Search Results - subject:"High Dimensional Data"

Identifying latent factors based on high-frequency data

Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270

Persistent link: https://www.econbiz.de/10014341048

Estimation and inference of treatment effects with L2-boosting in high-dimensional settings

Kueck, Jannis; Luo, Ye; Spindler, Martin; Wang, Zigan - In: Journal of econometrics 234 (2023) 2, pp. 714-731

Persistent link: https://www.econbiz.de/10014434364

Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations

Jiang, Liang; Phillips, Peter C. B.; Tao, Yubo (Robert); … - In: Journal of econometrics 234 (2023) 2, pp. 758-776

Persistent link: https://www.econbiz.de/10014434367

A scalable frequentist model averaging method

Zhu, Rong; Wang, Haiying; Zhang, Xinyu; Liang, Hua - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1228-1237

Persistent link: https://www.econbiz.de/10014448614

Market-wide illiquidity and the distribution of non-parametric stochastic discount factors

Abad Díaz, David; Nieto Domenech, Belen; Pascual, Roberto - In: International review of financial analysis 87 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460538

Maximum likelihood estimation of dynamic panel data models with interactive effects : quasi-differencing over time or across ndividuals?

Hsiao, Cheng; Zhou, Qiankun - In: Essays in honor of Joon Y. Park : econometric …, (pp. 353-384). 2023

Persistent link: https://www.econbiz.de/10014315463

Deep embedding kernel mixture networks for conditional anomaly detection in high-dimensional data

Kim, Hyojoong; Kim, Heeyoung - In: International journal of production research 61 (2023) 4, pp. 1101-1113

Persistent link: https://www.econbiz.de/10014226944

Simultaneous dimension reduction and variable selection for multinomial logistic regression

Wen, Canhong; Li, Zhenduo; Dong, Ruipeng; Ni, Yijin; … - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 5, pp. 1044-1060

Persistent link: https://www.econbiz.de/10014422914

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020

Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than the portfolio size, resulting in non-singular matrix measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market...

Persistent link: https://www.econbiz.de/10012654472

A dynamic factor model approach to incorporate big data in state space models for official statistics

Schiavoni, Caterina; Palm, Franz C.; Smeekes, Stephan; … - 2020

Persistent link: https://www.econbiz.de/10012174830