Search Results - subject:"PRINCIPAL COMPONENTS"

Sparse principal component analysis by choice of norm

Qi, Xin; Luo, Ruiyan; Zhao, Hongyu - In: Journal of Multivariate Analysis 114 (2013) C, pp. 127-160

, they are limited in terms of lack of orthogonality in the loadings (coefficients) of different principal components, the … existence of correlation in the principal components, the expensive computation needed, and the lack of theoretical results such … iterative algorithm to solve the optimization problems. With this method, we can efficiently obtain uncorrelated principal …

Persistent link: https://www.econbiz.de/10010594231

Atlantic hurricane forecast: a statistical analysis

Daneshvaran, Siamak; Haji, Maryam - In: Journal of Risk Finance 14 (2013) January, pp. 4-19

indices into the prediction model. In this part, principal components analysis (PCA) is used to identify possible patterns in …

Persistent link: https://www.econbiz.de/10010610653

Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure

Morana, Claudio - Dipartimento di Economia, Metodi Quantitativi e … - 2013

In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...

Persistent link: https://www.econbiz.de/10010618388

An accept-reject algorithm for the positive multivariate normal distribution

Botts, Carsten - In: Computational Statistics 28 (2013) 4, pp. 1749-1773

The need to simulate from a positive multivariate normal distribution arises in several settings, specifically in Bayesian analysis. A variety of algorithms can be used to sample from this distribution, but most of these algorithms involve Gibbs sampling. Since the sample is generated from a...

Persistent link: https://www.econbiz.de/10010698291

Factor-augmented VAR analysis of the monetary policy in China

He, Qing; Leung, Pak-Ho; Chong, Terence Tai-Leung - In: China Economic Review 25 (2013) C, pp. 88-104

We investigate the transmission mechanism of monetary policy in China over the past decades with emphasis on the post-Asian crisis period. A factor-augmented VAR method is used to study the effectiveness of monetary policy instruments in stabilizing the Chinese economy. We find that repo rate,...

Persistent link: https://www.econbiz.de/10010665003

Cramér–Karhunen–Loève representation and harmonic principal component analysis of functional time series

Panaretos, Victor M.; Tavakoli, Shahin - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2779-2807

We develop a doubly spectral representation of a stationary functional time series, and study the properties of its empirical version. The representation decomposes the time series into an integral of uncorrelated frequency components (Cramér representation), each of which is in turn expanded...

Persistent link: https://www.econbiz.de/10010666236

On the implementation and use of factor-augmented regressions in panel data

Westerlund, Joakim; Urbain, Jean-Pierre - In: Journal of Asian Economics 28 (2013) C, pp. 3-11

Practitioners are generally well aware of the fact that most standard approaches for estimation and inference in panel data regressions are based on assuming that the cross-sectional units are independent of each other, an assumption that is surely mistaken in applications, especially in...

Persistent link: https://www.econbiz.de/10010709129

Reliability in lean systems

Keyser, Robert S.; Sawhney, Rapinder S. - In: International Journal of Quality & Reliability Management 30 (2013) 3, pp. 223-238

reliability measures for lean components. Once principal components analysis techniques are employed to determine critical …

Persistent link: https://www.econbiz.de/10014800741

Chapter 14. Variable Selection in Predictive Regressions

Ng, Serena - 2013

This chapter reviews methods for selecting empirically relevant predictors from a set of N potentially relevant ones for the purpose of forecasting a scalar time series. First, criterion-based procedures in the conventional case when N is small relative to the sample size, T , are reviewed. Then...

Persistent link: https://www.econbiz.de/10014025234

Principal component measures of exchange market pressure : comparisons with variance-weighted measures

Hegerty, Scott W. - In: Applied financial economics 23 (2013) 16/18, pp. 1483-1495

Persistent link: https://www.econbiz.de/10010259384