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Principal Component Analysis in an Asymmetric Norm
Tran, Ngoc Mai; Osipenko, Maria; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high …, and speeding analysis among others. These are all high dimensional tail objects which one would like to study in a PCA …-type orthogonal projection. We develop an analogue of PCA in an asymmetric norm. These norms cover both quantiles and …
Persistent link: https://www.econbiz.de/10010728046
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Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study
Dai, Xianhua; Härdle, Wolfgang Karl; Yu, Keming - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
The influence of maternal health problems on child’s worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child’s worrying status. Conventional methods apply symmetric prior distributions such as a normal...
Persistent link: https://www.econbiz.de/10011184073
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Context Effects as Customer Reaction on Delisting of Brands
Wiebach, Nicole; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
The delisting of brands is frequently used by retailers to strengthen their negotiating position with the manufacturers and suppliers of their product assortment. However, retailers and manufacturers have to consider the risk of potential reactions when customers are faced with a reduced or...
Persistent link: https://www.econbiz.de/10008727690
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …
Persistent link: https://www.econbiz.de/10005652761
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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The imple- mented solution methods for nding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10005677881
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Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. TheSmolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10005677995
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Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations
Lan, Hong; Meyer-Gohde, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We derive recursive representations of nonlinear moving average (NLMA) perturbations of DSGE models. As the stability of higher order NLMA representations follows directly from stability at first order, these recursive representations provide rigorous support for the practice of pruning that is...
Persistent link: https://www.econbiz.de/10010648245
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An Application of Principal Component Analysis on Multivariate Time-Stationary Spatio-Temporal Data
Stahlschmidt, Stephan; Härdle, Wolfgang Karl; Thome, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
of spatial-temporal data. A simulation study underlines the superior performance of stPCA if compared to the original PCA …
Persistent link: https://www.econbiz.de/10010750272
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Brand equity – how is it affected by critical incidents and what moderates the effect
Tischer, Sven; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
To explore how occurring critical incidents affect customer-brand relations, this study measures the impact on the basis of an online experiment. For this purpose, 1,122 usable responses are gathered considering the smartphone brands of Apple and Nokia as well as different scenarios. The...
Persistent link: https://www.econbiz.de/10011277261
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Functional Data Analysis of Generalized Quantile Regressions
Guo, Mengmeng; Zhou, Lhan; Huang, Jianhua Z.; Härdle, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Generalized quantile regressions, including the conditional quantiles and expectiles as special cases, are useful alternatives to the conditional means for characterizing a conditional distribution, especially when the interest lies in the tails. We develop a functional data analysis approach to...
Persistent link: https://www.econbiz.de/10010603885