Narrow search
Showing 1 - 10 of 1,333
Cover Image
Temporal Aggregation of Volatility Models
Meddahi, Nour; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2000
In this paper, we consider temporal aggregation of volatility models. We introduce a semiparametric class of volatility models termed square-root stochastic autoregressive volatility (SR-SARV) and characterized by an autoregressive dynamic of the stochastic variance. Our class encompasses the...
Persistent link: https://www.econbiz.de/10005100823
Cover Image
An Eigenfunction Approach for Volatility Modeling
Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001
eigenfunctions of the conditional expectation (resp infinitesimal generator) operator associated to the state variable in discrete … (resp continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the … since any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of …
Persistent link: https://www.econbiz.de/10005100570
Cover Image
Spectral Dimensionality Reduction
Bengio, Yoshua; Delalleau, Olivier; Roux, Nicolas Le; … - Centre Interuniversitaire de Recherche en Analyse des … - 2004
(MDS). It also includes the data transformation step used in spectral clustering. We show that in all of these cases the … learning algorithm estimates the principal eigenfunctions of an operator that depends on the unknown data density and on a …
Persistent link: https://www.econbiz.de/10005417545
Cover Image
Fault diagnosis for a wind turbine transmission system based on manifold learning and Shannon wavelet support vector machine
Tang, Baoping; Song, Tao; Li, Feng; Deng, Lei - In: Renewable Energy 62 (2014) C, pp. 1-9
Fault diagnosis for wind turbine transmission systems is an important task for reducing their maintenance cost. However, the non-stationary dynamic operating conditions of wind turbines pose a challenge to fault diagnosis for wind turbine transmission systems. In this paper, a novel fault...
Persistent link: https://www.econbiz.de/10010805171
Cover Image
Estimating Stochastic Differential Equations Using Repeated Eigenfunction Estimation and Neural Networks
Tuncer, Ruhi - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012
We propose identifying the drift and the diffusion functions of an ergodic scalar stochastic differential equation using repeated eigenfunction estimation. The transition density will be estimated in a new way involving Kolmogorov’s backward equation, neural networks and functions of our...
Persistent link: https://www.econbiz.de/10010840310
Cover Image
Dependence of locally linear embedding on the regularization parameter
Karbauskaitė, Rasa; Dzemyda, Gintautas; … - In: TOP: An Official Journal of the Spanish Society of … 18 (2010) 2, pp. 354-376
Persistent link: https://www.econbiz.de/10008775626
Cover Image
A HYBRID BUSINESS FAILURE PREDICTION MODEL USING LOCALLY LINEAR EMBEDDING AND SUPPORT VECTOR MACHINES
Lin, Fengyi; Yeh, Ching Chiang; Lee, Meng Yuan - In: Journal for Economic Forecasting (2013) 1, pp. 82-97
The purpose of this paper is to propose a hybrid model which combines locally linear embedding (LLE) algorithm and support vector machines (SVM) to predict the failure of firms based on past financial performance data. By making use of the LLE algorithm to perform dimension reduction for feature...
Persistent link: https://www.econbiz.de/10010643292
Cover Image
Manifold Transfer Subspace Learning (MTSL) for Applications in Aided Target Recognition
Mendoza-Schrock, Olga; Rizki, Mateen M.; Velten, Vincent J. - In: International Journal of Monitoring and Surveillance … 5 (2017) 3, pp. 15-32
This article describes how transfer subspace learning has recently gained popularity for its ability to perform cross-dataset and cross-domain object recognition. The ability to leverage existing data without the need for additional data collections is attractive for monitoring and surveillance...
Persistent link: https://www.econbiz.de/10012046696
Cover Image
An Eigenfunction Approach for Volatility Modeling.
MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2001
eigenfunctions of the conditional expectation (resp. infinitesimal generator) operator associated to the state variable in discrete … (resp. continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the … any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of the …
Persistent link: https://www.econbiz.de/10005545733
Cover Image
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008
A review is given of parametric estimation methods for discretely sampled multivariate diffusion processes. The main focus is on estimating functions and asymptotic results. Maximum likelihood estimation is briefly considered, but the emphasis is on computationally less demanding martingale...
Persistent link: https://www.econbiz.de/10005440043