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Testing Under Non Standard Conditions In Frequency Domain
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Book Synopsis Testing Under Non-standard Conditions in Frequency Domain by : Fangxiong Gong
Download or read book Testing Under Non-standard Conditions in Frequency Domain written by Fangxiong Gong and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We propose two test statistics in the frequency domain and derive their exact asymptotic null distributions under the condition of unidentified nuisance parameters. The proposed methods are particularly applicable in unobserved components models. Also, it is shown that the tests have considerable power when applied to a class of Markov regime switching models. We show that, after transforming the Markov regime switching model into the frequency domain representation we only have to face the issue of unidentified nuisance parameters in a nonlinear context. The singularity problem disappears. Compared to Hansen's (1992, 1996) LR-bound test of the same Markov regime switching model, our LM test performs better in terms of finite sample power, except in the special case of the Markov switching model in which the model becomes a Normal mixture model. Our test needs only a one-dimensional grid search while Hansen's (1992, 1996) test requires a three-dimensional grid search. The LM test is applied to Markov regime switching models of exchange rates and the Federal Funds rate. We used the same exchange rates data in Engel and Hamilton (1990). The null of random walk is not rejected in the exchange rates model. The null is rejected for the Federal Funds rate in subsample periods 1955:1-1979:9 and 1982:10-1995:11"--Abstract.
Book Synopsis Testing Under Non-Standard Conditions in Frequency Domain by : Roberto S. Mariano
Download or read book Testing Under Non-Standard Conditions in Frequency Domain written by Roberto S. Mariano and published by . This book was released on 2006 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose two test statistics in the frequency domain and derive their exact asymptotic null distributions under the condition of unidentified nuisance parameters. The proposed methods are particularly applicable in unobserved components models. Also, it is shown that the tests have considerable power when applied to a class of Markov regime switching models. We show that, after transforming the Markov regime switching model into the frequency domain representation we only have to face the issue of unidentified nuisance parameters in a nonlinear context. The singularity problem disappears. Compared to Hansen's (1992, 1996) LR-bound test of the same Markov regime switching model, our LM test performs better in terms of finite sample power, except in the special case of the Markov switching model in which the model becomes a Normal mixture model. Our test needs only a one-dimensional grid search while Hansen's (1992, 1996) test requires a three-dimensional grid search. The LM test is applied to Markov regime switching models of exchange rates and the Federal Funds rate. We used the same exchange rates data in Engel and Hamilton (1990). The null of random walk is not rejected in the exchange rates model. The null is rejected for the Federal Funds rate in subsample periods 1955:1-1979:9 and 1982:10-1995:11.
Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon
Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.
Book Synopsis Early Warning Systems by : Mr.Abdul Abiad
Download or read book Early Warning Systems written by Mr.Abdul Abiad and published by International Monetary Fund. This book was released on 2003-02-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contents of Recent Economics Journals by :
Download or read book Contents of Recent Economics Journals written by and published by . This book was released on 1997-12-19 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research Update written by and published by . This book was released on 1977 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Fed in Print written by and published by . This book was released on 1997 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economic Policy Review written by and published by . This book was released on 1997 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intelligent Computing Theory by : De-Shuang Huang
Download or read book Intelligent Computing Theory written by De-Shuang Huang and published by Springer. This book was released on 2014-07-03 with total page 874 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book – in conjunction with the volumes LNAI 8589 and LNBI 8590 – constitutes the refereed proceedings of the 10th International Conference on Intelligent Computing, ICIC 2014, held in Taiyuan, China, in August 2014. The 92 papers of this volume were carefully reviewed and selected from numerous submissions. The papers are organized in topical sections such as evolutionary computation and learning; swarm intelligence and optimization; machine learning; social and natural computing; neural networks; biometrics recognition; image processing; information security; virtual reality and human-computer interaction; knowledge discovery and data mining; signal processing; pattern recognition; biometric system and security for intelligent computing.
Download or read book Fatigue Damage written by Christi Lalanne and published by CRC Press. This book was released on 2002-03-29 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: About the Series: This important new series of five volumes has been written with both the professional engineers and the academic in mind. Christian Lalanne explores every aspect of vibration and shock, two fundamental and crucially important areas of mechanical engineering, from both the theoretical and practical standpoints. As all products need to be designed to withstand the environmental conditions to which they are likely to be subjected, prototypes must be verified by calculation and laboratory tests, the latter according to specifications from national or international standards. The concept of tailoring the product to its environment has gradually developed whereby, from the very start of a design project, through the to the standards specifications and testing procedures on th e prototype, the real environment in which the product being tested will be functioning is taken into account. The five volumes of Mechanical Shock and Vibration cover all the issues that need to be addressed in this area of mechanical engineering. The theoretical analyses are placed in the context of the real world and of laboratory tests - essential for the development of specifications. Volume IV: Fatigue Damage Fatigue damage in a system with one degree of freedom is one of the two criteria applied when comparing the severity of vibratory environments. The same criterion is also employed for a specifciation representing the effects produced by the set of vibrations imposed in a real environment. In this volume, which is devoted to the calculation of fatigue damage, the author explores the hypotheses adopted to describe the behavior of material suffering fatigue and the laws of fatigue accumulation. He also considers the methods of counting the response peaks, which are used to establish the histogram when it is impossible to use the probability density of the peaks obtained with a Gaussian signal. The expressions for mean damage and its standard deviation are established and other hypotheses are tested.
Book Synopsis Notices of the American Mathematical Society by : American Mathematical Society
Download or read book Notices of the American Mathematical Society written by American Mathematical Society and published by . This book was released on 1980 with total page 802 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Research of the National Bureau of Standards by : United States. National Bureau of Standards
Download or read book Journal of Research of the National Bureau of Standards written by United States. National Bureau of Standards and published by . This book was released on 1988 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-Destructive Testing and Condition Monitoring Techniques for Renewable Energy Industrial Assets by : Mayorkinos Papaelias
Download or read book Non-Destructive Testing and Condition Monitoring Techniques for Renewable Energy Industrial Assets written by Mayorkinos Papaelias and published by Butterworth-Heinemann. This book was released on 2019-09-04 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: Non-Destructive Testing and Condition Monitoring Techniques for Renewable Energy Industrial Assets integrates state-of-the-art information and discusses future developments and their significance to the improvement of the renewable energy industry. Renewable energy assets are complex systems with several critical components that require inspection and adequate maintenance in order to ensure their high availability and uninterrupted operation. This is the first book to apply NDT and condition monitoring to these complex systems. Covers inspection and condition monitoring for a broad range of renewable energy systems, including wind turbines, wave energy devices, CSP and photovoltaic plants, and biofuel/biomass power plants Includes a review of common types of NDT techniques Discusses future developments in NDT and condition monitoring for renewable energy systems
Download or read book Applied Mechanics Reviews written by and published by . This book was released on 1977 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis American Doctoral Dissertations by :
Download or read book American Doctoral Dissertations written by and published by . This book was released on 2001 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Polymer Rheology '99 written by and published by iSmithers Rapra Publishing. This book was released on 1999 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
