Dynamic semiparametric factor models in risk neutral density estimation
نویسندگان
چکیده
منابع مشابه
Dynamic Semiparametric Factor Models
High-dimensional regression problems which reveal dynamic behavior occur frequently in many different fields of science. The dynamics of the whole complex system is typically analyzed by time propagation of few number of factors, which are loaded with time invariant functions of exploratory variables. In this thesis we consider dynamic semiparametric factor model, which assumes nonparametric lo...
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ژورنال
عنوان ژورنال: AStA Advances in Statistical Analysis
سال: 2009
ISSN: 1863-8171,1863-818X
DOI: 10.1007/s10182-009-0115-4