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Coalition-Proofness and Correlation with Arbitrary Communication Possibilities
Coalition-Proofness Correlation Arbitrary Communication Possibilities
2015/7/21
The ability of the members of a coalition to communicate secretly determines whether the coalition can coordinate to deviate from a proposed strategy and thus affects which strategies are ‘‘coalition ...
A higher order correlation unscented Kalman filter
Sequential Parameter Estimation Nonlinear Systems Unscented Kalman Filter Continuous-discrete State Space Estimation of Uncorrelated States Volatility Estimation
2012/9/14
Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in man...
上海财经大学经济学院高级计量经济学I课件Lecture 5 Heteroscedasticity and Serial Correlation
上海财经大学经济学院 高级计量经济学I 课件 Lecture 5 Heteroscedasticity Serial Correlation
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 5 Heteroscedasticity and Serial Correlation.
Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
Tails of correlation mixtures of elliptical copulas
Copula tail dependence penultimate tail dependence stochastic correlation Gaussian copula t -copula stock market return
2010/11/3
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much ...
Multifractal detrended cross-correlation analysis for two nonstationary signals
Multifractal detrended cross-correlation analysis nonstationary signals
2010/12/17
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new meth...
The Correlation Structure of Some Financial Time Series Models
Autocorrelations mixed ARMA models Wold representation aggregation
2010/9/7
The purpose of this paper is to examine the correlation structure of mixed autoregressive and moving average (ARMA) models, as discussed in Granger and Morris (1976). The technique we use to obtain th...
主讲人
Chor-yiu Sin
Xiamen University
题目
Capturing cross-sectional correlation with time series: with an application to unit root test
时间
2007年5月9日（星期三）下午14:00-----15:30
地点
北京大学中国经济研究中心万众楼大教室
工作语言
英文
联系电...
Serial Correlation and Serial Dependence
Serial correlation and serial dependence series econometrics linear regression model
2011/4/6
Serial correlation and serial dependence has been central to time series econometrics. The
existence of serial correlation complicates statistical inference of econometric models, and in time series ...