamic neural network combined with a smooth projection onto ellipsoids. The projection enforces parameter constraints that guarantee stability, while a Lyapunov–Krasovskii analysis yields computable ultimate error bounds. Riccati-type matrix inequalities are derived, providing an efficient vectorization–projection–devectorization implementation suitable for ...
Added: May 22, 2026
Морозов С. В., Calcolo 2026 Vol. 63 No. 2 Article 23
The approximation of tensors in a low-para metric format is a crucial component in many mathematical modelling and data analysis tasks. Among the widely used low-parametric representations, the canonical polyadic (CP) decomposition is known to be very efficient. Nowadays, most algorithms for CP approximation aim to construct the approximation in the Frobenius norm; however, some ...
Added: May 22, 2026
Селянин Ф. И., Journal of Dynamical and Control Systems 2026 Vol. 32 No. 2 P. 1–16
A B-facet is a lattice -dimensional polytope in the positive octant with a positive normal covector, such that every -dimensional simplex with vertices in it is a B-simplex (i.e., a pyramid of height one with base on a coordinate hyperplane). B-facets were introduced in [2] in the context of the monodromy conjecture. In this paper, we complete the ...
Added: May 21, 2026
Ausubel L., Baranov O., Journal of Economic Theory 2026 Vol. 235 No. 106192
The Vickrey-Clarke-Groves (VCG) mechanism is one of the most compelling constructs in mechanism design, but the presence of complementary goods creates the possibility of non-core and even zero-revenue outcomes. In this article, we show that joint feasibility constraints on allocations offer a second pathway to ill-behaved outcomes in the VCG mechanism, even when all bidders ...
Added: May 20, 2026
Denis Seliutskii, Russian Journal of Mathematical Physics 2025 Vol. 32 No. 2 P. 399–407
In this paper, we find an upper bound for the first Steklov eigenvalue for a surface of revolution with boundary consisting of two spheres of different radii. Moreover, we prove that, in some cases, this boundary is sharp. ...
Added: May 19, 2026
Жакупов О. Б., European Journal of Mathematics 2025 Vol. 11 Article 84
We provide examples of smooth three-dimensional Fano complete intersections of degree 2, 4, 6, and 8 that have absolute coregularity 0. Considering the main theorem of Avilov, Loginov, and Przyjalkowski (CNTP 18:506–577, 2024) on the remaining 101 families of smooth Fano threefolds, our result implies that each family of smooth Fano threefolds has an element of absolute ...
Added: May 18, 2026
Gurevich E., Saraev I., Известия РАН. Серия математическая 2026 Т. 90 № 3 С. 19–56
In this paper, we consider a class of gradient-like ows without heteroclinic
intersections, dened on closed manifolds of dimension four. We show that for
such ows, the problem of complete topological classication can be reduced to
the combinatorial problem of distinguishing special framed graphs describing
the mutual arrangement of invariant manifolds and the action of the ow on a
wandering ...
Added: May 18, 2026
Gonchenko S., Lerman L., Turaev D., Regular and Chaotic Dynamics 2026 Vol. 31 No. 3 P. 349–369
We show that bifurcations of four-dimensional symplectic diffeomorphisms with a quadratic homoclinic tangency to a saddle periodic orbit with real multipliers produce 2-elliptic periodic orbits if the tangency is not partially hyperbolic. We show that a normal form for the rescaled first-return maps near such tangency is given by a four-dimensional symplectic H´enonlike map and study bifurcations of the ...
Added: May 15, 2026
Aleskerov F. T., Khutorskaya O., Stepochkina A. et al., Springer, 2026.
The book contains new models of bibliometric analysis based on centrality measures in network analysis, pattern analysis and stability analysis. A distinctive feature of these centrality measures is that they account for the parameters of vertices and group influence of vertices to a vertex. This reveals specific groups of publications, authors, terms, journals and affiliations ...
Added: May 15, 2026
Kuptsov P., Panyushev A., Stankevich N., Chaos 2026 Vol. 36 No. 5 Article 053138
We develop a machine-learning approach to reproduce the behavior of two versions of the van der Pol oscillator exhibiting a subcritical Andronov–Hopf bifurcation, with or without a codimension-2 Bautin point. We construct a neural-network model that functions as a recur rent map and train it on short segments of oscillator trajectories. The results show that, ...
Added: May 15, 2026
Dorovskiy A., / Series arXiv "math". 2026.
In this paper the structural stability of generic families of vector fields of the PC-HC class on the two-dimensional sphere is proved. A classification of these families up to moderate equivalence in neighborhoods of their large bifurcation supports is presented, based on such invariants as the configuration and the characteristic set. The realization lemma is proved. ...
Added: May 14, 2026
Lebedev V., Journal of Mathematical Analysis and Applications 2026 Vol. 563 No. 2 Article 130787
It is known that for every continuous real-valued
function $f$ on the circle $\mathbb T=\mathbb R/2\pi\mathbb Z$ there exists a
change of variable, i.e., a self-homeomorphism $h$ of $\mathbb T$, such that
the superposition $f\circ h$ is in the Sobolev space $W_2^{1/2}(\mathbb T)$.
We obtain new results on simultaneous improvement of functions by a single
change of variable in relation ...
Added: May 14, 2026
Blokh A., Oversteegen L., Selinger N. et al., Arnold Mathematical Journal 2026 Vol. 12 No. 1 P. 60–110
We describe a model for the boundary of the connectedness locus of the parameter space of cubic symmetric polynomials. We show that there exists a monotone continuous function from the connectedness locus to the model which is a homeomorphism if the former is locally connected. ...
Added: May 13, 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
Sviyazov V., Control Sciences 2022 No. 6 P. 21–28
Volatility modeling and forecasting is a topical problem both in scientific circles and in the practice. This paper develops an approach combining the GARCH model and fuzzy logic. The Takagi–Sugeno fuzzy inference scheme is adopted to fuzzify an original autoregression model (the conditional heteroskedasticity model). As a result, several different local GARCH models can be ...
Added: December 6, 2023
Sviyazov V., Экономический журнал Высшей школы экономики 2023 Т. 27 № 3 С. 412–434
The problem of volatility forecasting with and without consideration of weekly seasonality effect (the weekend effect) is examined in this research. The question of the seasonality existence is understood in the following sense: do models, which incorporate seasonality, feature better forecasts? The fuzzy GARCH model, which accounts for a weekly seasonality effect is presented in ...
Added: October 28, 2023
Borzykh D., Yazykov A., Математическое моделирование 2023 Т. 35 № 1 С. 51–58
We consider two methods of structural break detection in a piecewise generalized model of autoregressive conditional heteroscedasticity. The first method is based on Kolmogorov–Smirnov statistics and is called KS-method. The second one is based on the cumulative sums and is called KL-method. In this paper, we compare the KS- and KL-methods under the assumption of ...
Added: December 7, 2022
Kolesnikova A., Fantazzini D., Energy Policy 2021 Vol. 157 Article 112466
Using monthly data of 79 Russian regions from 2003 to 2017, we study the long-run relationship of the retail gasoline prices with the crude oil price and the nominal exchange rate. We find that models that were successfully applied to deal with asymmetries in other countries are not suitable for Russia without taking structural breaks ...
Added: July 31, 2022