65,792 research outputs found
Kernel-based system identification from noisy and incomplete input-output data
In this contribution, we propose a kernel-based method for the identification
of linear systems from noisy and incomplete input-output datasets. We model the
impulse response of the system as a Gaussian process whose covariance matrix is
given by the recently introduced stable spline kernel. We adopt an empirical
Bayes approach to estimate the posterior distribution of the impulse response
given the data. The noiseless and missing data samples, together with the
kernel hyperparameters, are estimated maximizing the joint marginal likelihood
of the input and output measurements. To compute the marginal-likelihood
maximizer, we build a solution scheme based on the Expectation-Maximization
method. Simulations on a benchmark dataset show the effectiveness of the
method.Comment: 16 pages, submitted to IEEE Conference on Decision and Control 201
Time Series Analysis
We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.time series analysis, time domain, frequency domain
Time Series Analysis
We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.time series analysis, time domain, frequency domain, Research Methods/ Statistical Methods,
Outliers in dynamic factor models
Dynamic factor models have a wide range of applications in econometrics and
applied economics. The basic motivation resides in their capability of reducing
a large set of time series to only few indicators (factors). If the number of
time series is large compared to the available number of observations then most
information may be conveyed to the factors. This way low dimension models may
be estimated for explaining and forecasting one or more time series of
interest. It is desirable that outlier free time series be available for
estimation. In practice, outlying observations are likely to arise at unknown
dates due, for instance, to external unusual events or gross data entry errors.
Several methods for outlier detection in time series are available. Most
methods, however, apply to univariate time series while even methods designed
for handling the multivariate framework do not include dynamic factor models
explicitly. A method for discovering outliers occurrences in a dynamic factor
model is introduced that is based on linear transforms of the observed data.
Some strategies to separate outliers that add to the model and outliers within
the common component are discussed. Applications to simulated and real data
sets are presented to check the effectiveness of the proposed method.Comment: Published in at http://dx.doi.org/10.1214/07-EJS082 the Electronic
Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of
Mathematical Statistics (http://www.imstat.org
A selective overview of nonparametric methods in financial econometrics
This paper gives a brief overview on the nonparametric techniques that are
useful for financial econometric problems. The problems include estimation and
inferences of instantaneous returns and volatility functions of
time-homogeneous and time-dependent diffusion processes, and estimation of
transition densities and state price densities. We first briefly describe the
problems and then outline main techniques and main results. Some useful
probabilistic aspects of diffusion processes are also briefly summarized to
facilitate our presentation and applications.Comment: 32 pages include 7 figure
Maximum likelihood in the frequency domain: a time to build example
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for interpreting maximum likelihood ratio tests. We apply the methods to the estimation and testing of two real business cycle models. The standard real business cycle model is rejected in favor of an alternative in which capital investment requires a planning period.Business cycles ; Investments
The MVGC multivariate Granger causality toolbox: a new approach to Granger-causal inference
Background: Wiener-Granger causality (“G-causality”) is a statistical notion of causality applicable to time series data, whereby cause precedes, and helps predict, effect. It is defined in both time and frequency domains, and allows for the conditioning out of common causal influences. Originally developed in the context of econometric theory, it has since achieved broad application in the neurosciences and beyond. Prediction in the G-causality formalism is based on VAR (Vector AutoRegressive) modelling.
New Method: The MVGC Matlab c Toolbox approach to G-causal inference is based on multiple equivalent representations of a VAR model by (i) regression parameters, (ii) the autocovariance sequence and (iii) the cross-power spectral density of the underlying process. It features a variety of algorithms for moving between these representations, enabling selection of the most suitable algorithms with regard to computational efficiency and numerical accuracy.
Results: In this paper we explain the theoretical basis, computational strategy and application to empirical G-causal inference of the MVGC Toolbox. We also show via numerical simulations the advantages of our Toolbox over previous methods in terms of computational accuracy and statistical inference.
Comparison with Existing Method(s): The standard method of computing G-causality involves estimation of parameters for both a full and a nested (reduced) VAR model. The MVGC approach, by contrast, avoids explicit estimation of the reduced model, thus eliminating a source of estimation error and improving statistical power, and in addition facilitates fast and accurate estimation of the computationally awkward case of conditional G-causality in the frequency domain.
Conclusions: The MVGC Toolbox implements a flexible, powerful and efficient approach to G-causal inference.
Keywords: Granger causality, vector autoregressive modelling, time series analysi
Maximum likelihood in the frequency domain: a time to build example
The Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. Exploiting these observations, the authors devise diagnostic methods that are useful for interpreting maximum-likelihood parameter estimates and likelihood ratio tests. They apply the methods to estimating and testing two real business-cycle models and reject the standard model in favor of an alternative in which capital investment requires a planning period.Business cycles ; Econometric models
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