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A note on the ordinal canonical correlation analysis of two sets of ranking scores
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2009
In this paper we have proposed a method to conduct the ordinal canonical correlation analysis (OCCA) that yields … ordinal canonical variates and the coefficient of correlation between them, which is analogous to (and a generalization of …) the rank correlation coefficient of Spearman. The ordinal canonical variates are themselves analogous to the canonical …
Persistent link: https://www.econbiz.de/10005616629
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A note on the sub-optimality of rank ordering of objects on the basis of the leading principal component factor scores
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2008
or rank scores awarded by m evaluators, then the ordinal ranking of objects by the conventional principal component based … rankings do not necessarily maximize the sum of squared correlation coefficients between the individual m rank scores arrays, X …
Persistent link: https://www.econbiz.de/10005836683
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Representation-Constrained Canonical Correlation Analysis : A Hybridization of Canonical Correlation and Principal Component Analyses
Mishra, Sudhanshu K. - 2009
The classical canonical correlation analysis is extremely greedy to maximize the squared correlation between two sets … the dataset-2, the canonical correlation will be very high irrespective of the correlation among the rest of the variables …-Constrained Canonical correlation (RCCCA) Analysis has the Classical Canonical Correlation Analysis (CCCA) at its one end (lambda=0) and the …
Persistent link: https://www.econbiz.de/10014046874
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What Happens If in the Principal Component Analysis the Pearsonian is Replaced by the Brownian Coefficient of Correlation?
Mishra, Sudhanshu K. - 2014
The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property … replacement of the Pearsonian coefficient of correlation (r) by the Brownian coefficient of correlation (say, ρ), other things …
Persistent link: https://www.econbiz.de/10014037181
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What happens if in the principal component analysis the Pearsonian is replaced by the Brownian coefficient of correlation?
Mishra, Sudhanshu K - Volkswirtschaftliche Fakultät, … - 2014
The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property … replacement of the Pearsonian coefficient of correlation (r) by the Brownian coefficient of correlation (say, ρ), other things …
Persistent link: https://www.econbiz.de/10011111127
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Representation-Constrained Canonical Correlation Analysis: A Hybridization of Canonical Correlation and Principal Component Analyses
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2009
The classical canonical correlation analysis is extremely greedy to maximize the squared correlation between two sets … the dataset-2, the canonical correlation will be very high irrespective of the correlation among the rest of the variables …-Constrained Canonical correlation (RCCCA) Analysis has the Classical Canonical Correlation Analysis (CCCA) at its one end (λ=0) and the …
Persistent link: https://www.econbiz.de/10005836091
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Machine Learning at Central Banks
Chakraborty, Chiranjit - 2017
We introduce machine learning in the context of central banking and policy analyses. Our aim is to give an overview broad enough to allow the reader to place machine learning within the wider range of statistical modelling and computational analyses, and provide an idea of its scope and...
Persistent link: https://www.econbiz.de/10012948433
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Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital ma...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
(DJIA) index; 2) The Standard and Poor’s 500 (S&P 500) index; 3) The NYSE Composite index; 4) The Hong Kong Hang Seng index …
Persistent link: https://www.econbiz.de/10011259405
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A random forest-based approach to identifying the most informative seasonality tests
Ollech, Daniel; Webel, Karsten - 2020
Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...
Persistent link: https://www.econbiz.de/10012301212
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Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …
Persistent link: https://www.econbiz.de/10014253907