Search Results - subject:"eigenvalue"

On the dependence of the growth rate on the elasticity of substitution in a network

Martemyanov, Yury P.; Matveenko, Vladimir D. - In: International journal of process management and … 4 (2014) 4, pp. 475-492

Persistent link: https://www.econbiz.de/10011417328

Harmonic Regression Models: A Comparative Review with Applications.

Artis, Michael; Clavel, José G.; Hoffmann, Mathias; … - Institut für Volkswirtschaftslehre, … - 2007

Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper the five major methods suggested under this approach are critically reviewed and compared, and their empirical...

Persistent link: https://www.econbiz.de/10005463539

Agricultural Supply Response in the Argentinean Economy

Herrou-Aragón, Alberto - In: Económica LIII (2007) 1-2, pp. 73-100

This paper estimates a reduced-form agricultural supply function for the Argentinean economy within the framework of a general equilibrium model. The results of the estimation using data covering the years 1939-1984 show that there is a statistically significant long-run supply price elasticity...

Persistent link: https://www.econbiz.de/10005258436

Asymptotic skew under stochastic volatility

Jacquier, Antoine - Birkbeck, Department of Economics, Mathematics & Statistics - 2007

The purpose of this paper is to improve and discuss the asymptotic formula of the implied volatility (when maturity goes to infinity) given in [3]. Indeed, we are here able to provide more accurate at-the-money asymptotics. Such analytic formulas are useful for calibration.

Persistent link: https://www.econbiz.de/10005344314

Testing for cointegration using the Johansen methodology when variables are near-integrated

Hjalmarsson, Erik; Österholm, Pär - 2007

Persistent link: https://www.econbiz.de/10003997748

On spectral properties of finite population processor shared queues

Zhen, Qiang; Knessl, Charles - In: Computational Statistics 77 (2013) 2, pp. 147-176

finite population models where the total population is $$N\gg 1$$ . Using asymptotic methods we reduce the eigenvalue problem … to that of a standard differential equation, such as the Hermite equation. The dominant eigenvalue leads to the tail of a …

Persistent link: https://www.econbiz.de/10010847947

The origin of power-law emergent scaling in large binary networks

Almond, D.P.; Budd, C.J.; Freitag, M.A.; Hunt, G.W.; … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 4, pp. 1004-1027

We study the macroscopic conduction properties of large but finite binary networks with conducting bonds. By taking a combination of a spectral and an averaging based approach we derive asymptotic formulae for the conduction in terms of the component proportions p and the total number of...

Persistent link: https://www.econbiz.de/10011058010

Factor models in high-dimensional time series—A time-domain approach

Hallin, Marc; Lippi, Marco - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2678-2695

High-dimensional time series may well be the most common type of dataset in the so-called “big data” revolution, and have entered current practice in many areas, including meteorology, genomics, chemometrics, connectomics, complex physics simulations, biological and environmental research,...

Persistent link: https://www.econbiz.de/10011065016

Large deviations and related problems for absorbing Markov chains

Chen, Jinwen; Deng, Xiaoxue - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2398-2418

In this paper, large deviations and their connections with several other fundamental topics are investigated for absorbing Markov chains. A variational representation for the Dirichlet principal eigenvalues is given by the large deviation approach. Kingman’s decay parameters and mean ratio...

Persistent link: https://www.econbiz.de/10011065068

The first Dirichlet eigenvalue of birth–death process on trees

Wang, Ling-Di; Zhang, Yu-Hui - In: Statistics & Probability Letters 83 (2013) 9, pp. 1973-1982

eigenvalue (equivalently, the convergence rate) of the process with Dirichlet boundary at the unique root 0. Three kinds of … variational formulas for the eigenvalue are presented. As an application, we obtain a criterion for positivity of the first … eigenvalue for B–D processes on trees with one branch after some layer. …

Persistent link: https://www.econbiz.de/10011039841