Search Results - subject:"PRINCIPAL COMPONENTS"

$Cover Image$

Recovering the Metric Structure in Ordinal Data: Linear Versus Nonlinear Principal Components Analysis

Candel, Math - In: Quality & Quantity: International Journal of Methodology 35 (2001) 1, pp. 91-105

Persistent link: https://www.econbiz.de/10009396026

On the Structure of Measurements in Facet Theory

Wittenboer, Godfried Van Den - In: Quality & Quantity: International Journal of Methodology 35 (2001) 1, pp. 77-89

Persistent link: https://www.econbiz.de/10009396939

The structure of spot rates and immunization : some further results

Navarro Arribas, Eliseo; Nave, Juan M. - In: Spanish economic review : SER 3 (2001) 4, pp. 273-294

Persistent link: https://www.econbiz.de/10001646208

Alternative PCA-based regression procedures in dendroclimatic reconstructions

Hidalgo, H. G.; Piechota, Thomas C.; Dracup, J. A. - 2000

Streamflow reconstruction using tree ring information (dendrohydrology) has traditionally used principal components … alternative procedures for selection of variables and principal components. Cross-validation statistics are presented as an …

Persistent link: https://www.econbiz.de/10009458746

The Dynamics of the S&P 500 Implied Volatility Surface

Skiadopoulos, George; Hodges, Stewart; Clewlow, Les - In: Review of Derivatives Research 3 (2000) 3, pp. 263-282

. We investigate the number and shape of shocks that move implied volatility smiles and surfaces by applying Principal … Components Analysis. Two components are identified under a variety of criteria. Subsequently, we develop a “Procrustes” type …

Persistent link: https://www.econbiz.de/10005678293

Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998

Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2000

In Risk Management, modelling large numbers of assets and their variances and covariances together in a unified framework is often important. In such multivariate frameworks, it is difficult to incorporate GARCH models and thus a new member of the ARCH-family, Orthogonal GARCH, has been...

Persistent link: https://www.econbiz.de/10005645169

Optimal scaling by alternating length-constrained nonnegative least squares, with application to distance-based analysis

Groenen, Patrick; Os, Bart-Jan; Meulman, Jacqueline - In: Psychometrika 65 (2000) 4, pp. 511-524

Persistent link: https://www.econbiz.de/10005603124

On the relations among regular, equal unique variances, and image factor analysis models

Hayashi, Kentaro; Bentler, Peter - In: Psychometrika 65 (2000) 1, pp. 59-72

Persistent link: https://www.econbiz.de/10005603332

The Generalized Dynamic Factor Model: Representation Theory

Forni, Mario; Lippi, Marco - C.E.P.R. Discussion Papers - 2000

principal components. Thus the paper reconciles two seemingly unrelated statistical constructions. …

Persistent link: https://www.econbiz.de/10005123749

Reference Cycles: The NBER Methodology Revisited

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2000

indexes and for the identification of turning points. The statistical framework we propose reconciles dynamic principal … components analysis wit dynamic factor analysis. We use our procedure to estimate coincident and leading indexes for the EMU area …

Persistent link: https://www.econbiz.de/10005136502