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Author: Sylvia Frühwirth-Schnatter
Publisher: Springer Science & Business Media
ISBN: 0387357688
Category : Mathematics
Languages : en
Pages : 506
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Book Description
The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.
Author: Sylvia Frühwirth-Schnatter
Publisher: Springer Science & Business Media
ISBN: 0387357688
Category : Mathematics
Languages : en
Pages : 506
Get Book Here
Book Description
The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.
Author: Greg N. Gregoriou
Publisher: Springer
ISBN: 0230295215
Category : Business & Economics
Languages : en
Pages : 214
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Book Description
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Author: Sylvia Fruhwirth-Schnatter
Publisher: CRC Press
ISBN: 0429508247
Category : Computers
Languages : en
Pages : 522
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Book Description
Mixture models have been around for over 150 years, and they are found in many branches of statistical modelling, as a versatile and multifaceted tool. They can be applied to a wide range of data: univariate or multivariate, continuous or categorical, cross-sectional, time series, networks, and much more. Mixture analysis is a very active research topic in statistics and machine learning, with new developments in methodology and applications taking place all the time. The Handbook of Mixture Analysis is a very timely publication, presenting a broad overview of the methods and applications of this important field of research. It covers a wide array of topics, including the EM algorithm, Bayesian mixture models, model-based clustering, high-dimensional data, hidden Markov models, and applications in finance, genomics, and astronomy. Features: Provides a comprehensive overview of the methods and applications of mixture modelling and analysis Divided into three parts: Foundations and Methods; Mixture Modelling and Extensions; and Selected Applications Contains many worked examples using real data, together with computational implementation, to illustrate the methods described Includes contributions from the leading researchers in the field The Handbook of Mixture Analysis is targeted at graduate students and young researchers new to the field. It will also be an important reference for anyone working in this field, whether they are developing new methodology, or applying the models to real scientific problems.
Author: Raquel Prado
Publisher: CRC Press
ISBN: 1498747043
Category : Mathematics
Languages : en
Pages : 473
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Book Description
• Expanded on aspects of core model theory and methodology. • Multiple new examples and exercises. • Detailed development of dynamic factor models. • Updated discussion and connections with recent and current research frontiers.
Author: Marco A.R. Ferreira
Publisher: Springer Science & Business Media
ISBN: 0387708979
Category : Business & Economics
Languages : en
Pages : 243
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Book Description
This highly useful book contains methodology for the analysis of data that arise from multiscale processes. It brings together a number of recent developments and makes them accessible to a wider audience. Taking a Bayesian approach allows for full accounting of uncertainty, and also addresses the delicate issue of uncertainty at multiple scales. These methods can handle different amounts of prior knowledge at different scales, as often occurs in practice.
Author: Burcu Adıgüzel Mercangöz
Publisher: Springer Nature
ISBN: 3030541088
Category : Business & Economics
Languages : en
Pages : 465
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Book Description
This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.
Author: Víctor Hugo Lachos Dávila
Publisher: Springer
ISBN: 3319980297
Category : Mathematics
Languages : en
Pages : 108
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Book Description
This book presents recent results in finite mixtures of skewed distributions to prepare readers to undertake mixture models using scale mixtures of skew normal distributions (SMSN). For this purpose, the authors consider maximum likelihood estimation for univariate and multivariate finite mixtures where components are members of the flexible class of SMSN distributions. This subclass includes the entire family of normal independent distributions, also known as scale mixtures of normal distributions (SMN), as well as the skew-normal and skewed versions of some other classical symmetric distributions: the skew-t (ST), the skew-slash (SSL) and the skew-contaminated normal (SCN), for example. These distributions have heavier tails than the typical normal one, and thus they seem to be a reasonable choice for robust inference. The proposed EM-type algorithm and methods are implemented in the R package mixsmsn, highlighting the applicability of the techniques presented in the book. This work is a useful reference guide for researchers analyzing heterogeneous data, as well as a textbook for a graduate-level course in mixture models. The tools presented in the book make complex techniques accessible to applied researchers without the advanced mathematical background and will have broad applications in fields like medicine, biology, engineering, economic, geology and chemistry.
Author: David Ardia
Publisher: Springer Science & Business Media
ISBN: 3540786570
Category : Business & Economics
Languages : en
Pages : 206
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Book Description
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Author: S. Ejaz Ahmed
Publisher: American Mathematical Society
ISBN: 1470410427
Category : Computers
Languages : en
Pages : 208
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Book Description
This volume contains the proceedings of the International Workshop on Perspectives on High-dimensional Data Analysis II, held May 30-June 1, 2012, at the Centre de Recherches Mathématiques, Université de Montréal, Montréal, Quebec, Canada. This book collates applications and methodological developments in high-dimensional statistics dealing with interesting and challenging problems concerning the analysis of complex, high-dimensional data with a focus on model selection and data reduction. The chapters contained in this book deal with submodel selection and parameter estimation for an array of interesting models. The book also presents some surprising results on high-dimensional data analysis, especially when signals cannot be effectively separated from the noise, it provides a critical assessment of penalty estimation when the model may not be sparse, and it suggests alternative estimation strategies. Readers can apply the suggested methodologies to a host of applications and also can extend these methodologies in a variety of directions. This volume conveys some of the surprises, puzzles and success stories in big data analysis and related fields. This book is co-published with the Centre de Recherches Mathématiques.
Author: Berthold Lausen
Publisher: Springer Science & Business Media
ISBN: 3319000357
Category : Computers
Languages : en
Pages : 532
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Book Description
This volume provides approaches and solutions to challenges occurring at the interface of research fields such as, e.g., data analysis, data mining and knowledge discovery, computer science, operations research, and statistics. In addition to theory-oriented contributions various application areas are included. Moreover, traditional classification research directions concerning network data, graphs, and social relationships as well as statistical musicology describe examples for current interest fields tackled by the authors. The book comprises a total of 55 selected papers presented at the Joint Conference of the German Classification Society (GfKl), the German Association for Pattern Recognition (DAGM), and the Symposium of the International Federation of Classification Societies (IFCS) in 2011.
