Showing 1 - 10 of 12,637
Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied … volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be … with foreign exchange option markets. For this matrix structure, PCA effects which are interpreted as shift, skew and …
Persistent link: https://www.econbiz.de/10010301713
Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis …
Persistent link: https://www.econbiz.de/10010316930
In this paper, we compare Principal Component Analysis (PCA) and Partial Least Squares (PLS) methods to generate … that differ substantially from those obtained with PCA, increasing the composite indices' predictive performance for the …
Persistent link: https://www.econbiz.de/10010500172
Analysis (PCA) algorithms. The performance of different treatments is compared in the extensive simulation study under several … typical data generating processes and recommendations are made. An application of PLS and PCA algorithms with non …
Persistent link: https://www.econbiz.de/10010504410
In this paper the Social Institutions and Gender Index (SIGI) is constructed with Principal Component Analysis (PCA … weighting procedures using PCA and PLS. We find that gender inequality in social institutions has significant effect on …
Persistent link: https://www.econbiz.de/10010504411
. Bezugspunkte sind dabei das klassische Verfahren der Hauptkomponentenanalyse sowie als Alternativmethode die geographisch … gewichtete Hauptkomponentenanalyse. Im methodischen Vergleich zeigt sich, dass die Alternative - auch aufgrund des hohen … Literatur vorzufindende Vorgehensweise aus Hauptkomponentenanalyse, Clusteranalyse und Diskriminanzanalyse gut abgrenzbare und …
Persistent link: https://www.econbiz.de/10012485626
This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...
Persistent link: https://www.econbiz.de/10010322548
Multivariable capacity index have been used frequently in the manufacturing industry and similar environments, since they provide quantitative measurements of the potential and performance of a process described by multiple quality characteristics susceptible to evaluation and correlated...
Persistent link: https://www.econbiz.de/10014494531
We determine optimal designs for some regression models which are frequently used for describing 3D shapes. These models are based on a Fourier expansion of a function defined on the unit sphere in terms of spherical harmonic basis functions. In particular it is demonstrated that the uniform...
Persistent link: https://www.econbiz.de/10010296608
power when high numbers of variables but only limited observations are available. We apply PCA-DEA for radial efficiency … while maintaining most of the variation in the original data. Our results suggest that the PCA-DEA methodology reduces the …
Persistent link: https://www.econbiz.de/10010271155