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Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization, Sparsity
2011/7/6
To better understand the spatial structure of large panels of economic and financial time series and provide a guideline for constructing semiparametric models, this paper first considers estimating a...
Reproducing kernels for spaces of zero mean functions. Application to sensitivity analysis
Kernel Methods Global Sensitivity Analysis Sobol-Hoeffding Decomposition
2011/7/6
Given a Reproducing Kernel Hilbert Space (H, h., .i) of real-valued functions and a suitable measure \mu over the source space, we decompose H as sum of a subspace of centered functions for {\mu} and ...
Graver basis for an undirected graph and its application to testing the beta model of random graphs
Markov basis Markov chain Monte Carlo Rasch model toric ideal
2011/3/21
In this paper we give an explicit and algorithmic description of Graver basis for the toric ideal associated with a simple undirected graph and apply the basis for testing the beta model of random gra...
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
Failing system Urn model Neutral to the right processes
2010/10/19
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example be...