Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Dynamic Factor Models PDF full book. Access full book title Dynamic Factor Models by Siem Jan Koopman. Download full books in PDF and EPUB format.
Author: Siem Jan Koopman Publisher: Emerald Group Publishing ISBN: 1785603523 Category : Business & Economics Languages : en Pages : 685
Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author: Siem Jan Koopman Publisher: Emerald Group Publishing ISBN: 1785603523 Category : Business & Economics Languages : en Pages : 685
Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author: Mr.Maxym Kryshko Publisher: International Monetary Fund ISBN: 1463903499 Category : Business & Economics Languages : en Pages : 51
Book Description
Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates.
Author: Daniel Peña Publisher: John Wiley & Sons ISBN: 1119417384 Category : Mathematics Languages : en Pages : 562
Book Description
Master advanced topics in the analysis of large, dynamically dependent datasets with this insightful resource Statistical Learning with Big Dependent Data delivers a comprehensive presentation of the statistical and machine learning methods useful for analyzing and forecasting large and dynamically dependent data sets. The book presents automatic procedures for modelling and forecasting large sets of time series data. Beginning with some visualization tools, the book discusses procedures and methods for finding outliers, clusters, and other types of heterogeneity in big dependent data. It then introduces various dimension reduction methods, including regularization and factor models such as regularized Lasso in the presence of dynamical dependence and dynamic factor models. The book also covers other forecasting procedures, including index models, partial least squares, boosting, and now-casting. It further presents machine-learning methods, including neural network, deep learning, classification and regression trees and random forests. Finally, procedures for modelling and forecasting spatio-temporal dependent data are also presented. Throughout the book, the advantages and disadvantages of the methods discussed are given. The book uses real-world examples to demonstrate applications, including use of many R packages. Finally, an R package associated with the book is available to assist readers in reproducing the analyses of examples and to facilitate real applications. Analysis of Big Dependent Data includes a wide variety of topics for modeling and understanding big dependent data, like: New ways to plot large sets of time series An automatic procedure to build univariate ARMA models for individual components of a large data set Powerful outlier detection procedures for large sets of related time series New methods for finding the number of clusters of time series and discrimination methods , including vector support machines, for time series Broad coverage of dynamic factor models including new representations and estimation methods for generalized dynamic factor models Discussion on the usefulness of lasso with time series and an evaluation of several machine learning procedure for forecasting large sets of time series Forecasting large sets of time series with exogenous variables, including discussions of index models, partial least squares, and boosting. Introduction of modern procedures for modeling and forecasting spatio-temporal data Perfect for PhD students and researchers in business, economics, engineering, and science: Statistical Learning with Big Dependent Data also belongs to the bookshelves of practitioners in these fields who hope to improve their understanding of statistical and machine learning methods for analyzing and forecasting big dependent data.
Author: Leszek Rutkowski Publisher: Springer Nature ISBN: 3030879860 Category : Computers Languages : en Pages : 536
Book Description
The two-volume set LNAI 12854 and 12855 constitutes the refereed proceedings of the 20th International Conference on Artificial Intelligence and Soft Computing, ICAISC 2021, held in Zakopane, Poland, in June 2021. Due to COVID 19, the conference was held virtually. The 89 full papers presented were carefully reviewed and selected from 195 submissions. The papers included both traditional artificial intelligence methods and soft computing techniques as well as follows: · Neural Networks and Their Applications · Fuzzy Systems and Their Applications · Evolutionary Algorithms and Their Applications · Artificial Intelligence in Modeling and Simulation · Computer Vision, Image and Speech Analysis · Data Mining · Various Problems of Artificial Intelligence · Bioinformatics, Biometrics and Medical Applications
Author: M. Arif Wani Publisher: Springer Nature ISBN: 9811633576 Category : Technology & Engineering Languages : en Pages : 328
Book Description
This book presents a compilation of extended version of selected papers from the 19th IEEE International Conference on Machine Learning and Applications (IEEE ICMLA 2020) and focuses on deep learning networks in applications such as pneumonia detection in chest X-ray images, object detection and classification, RGB and depth image fusion, NLP tasks, dimensionality estimation, time series forecasting, building electric power grid for controllable energy resources, guiding charities in maximizing donations, and robotic control in industrial environments. Novel ways of using convolutional neural networks, recurrent neural network, autoencoder, deep evidential active learning, deep rapid class augmentation techniques, BERT models, multi-task learning networks, model compression and acceleration techniques, and conditional Feature Augmented and Transformed GAN (cFAT-GAN) for the above applications are covered in this book. Readers will find insights to help them realize novel ways of using deep learning architectures and algorithms in real-world applications and contexts, making the book an essential reference guide for academic researchers, professionals, software engineers in the industry, and innovative product developers.
Author: Marc Hallin Publisher: World Scientific Publishing Company ISBN: 9789813278004 Category : Business & Economics Languages : en Pages : 764
Book Description
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
Author: Fouzi Harrou Publisher: Elsevier ISBN: 0128193662 Category : Technology & Engineering Languages : en Pages : 330
Book Description
Statistical Process Monitoring Using Advanced Data-Driven and Deep Learning Approaches tackles multivariate challenges in process monitoring by merging the advantages of univariate and traditional multivariate techniques to enhance their performance and widen their practical applicability. The book proceeds with merging the desirable properties of shallow learning approaches – such as a one-class support vector machine and k-nearest neighbours and unsupervised deep learning approaches – to develop more sophisticated and efficient monitoring techniques. Finally, the developed approaches are applied to monitor many processes, such as waste-water treatment plants, detection of obstacles in driving environments for autonomous robots and vehicles, robot swarm, chemical processes (continuous stirred tank reactor, plug flow rector, and distillation columns), ozone pollution, road traffic congestion, and solar photovoltaic systems. - Uses a data-driven based approach to fault detection and attribution - Provides an in-depth understanding of fault detection and attribution in complex and multivariate systems - Familiarises you with the most suitable data-driven based techniques including multivariate statistical techniques and deep learning-based methods - Includes case studies and comparison of different methods
Author: Francis X. Diebold Publisher: Princeton University Press ISBN: 1400845416 Category : Business & Economics Languages : en Pages : 225
Book Description
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author: Mong-Fong Horng Publisher: MDPI ISBN: 3039288636 Category : Technology & Engineering Languages : en Pages : 272
Book Description
This book collects 14 articles from the Special Issue entitled “Deep Learning Applications with Practical Measured Results in Electronics Industries” of Electronics. Topics covered in this Issue include four main parts: (1) environmental information analyses and predictions, (2) unmanned aerial vehicle (UAV) and object tracking applications, (3) measurement and denoising techniques, and (4) recommendation systems and education systems. These authors used and improved deep learning techniques (e.g., ResNet (deep residual network), Faster-RCNN (faster regions with convolutional neural network), LSTM (long short term memory), ConvLSTM (convolutional LSTM), GAN (generative adversarial network), etc.) to analyze and denoise measured data in a variety of applications and services (e.g., wind speed prediction, air quality prediction, underground mine applications, neural audio caption, etc.). Several practical experiments were conducted, and the results indicate that the performance of the presented deep learning methods is improved compared with the performance of conventional machine learning methods.
Author: Siem Jan Koopman
Author: Siem Jan Koopman
Author: Mr.Maxym Kryshko
Author: Jörg Breitung
Author: Daniel Peña
Author: Leszek Rutkowski
Author: M. Arif Wani
Author: Marc Hallin
Author: Fouzi Harrou
Author: Francis X. Diebold
Author: Mong-Fong Horng