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Eigen-analysis for high-dimensional time series clustering
Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2023
Persistent link: https://www.econbiz.de/10014452611
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Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437486
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.; Lucas, André - 2000
-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …
Persistent link: https://www.econbiz.de/10011303297
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Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
completely new sequential importance sampling estimator of the desired tail probability. Numerical experiments suggest that the … sequential importance sampling estimator can be significantly more efficient than its competitor. …
Persistent link: https://www.econbiz.de/10011431354
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339035
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Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta; Omori, Yasuhiro - 2020
Persistent link: https://www.econbiz.de/10013335000
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
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Forecasting economic activity in data-rich environment
Leroux, Maxime; Kotchoni, Rachidi; Stevanovic, Dalibor - 2017
Persistent link: https://www.econbiz.de/10011590324
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Forecasting economic activity in data-rich environment
Leroux, Maxime; Kotchoni, Rachidi; Stevanovic, Dalibor - 2017
Persistent link: https://www.econbiz.de/10011738071