Search Results - subject:"Basis functions"

A jackknife variance estimator for panel regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2025

orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable …

Persistent link: https://www.econbiz.de/10015189307

A simple diagnostic for time-series and panel-data regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

We introduce a new regression diagnostic, tailored to time-series and panel-data regressions, which characterizes the sensitivity of the OLS estimate to distinct time-series variation at different frequencies. The diagnostic is built on the novel result that the eigenvectors of a random walk...

Persistent link: https://www.econbiz.de/10015189256

A simple diagnostic for time-series and panel-data regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

Persistent link: https://www.econbiz.de/10015084320

A jackknife variance estimator for panel regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable …

Persistent link: https://www.econbiz.de/10015084323

Surrogate Models for Optimization of Dynamical Systems

Khowaja, Kainat; Shcherbatyy, Mykhaylo; Härdle, … - 2021

models are constructed using combination of proper orthogonal decomposition and radial basis functions and provides system … is shown surrogate models with latin hypercube sampling and spline radial basis functions dominate variable order methods …

Persistent link: https://www.econbiz.de/10012433273

Surrogate models for optimization of dynamical systems

Khowaja, Kainat; Ščerbatij, Michajlo; Härdle, Wolfgang - 2021

Persistent link: https://www.econbiz.de/10012493218

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-13

. This study applies the fractional step method and the radial basis functions to solve a PDE with a mixed derivative, and … step method calculates the option premium more accurately and much faster than the radial basis functions. Therefore, from … the numerical experiments, this study concludes that the fractional step method is more appropriate than the radial basis …

Persistent link: https://www.econbiz.de/10013200324

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13

Persistent link: https://www.econbiz.de/10012372986

A simple and trustworthy asymptotic t test in difference-in-differences regressions

Liu, Cheng; Sun, Yixiao - University of California, San Diego / Department of … - 2019

Persistent link: https://www.econbiz.de/10011987343

The SAR model for very large datasets: A reduced rank approach

Burden, Sandy; Cressie, Noel; Steel, David G. - In: Econometrics 3 (2015) 2, pp. 317-338

The SAR model is widely used in spatial econometrics to model Gaussian processes on a discrete spatial lattice, but for large datasets, fitting it becomes computationally prohibitive, and hence, its usefulness can be limited. A computationally-efficient spatial model is the spatial random...

Persistent link: https://www.econbiz.de/10011755283