Search Results - subject:"covariance matrix"

Reducing the state space dimension in a large TVP-VAR

Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118

Persistent link: https://www.econbiz.de/10012482932

An R package for generating covariance matrices for maximum-entropy sampling from precipitation chemistry data

Al-Thani, Hessa; Lee, Jon - In: Operations research forum 1 (2020) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10012306352

Random matrix models for datasets with fixed time horizons

Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781

Persistent link: https://www.econbiz.de/10012262618

Dynamic principal component CAW models for high-dimensional realized covariance matrices

Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821

Persistent link: https://www.econbiz.de/10012262622

Fundamental shock selection in DSGE models

Ferroni, Filippo; Grassi, Stefano; León-Ledesma, Miguel A. - 2015

can be reduced by allowing the covariance matrix of the structural shocks to be rank deficient using priors for standard …

Persistent link: https://www.econbiz.de/10011445296

A pitfall in using the characterization of Granger non-gausality in vector autoregressive models

Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239

covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger …

Persistent link: https://www.econbiz.de/10011755279

Step change point estimation in the multivariate-attribute process variability using artificial neural networks and maximum likelihood estimation

Maleki, Mohammad Reza; Amiri, Amirhossein; Mousavi, … - In: Journal of Industrial Engineering International 11 (2015) 4, pp. 505-515

different shift magnitudes in the covariance matrix of multivariate-attribute quality characteristics are manifested. …

Persistent link: https://www.econbiz.de/10011773110

A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239

covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger …

Persistent link: https://www.econbiz.de/10011249490

Spatial Panel Data Model with error dependence: a Bayesian Separable Covariance Approach

Leorato, Samantha; Mezzetti, Maura - Centro di Studi Internazionali Sull'Economia e la … - 2015

spatially dependent panel data by means of a separable covariance matrix. Let us indicate the observations as yit, i = 1,...,N … regions and t = 1,...,T time, var(y), the covariance matrix of y is written as a Kronecker product of a purely spatial and a …

Persistent link: https://www.econbiz.de/10011249492

A pitfall in using the characterization of Granger non-gausality in vector autoregressive models

Triacca, Umberto - In: Econometrics : open access journal 3 (2015) 2, pp. 233-239

covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger …

Persistent link: https://www.econbiz.de/10011297658