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A Machine Learning Approach to Estimating Large Positive Definite Covariance Matrix of High Frequency Data

Cui, Liyuan - 2019

This paper proposes a novel covariance estimator via a machine learning approach when both the sampling frequency and covariance dimension are large. Assuming that a large covariance matrix can be decomposed into low rank and sparse components, our method simultaneously provides a consistent...

Persistent link: https://www.econbiz.de/10012867396

Estimating Demand Uncertainty Using Dispersion of Team Forecasts or Distributions of Forecast Errors

Diermann, Christoph - 2016

In this paper, we compare two fundamentally different judgmental demand forecasting approaches used to estimate demand … and their corresponding demand distributions. In the first approach, parameters are obtained from a linear regression and … approach ignores dispersion and instead estimates the demand distribution based on the mean demand forecast and the historic …

Persistent link: https://www.econbiz.de/10012991799

Benchmarking filter-based demand estimates for airline revenue management

Bartke, Philipp; Kliewer, Natalia; Cleophas, Catherine - In: EURO journal on transportation and logistics 7 (2018) 1, pp. 57-88

Persistent link: https://www.econbiz.de/10011855859

Exploiting ergodicity in forecasts of corporate profitability

Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - 2019

Theory suggests that competition tends to equalize profit rates through the process of capital reallocation, and numerous studies have confirmed that profit rates are indeed persistent and mean-reverting. Recent empirical evidence further shows that fluctuations in the profitability of surviving...

Persistent link: https://www.econbiz.de/10011988645

Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and t...

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007

This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

Persistent link: https://www.econbiz.de/10014024944