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Testing the Diagonality of a Large Covariance Matrix in a Regression Setting
Bias-Corrected Test Covariance Diagonality Test High Di- mensional Data Multivariate Analysis
2016/1/20
In multivariate analysis, the covariance matrix associated with a set of vari-ables of interest (namely response variables) commonly contains valuable infor-mation about the dataset. When the dimensio...
Shuffle of min’s random variable approximations of bivariate copulas’realization
random variable approximations bivariate copulas realization
2016/1/20
The comonotonicity and countermonotonicity provide intuitive upper and lower depen-dence relationship between random variables. This paper constructs the shuffle of min’s ran-domvariableapproximations...
这是一个最好的时代。移动互联网技术为从业者提供了有关人们言行举止、社交关系和地里位置等各种丰富详细的数据，价值巨大。这也是一个最坏的时代。面对海量数据，绝大多数从业者却无法从中发掘出有用的信息，难以实现从数据到价值的转换。这不是一两个人面对的困境，而是绝大多数人遭遇的瓶颈，因此，我们需要检讨：这是怎么回事，问题出在哪个环节？
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects
2016/1/20
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Comparative investigation of three Bayesian p values
Bayesian model checking Posterior predictive p value Sampled posterior p value
2016/1/20
Bayesian p values are a popular and important class of approaches for Bayesian model checking. They are used to quantify the degree of surprise from the observed data given the specified data model an...
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging Model averaging
2016/1/20
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/20
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...
Central Limit Theorems for Supercritical Superprocesses
Central limit theorem supercritical superprocess excursion measures of superprocesses
2016/1/20
In this paper, we establish a central limit theorem for a large class of general supercritical superprocesses with spatially dependent branching mechanisms satisfying a second moment condition. This c...
The impacts of migration distance on Chinese migrant workers’ income: The role of fellow villagers
LIBOR rates copula function PDE.
2016/1/20
This paper discusses the correlation structure between London Interbank Offered Rates (LIBOR) by using copula function. We start from one simplified model of Brace, Gatarek & Musiela (1997) and find o...
Central Limit Theorems for Supercritical Branching Markov Processes
Central limit theorem branching Markov process supercritical
2016/1/20
In this paper we establish spatial central limit theorems for a large class of supercritical branching Markov processes with general spatial-dependent branching mechanisms. These are generalizations o...
Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Spatial autoregression Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/20
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
Nonlinearity Nonparametric regression Semiparametric regression Local mono- tonicity Bagging
2016/1/20
This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang(2001). Asymptotic properties of ...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility Kernel estimator Pricing errors
2016/1/20
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...