Download or read book Spectral Analysis of Large Dimensional Random Matrices written by Zhidong Bai and published by Springer Science & Business Media. This book was released on 2009-12-10 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to introduce basic concepts, main results, and widely applied mathematical tools in the spectral analysis of large dimensional random matrices. The core of the book focuses on results established under moment conditions on random variables using probabilistic methods, and is thus easily applicable to statistics and other areas of science. The book introduces fundamental results, most of them investigated by the authors, such as the semicircular law of Wigner matrices, the Marcenko-Pastur law, the limiting spectral distribution of the multivariate F matrix, limits of extreme eigenvalues, spectrum separation theorems, convergence rates of empirical distributions, central limit theorems of linear spectral statistics, and the partial solution of the famous circular law. While deriving the main results, the book simultaneously emphasizes the ideas and methodologies of the fundamental mathematical tools, among them being: truncation techniques, matrix identities, moment convergence theorems, and the Stieltjes transform. Its treatment is especially fitting to the needs of mathematics and statistics graduate students and beginning researchers, having a basic knowledge of matrix theory and an understanding of probability theory at the graduate level, who desire to learn the concepts and tools in solving problems in this area. It can also serve as a detailed handbook on results of large dimensional random matrices for practical users. This second edition includes two additional chapters, one on the authors' results on the limiting behavior of eigenvectors of sample covariance matrices, another on applications to wireless communications and finance. While attempting to bring this edition up-to-date on recent work, it also provides summaries of other areas which are typically considered part of the general field of random matrix theory.

Download or read book Essays in Panel Data Econometrics written by Marc Nerlove and published by Cambridge University Press. This book was released on 2005-11-10 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.

Download or read book Bayesian Model Comparison written by Ivan Jeliazkov and published by Emerald Group Publishing. This book was released on 2014-11-21 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics 34 focusses on Bayesian model comparison. It reflects the recent progress in model building and evaluation that has been achieved in the Bayesian paradigm and provides new state-of-the-art techniques, methodology, and findings that should stimulate future research.

Download or read book Multi factor Models and Signal Processing Techniques written by Serges Darolles and published by John Wiley & Sons. This book was released on 2013-08-02 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages “embedded” quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented “risk assessment-based” practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance. Contents Foreword, Rama Cont. 1. Factor Models and General Definition. 2. Factor Selection. 3. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective. 4. A Regularized Kalman Filter (rgKF) for Spiky Data. Appendix: Some Probability Densities. About the Authors Serge Darolles is Professor of Finance at Paris-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals. Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His fields of expertise encompass statistical signal processing, digital communications, embedded systems and QUANT finance. Emmanuelle Jay is co-founder and President of QAMLab SAS. She has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.

Download or read book Essays in Honor of Subal Kumbhakar written by Christopher F. Parmeter and published by Emerald Group Publishing. This book was released on 2024-04-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.

Download or read book Journal of Economic Literature written by and published by . This book was released on 2007 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Download or read book Essays in Honor of Aman Ullah written by R. Carter Hill and published by Emerald Group Publishing. This book was released on 2016-06-29 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 36 of Advances in Econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career.

Download or read book Bayesian Analysis in Statistics and Econometrics written by Donald A. Berry and published by John Wiley & Sons. This book was released on 1996 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a definitive work that captures the current state of knowledge of Bayesian Analysis in Statistics and Econometrics and attempts to move it forward. It covers such topics as foundations, forecasting inferential matters, regression, computation and applications.

Download or read book Econometrics and Economic Theory written by Willy Sellekaerts and published by Springer. This book was released on 1974-06-18 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Journal of Agricultural Economics Research written by and published by . This book was released on 1987 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Analysis written by David Currie and published by Routledge. This book was released on 2015-09-16 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bringing together the proceedings of the 1979 and 1980 annual conferences of the Association of University Teachers of Economics the papers in this volume discuss: the effect of social security on private saving; an analysis of aggregate consumer behaviour; the philosophy and objectives of econometrics and other topics in macroeconomic and econometric analysis.

Download or read book Journal of Agricultural Economics Research written by and published by . This book was released on 1987 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Contributions to Consumer Demand and Econometrics written by Ronald Bewley and published by Springer. This book was released on 1992-06-18 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains essays on consumer demand and econometrics written in honour of Professor Henri Theil. The essays report the results of current pioneering research work and cover a variety of topics including inequality tests, mixing forecasts and dynamic panel data models.