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FACTOR MODELS ON LOCALLY TREE-LIKE GRAPHS
Factor models random graphs belief propagation Bethe measures Potts model independent set Gibbs measures free energy density local weak convergence
2015/8/20
We consider homogeneous factor models on uniformly sparse graph sequences converg-ing locally to a (unimodular) random tree T, and study the existence of the free energy density ,the limit of the log...
Functional dynamic factor models with application to yield curve forecasting
Functional data analysis expectation maximization algorithm natural cubic splines cross-validation roughness penalty
2012/11/23
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasti...
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...