Search Results - subject:"perturbation theory"

Modeling tail dependence using stochastic volatility model

Kim, See-Woo; Ma, Yong-Ki; Necula, Ciprian - In: Computational economics 62 (2023) 1, pp. 129-147

Persistent link: https://www.econbiz.de/10014327243

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2014

In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data we establish the limiting...

Persistent link: https://www.econbiz.de/10011282644

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2014

Persistent link: https://www.econbiz.de/10010392909

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2013

In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed effects for asymptotics where both the number of time periods and the number of cross-sectional units go to infinity. Under appropriate assumptions we show that the limiting...

Persistent link: https://www.econbiz.de/10010368192

Linear regression for panel with unknown number of factors as interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2013

Persistent link: https://www.econbiz.de/10010188247

Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?

Faria, Gonçalo; Correia-da-Silva, João - Faculdade de Economia, Universidade do Porto - 2012

to assess if this continues to be true in the presence of ambiguity. Adopting robust control and perturbation theory …

Persistent link: https://www.econbiz.de/10010634122

Perturbation theory in a pure exchange non-equilibrium economy

Vazquez, Samuel E.; Severini, Simone - Volkswirtschaftliche Fakultät, … - 2009

We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous preferences and probabilistic interaction between agents. We...

Persistent link: https://www.econbiz.de/10005616696

Strongly Consistent Determination of the Rank of Matrix

Ratsimalahelo, Zaka - 2003

In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation … theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting …-N-consistent estimator is available and construct a Wald- type test statistic (generalized Wald test). The test, based on matrix perturbation …

Persistent link: https://www.econbiz.de/10011496035

Strongly Consistent Determination of the Rank of Matrix

Ratsimalahelo, Zaka - Economics and Econometrics Research Institute (EERI) - 2003

Persistent link: https://www.econbiz.de/10005396214

On an Extension of Condition Number Theory to Non-Conic Convex Optimization

Freund, Robert; Ordonez, Fernando - Sloan School of Management, Massachusetts Institute of … - 2003

The purpose of this paper is to extend, as much as possible, the modern theory of condition numbers for conic convex optimization: z_* = min cx subject to Ax-b \in C_Y , x \in C_X, to the more general non-conic format: (GP_d) z_* = min cx subject to Ax-b \in C_Y , x \in P, where P is any closed...

Persistent link: https://www.econbiz.de/10005574502