Multivariate reduced rank regression: theory and applications
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York ; Berlin ; Heidelberg ; Barcelona ; Budapest ; Hong Kong ; London ; Milan ; Paris ; Singapore ; Tokyo
Springer
1998
|
| Schriftenreihe: | Lecture notes in statistics
136 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 235 - 250 |
| Beschreibung: | XIII, 258 S. graph. Darst. |
| ISBN: | 0387986014 |
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| 245 | 1 | 0 | |a Multivariate reduced rank regression |b theory and applications |c Gregory C. Reinsel ; Raja P. Velu |
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Datensatz im Suchindex
| _version_ | 1826212322557820928 |
|---|---|
| adam_text |
GREGORY C. REINSEL
RAJA
P. VELU
MULTIVARIATE REDUCED-RANK REGRESSION
THEORY
AND APPLICATIONS
SPRINGER
CONTENTS
1 MULTIVARIATE LINEAR REGRESSION 1
1.1 INTRODUCTION 1
1.2 MULTIVARIATE LINEAR REGRESSION MODEL AND LEAST SQUARES ES
TIMATOR
3
1.3 FURTHER INFERENCE PROPERTIES IN THE MULTIVARIATE REGRESSION
MODEL
-.- 5
1.4 PREDICTION IN THE MULTIVARIATE LINEAR REGRESSION MODEL . . 10
1.5
A NUMERICAL EXAMPLE 11
2 REDUCED-RANK REGRESSION MODEL 15
2.1 THE BASIC REDUCED-RANK MODEL AND BACKGROUND 15
2.2 SOME EXAMPLES OF APPLICATION OF THE REDUCED-RANK MODEL 20
2.3
ESTIMATION OF PARAMETERS IN THE REDUCED-RANK MODEL .
.
. 25
2.4
RELATION TO PRINCIPAL COMPONENTS AND CANONICAL CORRELA
TION
ANALYSIS 35
2.4.1 PRINCIPAL COMPONENTS ANALYSIS 35
2.4.2 CANONICAL CORRELATION ANALYSIS 38
2.5 ASYMPTOTIC DISTRIBUTION OF ESTIMATORS IN REDUCED-RANK MODEL 41
2.6
IDENTIFICATION OF RANK OF THE REGRESSION COEFFICIENT MATRIX . 49
2.7
NUMERICAL EXAMPLE USING BIOCHEMICAL DATA 52
3 REDUCED-RANK REGRESSION MODELS WITH TWO SETS OF RE
GRESSORS
57
3.1 REDUCED-RANK MODEL OF ANDERSON 57
CONTENTS
3.2 APPLICATION
TO
ONE-WAY ANOVA
AND
LINEAR DISCRIMINANT
ANALYSIS
64
3.3 NUMERICAL EXAMPLE USING CHEMOMETRICS DATA
67
3.4 BOTH REGRESSION MATRICES
OF
LOWER RANKS
-
MODEL
AND ITS
APPLICATIONS
.' . 72
3.5 ESTIMATION
AND
INFERENCE
FOR THE
MODEL
74
3.5.1 EFFICIENT ESTIMATOR
75
3.5.2
AN
ALTERNATIVE ESTIMATOR
79
3.5.3 ASYMPTOTIC INFERENCE
80
3.6 IDENTIFICATION
OF
RANKS
OF
COEFFICIENT MATRICES
84
3.7
AN
EXAMPLE
ON
OZONE DATA
87
REDUCED-RANK REGRESSION MODEL WITH AUTOREGRESSIVE ER
RORS
93
4.1 INTRODUCTION ARID THE MODEL .- 93
4.2 EXAMPLE ON U.K. ECONOMY - BASIC DATA AND THEIR DESCRIP
TIONS
95
4.3 MAXIMUM LIKELIHOOD ESTIMATORS FOR THE MODEL 97
4.4
COMPUTATIONAL ALGORITHMS FOR EFFICIENT ESTIMATORS 101
4.5
ALTERNATIVE ESTIMATORS AND THEIR PROPERTIES 103
4.5.1 A COMPARISON BETWEEN EFFICIENT AND OTHER ESTIMATORS
105
4.6
IDENTIFICATION OF RANK OF THE REGRESSION COEFFICIENT MATRIX . 107
4.7
INFERENCE FOR THE NUMERICAL EXAMPLE 108
MULTIPLE TIME SERIES MODELING WITH REDUCED RANKS
113
5.1
INTRODUCTION
AND
TIME SERIES MODELS
113
5.2 REDUCED-RANK AUTOREGRESSIVE MODELS
- 116
5.2.1 ESTIMATION
AND
INFERENCE
116
5.2.2 RELATIONSHIP
TO
CANONICAL ANALYSIS
OF BOX AND
TIAO
118
5.3
EXTENDED
AND
NESTED REDUCED-RANK AUTOREGRESSIVE MODELS
120
5.3.1
AN
EXTENDED REDUCED-RANK AUTOREGRESSIVE MODEL
. 120
5.3.2 NESTED REDUCED-RANK AUTOREGRESSIVE MODELS
.
.
.
. 122
5.4
NUMERICAL EXAMPLE
ON U.S. HOG
DATA
126
5.5 RELATIONSHIP BETWEEN NONSTATIONARITY
AND
CANONICAL CORRE
LATIONS
135
5.6 COINTEGRATION
FOR
NONSTATIOHARY SERIES
-
REDUCED RANK
IN
LONG
TERM
139
5.6.1
LS AND ML
ESTIMATION
AND
INFERENCE
142
5.6.2 LIKELIHOOD RATIO TEST
FOR THE
NUMBER
OF
COINTEGRAT
ING
RELATIONS
. : 147
5.7 UNIT ROOT
AND
COINTEGRATION ASPECTS
FOR U.S. HOG
DATA
EXAMPLE
148
THE GROWTH CURVE MODEL
AND
REDUCED-RANK REGRESSION
METHODS
155
CONTENTS XIII
6.1 INTRODUCTION AND THE GROWTH CURVE MODEL 155
6.2 ESTIMATION OF PARAMETERS IN THE GROWTH CURVE MODEL . . . 157
6.3
LIKELIHOOD RATIO TESTING OF LINEAR HYPOTHESES IN GROWTH
CURVE
MODEL 162
6.4 AN EXTENDED MODEL FOR GROWTH CURVE DATA 166
6.5 MODIFICATION OF BASIC GROWTH CURVE MODEL TO REDUCED-RANK
MODEL
168
6.6 REDUCED-RANK GROWTH CURVE MODELS 171
6.6.1 EXTENSIONS OF THE REDUCED-RANK GROWTH CURVE MODELL76
6.7
A NUMERICAL EXAMPLE 182
7 SEEMINGLY UNRELATED REGRESSIONS MODELS WITH REDUCED
RANKS
189
7.1 INTRODUCTION AND THE SEEMINGLY UNRELATED REGRESSIONS MODEL 189
7.2
RELATION OF GROWTH CURVE MODEL TO THE SEEMINGLY UNRELATED
REGRESSIONS
MODEL 192
7.3 REDUCED-RANK COEFFICIENT IN SEEMINGLY UNRELATED REGRES
SIONS
MODEL 193
7.4 MAXIMUM LIKELIHOOD ESTIMATORS FOR REDUCED-RANK MODEL . 195
7.5
AN ALTERNATE ESTIMATOR AND ITS PROPERTIES 198
7.6 IDENTIFICATION OF RANK OF THE REGRESSION COEFFICIENT MATRIX . 201
7.7
A NUMERICAL ILLUSTRATION WITH SCANNER DATA 203
8 APPLICATIONS OF REDUCED-RANK REGRESSION IN FINANCIAL ECO
NOMICS
213
8.1 INTRODUCTION TO ASSET PRICING MODELS 213
8.2 ESTIMATION AND TESTING IN THE ASSET PRICING MODEL 216
8.3
ADDITIONAL APPLICATIONS OF REDUCED-RANK REGRESSION IN FI
NANCE
221
8.4 EMPIRICAL STUDIES AND RESULTS ON ASSET PRICING MODELS . . 222
9 ALTERNATE PROCEDURES FOR ANALYSIS OF MULTIVARIATE REGRES
SION
MODELS 225
APPENDIX 232
REFERENCES 235
SUBJECT INDEX 251
AUTHOR INDEX 255 |
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| dewey-full | 519.5/3621 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
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| dewey-search | 519.5/36 21 |
| dewey-sort | 3519.5 236 221 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| discipline_str_mv | Mathematik |
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| institution | BVB |
| isbn | 0387986014 |
| language | English |
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| spelling | Reinsel, Gregory C. 1948-2004 Verfasser (DE-588)113599382 aut Multivariate reduced rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu New York ; Berlin ; Heidelberg ; Barcelona ; Budapest ; Hong Kong ; London ; Milan ; Paris ; Singapore ; Tokyo Springer 1998 XIII, 258 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 136 Literaturverz. S. 235 - 250 Regression analysis Reduzierter Rang (DE-588)4388839-2 gnd rswk-swf Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Regressionsmodell (DE-588)4127980-3 gnd rswk-swf Regressionsmodell (DE-588)4127980-3 s Reduzierter Rang (DE-588)4388839-2 s Multivariate Analyse (DE-588)4040708-1 s DE-604 Velu, Raja P. Verfasser aut Lecture notes in statistics 136 (DE-604)BV002447846 136 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016878577&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Reinsel, Gregory C. 1948-2004 Velu, Raja P. Multivariate reduced rank regression theory and applications Lecture notes in statistics Regression analysis Reduzierter Rang (DE-588)4388839-2 gnd Multivariate Analyse (DE-588)4040708-1 gnd Regressionsmodell (DE-588)4127980-3 gnd |
| subject_GND | (DE-588)4388839-2 (DE-588)4040708-1 (DE-588)4127980-3 |
| title | Multivariate reduced rank regression theory and applications |
| title_auth | Multivariate reduced rank regression theory and applications |
| title_exact_search | Multivariate reduced rank regression theory and applications |
| title_exact_search_txtP | Multivariate reduced rank regression theory and applications |
| title_full | Multivariate reduced rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu |
| title_fullStr | Multivariate reduced rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu |
| title_full_unstemmed | Multivariate reduced rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu |
| title_short | Multivariate reduced rank regression |
| title_sort | multivariate reduced rank regression theory and applications |
| title_sub | theory and applications |
| topic | Regression analysis Reduzierter Rang (DE-588)4388839-2 gnd Multivariate Analyse (DE-588)4040708-1 gnd Regressionsmodell (DE-588)4127980-3 gnd |
| topic_facet | Regression analysis Reduzierter Rang Multivariate Analyse Regressionsmodell |
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