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Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...

Persistent link: https://www.econbiz.de/10010306285

Trends and cycles in the Danish economy

Weissert, Christoffer Jessen - 2024

I present empirical results on the contribution of three key drivers of inflation in Denmark: an inflation trend anchored by inflation expectations; the Danish business cycle; and an energy price cycle. All three drivers contribute significantly to the development of inflation and explain most of...

Persistent link: https://www.econbiz.de/10014563915

Detecting multi-fractal properties in asset returns: The failure of the scaling estimator

Lux, Thomas - 2003

It has become popular recently to apply the multifractal formalism of statistical physics (scaling analysis of structure functions and f(a) singularity spectrum analysis) to financial data. The outcome of such studies is a nonlinear shape of the structure function and a nontrivial behavior of...

Persistent link: https://www.econbiz.de/10010295150

Cai, Zongwu - 2003

In this paper we study time-varying coefficient models with time trend function and serially correlated errors to characterize nonlinear, nonstationary and trending phenomenon in time series. Compared with the Nadaraya-Watson method, the local linear approach is developed to estimate the time...

Persistent link: https://www.econbiz.de/10010296443

Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale

Christensen, Kim; Podolski, Mark - 2005

. Moreover, with slightly stronger conditions, in particular a zero drift-term, we find an asymptotic distribution theory. To …

Persistent link: https://www.econbiz.de/10010296680

Robust online scale estimation in time series : regression-free approach

Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007

This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time...

Persistent link: https://www.econbiz.de/10010298200

Robust designs for series estimation

Dette, Holger; Wiens, Douglas P. - 2007

We discuss optimal design problems for a popular method of series estimation in regression problems. Commonly used design criteria are based on the generalized variance of the estimates of the coefficients in a truncated series expansion and do not take possible bias into account. We present a...

Persistent link: https://www.econbiz.de/10010298214

Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance

Frahm, Gabriel; Jaekel, Uwe - 2007

In recent publications standard methods of random matrix theory were applied to principal components analysis of high …-dimensional financial data. We discuss the fundamental results and potential shortcomings of random matrix theory in the light of the … a general model for the investigation of standard methods of random matrix theory. It is shown that the Marčenko …

Persistent link: https://www.econbiz.de/10010298431

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

Persistent link: https://www.econbiz.de/10010300297

Jump-preserving monitoring of dependent time series using pilot estimators

Steland, Ansgar - 2003

An important problem of the statistical analysis of time series is to detect change-points in the mean structure. Since this problem is a one-dimensional version of the higher dimensional problem of detecting edges in images, we study detection rules which benefit from results obtained in image...

Persistent link: https://www.econbiz.de/10010306257

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