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CSDA
2006
107views more  CSDA 2006»
13 years 3 months ago
Optimal confidence interval for the largest normal mean under heteroscedasticity
A two-stage sampling procedure for obtaining an optimal confidence interval for the largest or smallest mean of k independent normal populations is proposed, where the population ...
Hubert J. Chen, Miin-Jye Wen
CSDA
2006
84views more  CSDA 2006»
13 years 3 months ago
Three-mode partitioning
The three-mode partitioning model is a clustering model for three-way three-mode data sets that implies a simultaneous partitioning of all three modes involved in the data. In the...
Jan Schepers, Iven Van Mechelen, Eva Ceulemans
CSDA
2006
138views more  CSDA 2006»
13 years 3 months ago
Automatic dimensionality selection from the scree plot via the use of profile likelihood
Most dimension reduction techniques produce ordered coordinates so that only the first few coordinates need be considered in subsequent analyses. The choice of how many coordinate...
Mu Zhu, Ali Ghodsi
CSDA
2006
85views more  CSDA 2006»
13 years 3 months ago
Detecting change-points in multidimensional stochastic processes
A general test statistic for detecting change-points in multidimensional stochastic processes with unknown parameters is proposed. The test statistic is specialized to the case of...
Jan G. De Gooijer
CSDA
2006
66views more  CSDA 2006»
13 years 3 months ago
A dynamic model of expected bond returns: A functional gradient descent approach
We propose a multivariate methodology based on Functional Gradient Descent to estimate and forecast time-varying expected bond returns. Backtesting our procedure on US monthly dat...
Francesco Audrino, Giovanni Barone-Adesi
CSDA
2006
51views more  CSDA 2006»
13 years 3 months ago
Robust estimation of dimension reduction space
P. Cízek, Wolfgang K. Härdle
CSDA
2006
84views more  CSDA 2006»
13 years 3 months ago
Extremal financial risk models and portfolio evaluation
It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, ...
Zhengjun Zhang, James Huang
CSDA
2006
142views more  CSDA 2006»
13 years 3 months ago
A studentized range test for the equivalency of normal means under heteroscedasticity
A studentized range test using a two-stage and a one-stage sampling procedures, respectively, is proposed for testing the hypothesis that the average deviation of the normal means...
Miin-Jye Wen, Hubert J. Chen
CSDA
2006
61views more  CSDA 2006»
13 years 3 months ago
An atmosphere-ocean time series model of global climate change
Time series models of global climate change tend to estimate a low climate-sensitivity (equilibrium effect on global temperature of doubling carbon dioxide concentrations) and a f...
David I. Stern
CSDA
2006
42views more  CSDA 2006»
13 years 3 months ago
Time series clustering based on forecast densities
A. M. Alonso, J. R. Berrendero, A. Hernánde...