نتایج جستجو برای: dynamic factor models
تعداد نتایج: 2034586 فیلتر نتایج به سال:
This paper develops a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on composite model that integrates over competing models weighted by posterior probabilities. Evidence shows unconditional record near-zero probabilities, while post-earnings announcement drift, quality-minus-junk, and intermediary capital are potent factors in cond...
Quantile factor models (QFM) represent a new class of for high?dimensional panel data. Unlike approximate (AFM), which only extract mean factors, QFM also allow unobserved factors to shift other relevant parts the distributions observables. We propose quantile regression approach, labeled Factor Analysis (QFA), consistently estimate all quantile?dependent and loadings. Their asymptotic are esta...
This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing approaches, presented method comprises two expectation-maximization algorithms and uses conditional factor moments in closed form. To determine unknown dimension autoregressive order, we propose a two-step informati...
The dynamic analysis of railway vehicles involves the construction of three independent models: the vehicle model; the track model; and the wheel-rail contact model. In this work, a multibody formulation with Cartesian coordinates is used to describe the kinematic structure of the rigid bodies and joints that constitute the vehicle model. A methodology is also proposed in order to create detail...
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