Statistical inference on high-dimensional tail event curves:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin
2017
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xiv, 107 Seiten Diagramme |
Internformat
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| 776 | 0 | 8 | |i Reproduziert als |a Huang, Chen |t Statistical inference on high-dimensional tail event curves |d Ketsch bei Mannheim : Mikroform Dissertation, 2017 |h 2 Mikrofiches |w (DE-604)BV044870036 |
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Datensatz im Suchindex
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|---|---|
| adam_text |
CONTENTS
1 INTRODUCTION 1
2 MULTIVARIATE FACTORISABLE EXPECTILE REGRESSION 5
2.1
INTRODUCTION.
5
2.2 M E TH O D
.
7
2.2.1 M O D E
L.
7
2.2.2 A LGORITHM
.
9
2.2.3 ORACLE INEQUALITIES
.
12
2.3 SIMULATION S TU D Y
.
14
2.4 EMPIRICAL ANALYSIS: PREDICTING RISK ATTITUDE WITH FMRI DATA . 17
2.4.1 D A T A
.
18
2.4.2 M E TH O D
.
21
2.4.3 EMPIRICAL R ESULTS
.
24
2.5 C
ONCLUSIONS.
25
3 ROBUST INFERENCE FOR QUANTILE PREDICTIVE REGRESSION WITH PERSISTENT
PRE
DICTORS 27
3.1
INTRODUCTION.
27
3.2 MODEL AND E S TIM A TIO N
.
30
3.2.1 MODEL S ETTIN G
.
30
3.2.2 ESTIMATION P RO C E D U RE
. 32
3.3 INFERENCE T H E O R Y
.
34
3.4 /
SIMULATION S TU D Y
.
36
3.5 QUANTILE PREDICTABILITY AND RISK MANAGEMENT
.
41
3.5.1 P REDICTABILITY
.
41
3.5.2 RISK MANAGEMENT
.
43
3.6 C
ONCLUSIONS.
45
4 FLEXIBLE HAR MODEL FOR REALIZED VOLATILITY 47
4.1
INTRODUCTION.
47
4.2 THEORETICAL F
OUNDATIONS.
49
4.2.1 HAR MODEL FOR REALIZED V O LATILITY
.
49
4.2.2 ESTIMATION OF FLEXIBLE H A R
. 52
4.2.3 STATISTICAL IN FE RE N C E
. 53
4.3 ALTERNATIVE M O D
ELS.
54
4.4 EMPIRICAL A P P LIC A TIO N
.
57
4.4.1 D A T A
.
57
4.4.2 ROLLING WINDOW ESTIMATIONS AND T ESTIN G S
.
58
4.4.3 FURTHER VALIDATION OF THE HAR STRUCTURE
.
64
4.4.4 ESTIMATION AND FORECASTING ACCURACY
.
65
4.4.5 SUPER LEARNER AND MODEL SELECTION
.
70
4.5 C
ONCLUSIONS.
73
A APPENDIX 75
A .L SUPPLEMENTARY MATERIALS FOR CHAPTER 2
. 75
A.1.1 PROOF FOR THEOREM 2 .2 .1
.
75
A.1.2 PROOF FOR THEOREM 2 .2 .2
.
76
A.1.3 PROOFS FOR THEOREM 2.2.3
. 77
A. 1.4 AUXILIARY R ESU
LTS.
83
A.1.5 TUNING PARAMETERS BY C ROSS-V
ALIDATION. 85
A. 1.6 RISK ATTITUDE PARAM
ETER. 87
A.2 SUPPLEMENTARY MATERIALS FOR CHAPTER 3
.
87
A.2.1 MODEL SETTING AND LIMIT THEORY WITH MULTIPLE PREDICTORS . . 88
A.2.2 AUXILIARY L E M M A S
.
89
A.2.3 PROOFS FOR THEOREM 3.3.1
.
94
A.2.4 PROOFS FOR THEOREM 3.3.2
.
95
A.2.5 PROOFS FOR THEOREM 3.3.3
.
95
A.2.6 PROOFS FOR COROLLARY 3 . 3 . 2
.
96
BIBLIOGRAPHY
97 |
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| spelling | Huang, Chen 1988- Verfasser (DE-588)1139792695 aut Statistical inference on high-dimensional tail event curves von M.A. Chen Huang Berlin 2017 xiv, 107 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation Humboldt-Universität zu Berlin 2017 (DE-588)4113937-9 Hochschulschrift gnd-content Reproduziert als Huang, Chen Statistical inference on high-dimensional tail event curves Ketsch bei Mannheim : Mikroform Dissertation, 2017 2 Mikrofiches (DE-604)BV044870036 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029883486&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Huang, Chen 1988- Statistical inference on high-dimensional tail event curves |
| subject_GND | (DE-588)4113937-9 |
| title | Statistical inference on high-dimensional tail event curves |
| title_auth | Statistical inference on high-dimensional tail event curves |
| title_exact_search | Statistical inference on high-dimensional tail event curves |
| title_full | Statistical inference on high-dimensional tail event curves von M.A. Chen Huang |
| title_fullStr | Statistical inference on high-dimensional tail event curves von M.A. Chen Huang |
| title_full_unstemmed | Statistical inference on high-dimensional tail event curves von M.A. Chen Huang |
| title_short | Statistical inference on high-dimensional tail event curves |
| title_sort | statistical inference on high dimensional tail event curves |
| topic_facet | Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029883486&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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