منابع مشابه
Functional Data Analysis for Volatility
We introduce a functional volatility process for modeling volatility trajectories for high frequency observations in financial markets and describe functional representations and data-based recovery of the process from repeated observations. A study of its asymptotic properties, as the frequency of observed trades increases, is complemented by simulations and an application to the analysis of i...
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Although there are many methods for functional data analysis (FDA), little emphasis is put on characterizing variability among volatilities of individual functions. In particular, certain individuals exhibit erratic swings in their trajectory while other individuals have more stable trajectories. There is evidence of such volatility heterogeneity in blood pressure trajectories during pregnancy,...
متن کاملProviding comprehensive control chart for monitoring of linear and nonlinear profiles using functional data analysis.
Considering profiles as functional variables, two control charts are proposed for their monitoring in phase II. Due to its conformity with the nature of real-world profiles, applying functional model leads to proposed control charts obtained through functional data analysis techniques with desired features. These include simplicity in calculation and possibility of using them for different prof...
متن کاملFunctional Data Analysis for Sparse Auction Data
Bid arrivals of eBay auctions often exhibit “bid sniping”, a phenomenon where “snipers” place their bids at the last moments of an auction. This is one reason why bid histories for eBay auctions tend to have sparse data in the middle and denser data both in the beginning and at the end of the auction. Time spacing of the bids is thus irregular and sparse. For nearly identical products that are ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.08.002