東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Essays on the modeling of time-varyi...

Qian, Junhui.

Linked to FindBook

Google Book

Amazon

博客來

Essays on the modeling of time-varying densities.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on the modeling of time-varying densities./
Author:	Qian, Junhui.
Description:	183 p.
Notes:	Adviser: Joon Y. Park.
Contained By:	Dissertation Abstracts International68-03A.
Subject:	Economics, General. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3256729

Essays on the modeling of time-varying densities.
Qian, Junhui.

Essays on the modeling of time-varying densities. - 183 p.

Adviser: Joon Y. Park.

Thesis (Ph.D.)--Rice University, 2007.

We present three essays on the econometric modeling of time-varying densities. In all three studies, we treat density functions themselves as random elements taking values in the Hilbert space of square integrable functions. The first essay introduces functional autoregression of one sequence of time-varying density functions. The second essay develops functional regression of one sequence of densities, the regressand, on another sequence of densities, the regressor. The third essay is concerned with the regression of a sequence of scalar random variables on a sequence of densities.Subjects--Topical Terms:

1017424
Economics, General.

Essays on the modeling of time-varying densities.
LDR:02137nam 2200265 a 45 001 958112
005 20110704
008 110704s2007 ||||||||||||||||| ||eng d
035 $a (UMI)AAI3256729
035 $a AAI3256729
040 $a UMI $c UMI
100 1 $a Qian, Junhui. $3 1281573
245 1 0 $a Essays on the modeling of time-varying densities.
300 $a 183 p.
500 $a Adviser: Joon Y. Park.
500 $a Source: Dissertation Abstracts International, Volume: 68-03, Section: A, page: 1095.
502 $a Thesis (Ph.D.)--Rice University, 2007.
520 $a We present three essays on the econometric modeling of time-varying densities. In all three studies, we treat density functions themselves as random elements taking values in the Hilbert space of square integrable functions. The first essay introduces functional autoregression of one sequence of time-varying density functions. The second essay develops functional regression of one sequence of densities, the regressand, on another sequence of densities, the regressor. The third essay is concerned with the regression of a sequence of scalar random variables on a sequence of densities.
520 $a For all three models, we present methods of estimation, which all involve the solution of an ill-posed inverse problem, and show asymptotic consistency of our estimators. We also outline hypotheses testing strategies based on each model and show asymptotic distribution of test statistics that we have developed. Possible applications of each model in economics and finance are indicated in each essay. In particular, we apply the functional autoregression model to the analysis of intraday return distributions of S&P 500 index and US/UK exchange rate and find that the functional method offers an outstanding performance in out-of-sample forecasting and a unique way to test on the moment dependence structure of time-varying distributions.
590 $a School code: 0187.
650 4 $a Economics, General. $3 1017424
690 $a 0501
710 2 $a Rice University. $3 960124
773 0 $t Dissertation Abstracts International $g 68-03A.
790 $a 0187
790 1 0 $a Park, Joon Y., $e advisor
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3256729