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'Robustness of a Noise Filtering Procedure for Correlation Matrices : B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices'; Paper 9 in a Series 'Uncoveri...

Izmailov, Alexander - 2014

same in both cases (by simple visual comparison). This conclusion was confirmed by entropy measures as well as by Euclidean …

Persistent link: https://www.econbiz.de/10013062120

Filtering Noise from Correlation Matrices : Paper 3 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

of random matrix theory, a branch of probability theory; and an introduction of the Shannon entropy as a measure of noise … in correlation matrices; and demonstration of substantial entropy decrease as a result of noise filtering on a few …

Persistent link: https://www.econbiz.de/10013062134

'Extraordinary Stability of Noise-Filtered Correlation Matrices' : Paper 4 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics), of Market Memory Trading, L.L.C., present in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...

Persistent link: https://www.econbiz.de/10013062136

'Filtering Noise from Volatility' : Paper 5 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

Persistent link: https://www.econbiz.de/10013062137

'Robustness of a Noise Filtering Procedure for Correlation Matrices : A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices'; Paper 8 in a Series 'Uncov...

Izmailov, Alexander - 2014

comparison). This conclusion was confirmed by entropy measures as well as by Euclidean measures that gave average distance …

Persistent link: https://www.econbiz.de/10013062139

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of …

Persistent link: https://www.econbiz.de/10003636133

Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996-2010)

Gouvêa, Raphael Rocha; Schettini, Bernardo Patta - In: Economia : revista da ANPEC 16 (2015) 2, pp. 250-271

specification needs a better theoretical grounding. Evidence of nonlinearities has been found by different estimation techniques …

Persistent link: https://www.econbiz.de/10011865510

Multivariate maximum entropy densities applied for multivariate analysis of financial time series

Gao, Yang - 2014 - 1. Aufl.

Persistent link: https://www.econbiz.de/10010383443

A model sufficiency test using permutation entropy

Huang, Xin; Shang, Han Lin; Pitt, David C. - In: Journal of forecasting 41 (2022) 5, pp. 1017-1036

Persistent link: https://www.econbiz.de/10013287897

Kaldor-Kalecki new model on business cycles

Orlando, Giuseppe - In: Nonlinearities in economics : an interdisciplinary …, (pp. 247-268). 2021

R.G. Goodwin mentioned that "economists will be led, as natural scientists have been led, to seek in nonlinearities an explanation of the maintenance of oscillation" (Goodwin, Econometrica 19(1), 1951); following this reasoning, we studied business cycles as if they were generated by nonlinear...

Persistent link: https://www.econbiz.de/10012648046

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