搜索结果: 1-15 共查到“Time-Varying”相关记录26条 . 查询时间(0.093 秒)
Estimation of Spatial Panel Data Models with Time Varying Spatial Weights Matrices
Spatial autoregression Panel data Time varying spatial weights matrices Fixed e¤ects Maximum likelihood Impact analysis
2016/1/26
This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymp...
Estimation of Spatial Panel Data Models with Time Varying Spatial Weights Matrices
Spatial autoregression Panel data Time varying spatial weights matrices Fixed e¤ects Maximum likelihood Impact analysis
2016/1/20
This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymp...
QML estimation of spatial dynamic panel data models with time varying spatial weights matrices
Spatial autoregression Dynamic panels Time varying spatial weights matrix Fixed ef- fects Maximum likelihood
2016/1/19
This paper investigates the quasi-maximum likelihood estimation of spatial dynamic panel data mod-els where spatial weights matrices can be time varying. We …nd that QML estimate is consistent and asy...
Distributed average consensus with time-varying metropolis weights
Average consensus Distributed computing Metropolis algorithm
2015/8/10
Given a network of processes where each node has an initial scalar value, we consider the problem of computing their average asymptotically using a distributed, linear iterative algorithm. At each ite...
An Implementation of Discrete Multi-tone Over Slowly Time-Varying Multiple-Input/Multiple-Output Channels
Discrete Multi-tone Slowly Time-Varying Multiple-Input/Multiple-Output Channels
2015/7/13
Recent analysis of Multiple-Input Multiple-Output (MIMO) communication systems, for example those involving antenna arrays, has shown that channel capacity increases linearly with the number of antenn...
Distributed Power Control for Time-Varying Wireless Networks: Optimality and Convergence
Distributed Power Control Time-Varying Wireless Networks Optimality Convergence
2015/7/8
This paper presents a new distributed power control algorithm for ad-hoc wire- less networks in random channel environments. Previous work in this area has focused on distributed power control for ad-...
Distributed Power Control for Time-Varying Wireless Networks
Distributed Power Control Time-Varying Wireless Networks
2015/7/8
This paper presents new distributed power and admission control algorithms for ad-hoc wireless networks in random channel environments. Previous work in this area has focused on distributed control fo...
Inference of time-varying regression models
Information criterion locally stationary processes nonpara-metric hypothesis testings time-varying coefficient models variable selection.
2012/9/17
We consider parameter estimation, hypothesis testing and vari-able selection for partially time-varying coefficient models. Our asymp-totic theory has the useful feature that it can allow dependent, n...
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
Re-Weighted l_1 Dynamic Filtering for Time-Varying Sparse Signal Estimation
Re-Weighted Dynamic Filtering Time-Varying Signal Estimation
2012/9/17
Signal estimation from incomplete observations improves as more signal structure can be exploited in the inference process. Classic algorithms (e.g., Kalman filtering) have exploited strong dynamic st...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Optimal execution and price manipulations in time-varying limit order books
Market impact model optimal order execution limit order book market makers price manipulation
2012/4/28
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
Corrected portmanteau tests for VAR models with time-varying variance
VAR model Unconditionally heteroscedastic errors Residual autocorrelations Portmanteau tests
2011/6/20
The problem of test of fit for Vector AutoRegressive (VAR) processes
with unconditionally heteroscedastic errors is studied. The volatility structure is
deterministic but time-varying and allows for...
Exploiting Correlation in Sparse Signal Recovery Problems: Multiple Measurement Vectors, Block Sparsity, and Time-Varying Sparsity
Multiple Measurement Vectors Block Sparsity Time-Varying Sparsity
2011/6/16
A trend in compressed sensing (CS) is to exploit struc-
ture for improved reconstruction performance. In the
basic CS model (i.e. the single measurement vec-
tor model), exploiting the clustering s...
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches
conditional variance Hedging performance hedge ratios
2011/4/2
Bollerslev’s (1990) constant conditional correlation (CCC) and Engle’s (2002) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models ...