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Displaying results 1 to 8 of 8.

  1. Income dynamics in dual labor markets
    Author: Lagrosa, Ivan
    Published: October
    Publisher:  Centro de estudios monetarios y financieros, Madrid, Spain

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 508
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 2209
    Subjects: Income process; EM algorithm; labor market duality; temporary jobs; labor income risk; latent variables
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  2. Slow expectation-maximization convergence in low-noise dynamic factor models
    Author: Opschoor, Daan; Dijk, Dick van
    Published: [2023]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo... more

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    DS 432
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    This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a low-noise environment, leading to inaccurate estimates of factor loadings and latent factors. An adaptive version of EM considerably speeds up convergence, producing substantial improvements in estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP growth shows gains up to 34% by using adaptive EM relative to the usual EM.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/273829
    Series: Array ; TI 2023, 018
    Subjects: Dynamic factor models; EM algorithm; artificial noise; convergence speed; nowcasting
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  3. Hidden semi-Markov models for rainfall-related insurance claims
    Author: Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, Antonello
    Published: 2023
    Publisher:  Norwegian School of Economics, Bergen, Norway

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 49
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11250/3100853
    Series: Discussion paper / Department of Business and Management Science ; FOR 2023, 17 (November 2023)
    Subjects: Mixtures; Non-Gaussian distributions; EM algorithm; Risk measures; Rainfalldata
    Scope: 1 Online-Ressource (circa 26 Seiten)
  4. Specification analysis of international treasury yield curve factors
    Author: Pegoraro, Fulvio; Siegel, Andrew F.; Tiozzo 'Pezzoli, Luca
    Published: 2014
    Publisher:  Banque de France, Paris

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Nicht speichern
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / Banque de France ; 490
    Subjects: international treasury yield curves; common and local factors; state-space models; EM algorithm; Kalman Filter and Kalman Smoother
    Scope: Online-Ressource (50 S.), graph. Darst.
    Notes:

    Zsfassung in franz. Sprache
  5. Likelihood-based analysis for dynamic factor models
    Author: Jungbacker, Borus; Koopman, Siem Jan
    Published: 2008

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 899 (2008.007)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 2008,007
    Subjects: Maximum-Likelihood-Schätzung; Faktorenanalyse; Zustandsraummodell; Monte-Carlo-Simulation; Markov-Kette; Theorie; EM algorithm
    Scope: 39 S., graph. Darst.
  6. On discriminating between lognormal and Pareto tail
    a mixture-based approach
    Author: Bee, Marco
    Published: [2020]
    Publisher:  Università degli studi di Trento, Dipartimento di economia e management, [Trento]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 740
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: DEM working papers ; n. 2020, 9
    Subjects: Mixture distributions; EM algorithm; lognormal distribution; Paretodistribution
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  7. Classification of flash crashes using the Hawkes(p,q) framework
    Author: Wehrli, Alexander; Sornette, Didier
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; no 20, 92
    Subjects: Flash crash; Hawkes process; ARMA point process; High frequency nancial data; Market microstructure; EM algorithm; Time-varying parameters
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  8. Semiparametric conditional mixture copula models with copula selection
    Author: Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong
    Published: October 16, 2023
    Publisher:  University of Kansas, Department of Economics, Lawrence, Kansas

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    Location:
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    VS 526
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series in theoretical and applied economics ; 2024, 1
    Subjects: Conditional Copula; Mixture Copula; Semiparametric Estimation; Copula Selection; SCAD; EM algorithm
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen