منابع مشابه
The linear GMM model with singular covariance matrix due to the elimination of a nuisance parameter
When in a linear GMM model nuisance parameters are eliminated by multiplying the moment conditions by a projection matrix, the covariance matrix of the model, the inverse of which is typically used to construct an efficient GMM estimator, turns out to be singular and thus cannot be inverted. However, one can show that the generalized inverse can be used instead to produce an efficient estimator...
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Rasmussen [2000] describes a hierarchical Bayesian model for a mixture of Gaussians with a possibly infinite number of components. I have implemented his model for univariate data, along with the Adaptive Rejection Sampling method of Gilks and Wild [1992]. In this paper I explain some of the difficulties in implementing Rasmussen’s model and clarify some of the points he leaves vague in his pap...
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BWB investigate whether exchange rate unpredictability is due to instabilities of the relationship between exchange rates and its fundamentals. In their exercise, BWB calibrate on actual data a model where the parameters linking exchange rates and fundamentals are allowed to change over time. BWB find that the pattern of out-of-sample (un)predictability assessed on data generated from a fixed c...
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We 1 develop some theoreti al results for a robust similarity measure named generalized minmax (GMM). This similarity has dire t appli ations in ma hine learning as a positive de nite kernel and an be e iently omputed via probabilisti hashing. Owing to the dis rete nature, the hashed values an also be used for e ient near neighbor sear h. We prove the theoreti al limit of GMM and the onsisten y...
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Nowadays, promoting academic loyalty and ethics and coping with research misbehavior, including plagiarism, forgery and misrepresentation have become an important part of the university mission, since the normalization of research misconduct undermines the integrity and loyalty of science, the link between science, society, industry, and damages the reputation of scientific institutions. Accord...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1999
ISSN: 1556-5068
DOI: 10.2139/ssrn.188810