Search Results - subject:"Spectral decomposition"

The Merit of High-Frequency Data in Portfolio Allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...

Persistent link: https://www.econbiz.de/10010587713

Analysing voting behaviour in the United States banking sector through eigenvalue decomposition

Piñeiro Chousa, Juan Ramón; Vizcaíno-González, Marcos; … - In: Applied economics letters 23 (2016) 10/12, pp. 840-843

Persistent link: https://www.econbiz.de/10011628594

Testing for equality of ordered eigenvectors of two multivariate normal populations

Najarzadeh, Dariush; Khazaei, Mojtaba; Ganjali, Mojtaba - In: METRON 73 (2015) 1, pp. 57-72

eigenvectors matrix in their spectral decomposition form. In this paper, a suitable test statistic is suggested for assessing this …

Persistent link: https://www.econbiz.de/10011241514

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - In: Journal of applied econometrics 30 (2015) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10011327609

On nodal domains and higher-order Cheeger inequalities of finite reversible Markov processes

Daneshgar, Amir; Javadi, Ramin; Miclo, Laurent - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1748-1776

Let L be a reversible Markovian generator on a finite set V. Relations between the spectral decomposition of L and …

Persistent link: https://www.econbiz.de/10010875055

Assessing the pattern of covariance matrices via an augmentation multiple testing procedure

Greselin, Francesca; Ingrassia, Salvatore; Punzo, Antonio - In: Statistical Methods and Applications 20 (2011) 2, pp. 141-170

Persistent link: https://www.econbiz.de/10009149447

Distribution-free tests for polynomial regression based on simplicial depth

Wellmann, Robin; Harmand, Peter; Müller, Christine H. - In: Journal of Multivariate Analysis 100 (2009) 4, pp. 622-635

presented. In most relevant cases, the test statistic is a degenerated U-statistic so that the spectral decomposition of the … the specified form, the spectral decomposition and thus the asymptotic distribution is derived for polynomial regression …

Persistent link: https://www.econbiz.de/10005153165

Spectral decomposition for operator self-similar processes and their generalized domains of attraction

Meerschaert, Mark M.; Scheffler, Hans-Peter - In: Stochastic Processes and their Applications 84 (1999) 1, pp. 71-80

affine linear operators. We prove a spectral decomposition theorem for these processes, and for processes with these scaling …

Persistent link: https://www.econbiz.de/10008874274

Spectral decomposition of Chebyshev maps

Qiao, Bi; Antoniou, I. - In: Physica A: Statistical Mechanics and its Applications 233 (1996) 1, pp. 449-457

We construct a spectral decomposition of the Frobenius-Perron operator for the Chebyshev polynomials of the first kind …. We defined a suitable dual pair or rigged Hilbert space which provides mathematical meaning to the spectral decomposition …

Persistent link: https://www.econbiz.de/10010586310

A note on spectral decomposition and maximum likelihood estimation in models with balanced data

Wansbeek, Tom; Kapteyn, Arie - In: Statistics & Probability Letters 1 (1983) 4, pp. 213-215

A simple derivation of the spectral decomposition of the covariance matrix for a general multi-way variance components … model is presented. So-called balanced data are assumed to be available. Spectral decomposition is exploited to derive the …

Persistent link: https://www.econbiz.de/10005314034