Multivariate reduced-rank regression: theory and applications
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
New York [u.a.]
Springer
1998
|
| Schriftenreihe: | Lecture notes in statistics
136 |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008289081&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XIII, 258 S. graph. Darst. |
| ISBN: | 0387986014 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | GREGORY C. REINSEL RAJA P. VELU MULTIVARIATE REDUCED-RANK REGRESSION
THEORY AND APPLICATIONS SPRINGER CONTENTS 1 MULTIVARIATE LINEAR
REGRESSION 1 1.1 INTRODUCTION 1 1.2 MULTIVARIATE LINEAR REGRESSION MODEL
AND LEAST SQUARES ES- TIMATOR 3 1.3 FURTHER INFERENCE PROPERTIES IN THE
MULTIVARIATE REGRESSION MODEL -.- 5 1.4 PREDICTION IN THE MULTIVARIATE
LINEAR REGRESSION MODEL . . 10 1.5 A NUMERICAL EXAMPLE 11 2 REDUCED-RANK
REGRESSION MODEL 15 2.1 THE BASIC REDUCED-RANK MODEL AND BACKGROUND 15
2.2 SOME EXAMPLES OF APPLICATION OF THE REDUCED-RANK MODEL 20 2.3
ESTIMATION OF PARAMETERS IN THE REDUCED-RANK MODEL ... 25 2.4 RELATION
TO PRINCIPAL COMPONENTS AND CANONICAL CORRELA- TION ANALYSIS 35 2.4.1
PRINCIPAL COMPONENTS ANALYSIS 35 2.4.2 CANONICAL CORRELATION ANALYSIS 38
2.5 ASYMPTOTIC DISTRIBUTION OF ESTIMATORS IN REDUCED-RANK MODEL 41 2.6
IDENTIFICATION OF RANK OF THE REGRESSION COEFFICIENT MATRIX . 49 2.7
NUMERICAL EXAMPLE USING BIOCHEMICAL DATA 52 3 REDUCED-RANK REGRESSION
MODELS WITH TWO SETS OF RE- GRESSORS 57 3.1 REDUCED-RANK MODEL OF
ANDERSON 57 CONTENTS 3.2 APPLICATION TO ONE-WAY ANOVA AND LINEAR
DISCRIMINANT ANALYSIS 64 3.3 NUMERICAL EXAMPLE USING CHEMOMETRICS DATA
67 3.4 BOTH REGRESSION MATRICES OF LOWER RANKS - MODEL AND ITS
APPLICATIONS . . 72 3.5 ESTIMATION AND INFERENCE FOR THE MODEL 74 3.5.1
EFFICIENT ESTIMATOR 75 3.5.2 AN ALTERNATIVE ESTIMATOR 79 3.5.3
ASYMPTOTIC INFERENCE 80 3.6 IDENTIFICATION OF RANKS OF COEFFICIENT
MATRICES 84 3.7 AN EXAMPLE ON OZONE DATA 87 REDUCED-RANK REGRESSION
MODEL WITH AUTOREGRESSIVE ER- RORS 93 4.1 INTRODUCTION ARID THE MODEL .-
93 4.2 EXAMPLE ON U.K. ECONOMY - BASIC DATA AND THEIR DESCRIP- TIONS 95
4.3 MAXIMUM LIKELIHOOD ESTIMATORS FOR THE MODEL 97 4.4 COMPUTATIONAL
ALGORITHMS FOR EFFICIENT ESTIMATORS 101 4.5 ALTERNATIVE ESTIMATORS AND
THEIR PROPERTIES 103 4.5.1 A COMPARISON BETWEEN EFFICIENT AND OTHER
ESTIMATORS 105 4.6 IDENTIFICATION OF RANK OF THE REGRESSION COEFFICIENT
MATRIX . 107 4.7 INFERENCE FOR THE NUMERICAL EXAMPLE 108 MULTIPLE TIME
SERIES MODELING WITH REDUCED RANKS 113 5.1 INTRODUCTION AND TIME SERIES
MODELS 113 5.2 REDUCED-RANK AUTOREGRESSIVE MODELS - 116 5.2.1 ESTIMATION
AND INFERENCE 116 5.2.2 RELATIONSHIP TO CANONICAL ANALYSIS OF BOX AND
TIAO 118 5.3 EXTENDED AND NESTED REDUCED-RANK AUTOREGRESSIVE MODELS 120
5.3.1 AN EXTENDED REDUCED-RANK AUTOREGRESSIVE MODEL . 120 5.3.2 NESTED
REDUCED-RANK AUTOREGRESSIVE MODELS . . . . 122 5.4 NUMERICAL EXAMPLE ON
U.S. HOG DATA 126 5.5 RELATIONSHIP BETWEEN NONSTATIONARITY AND CANONICAL
CORRE- LATIONS 135 5.6 COINTEGRATION FOR NONSTATIOHARY SERIES - REDUCED
RANK IN LONG TERM 139 5.6.1 LS AND ML ESTIMATION AND INFERENCE 142 5.6.2
LIKELIHOOD RATIO TEST FOR THE NUMBER OF COINTEGRAT- ING RELATIONS . :
147 5.7 UNIT ROOT AND COINTEGRATION ASPECTS FOR U.S. HOG DATA EXAMPLE
148 THE GROWTH CURVE MODEL AND REDUCED-RANK REGRESSION METHODS 155
CONTENTS XIII 6.1 INTRODUCTION AND THE GROWTH CURVE MODEL 155 6.2
ESTIMATION OF PARAMETERS IN THE GROWTH CURVE MODEL . . . 157 6.3
LIKELIHOOD RATIO TESTING OF LINEAR HYPOTHESES IN GROWTH CURVE MODEL 162
6.4 AN EXTENDED MODEL FOR GROWTH CURVE DATA 166 6.5 MODIFICATION OF
BASIC GROWTH CURVE MODEL TO REDUCED-RANK MODEL 168 6.6 REDUCED-RANK
GROWTH CURVE MODELS 171 6.6.1 EXTENSIONS OF THE REDUCED-RANK GROWTH
CURVE MODELL76 6.7 A NUMERICAL EXAMPLE 182 7 SEEMINGLY UNRELATED
REGRESSIONS MODELS WITH REDUCED RANKS 189 7.1 INTRODUCTION AND THE
SEEMINGLY UNRELATED REGRESSIONS MODEL 189 7.2 RELATION OF GROWTH CURVE
MODEL TO THE SEEMINGLY UNRELATED REGRESSIONS MODEL 192 7.3 REDUCED-RANK
COEFFICIENT IN SEEMINGLY UNRELATED REGRES- SIONS MODEL 193 7.4 MAXIMUM
LIKELIHOOD ESTIMATORS FOR REDUCED-RANK MODEL . 195 7.5 AN ALTERNATE
ESTIMATOR AND ITS PROPERTIES 198 7.6 IDENTIFICATION OF RANK OF THE
REGRESSION COEFFICIENT MATRIX . 201 7.7 A NUMERICAL ILLUSTRATION WITH
SCANNER DATA 203 8 APPLICATIONS OF REDUCED-RANK REGRESSION IN FINANCIAL
ECO- NOMICS 213 8.1 INTRODUCTION TO ASSET PRICING MODELS 213 8.2
ESTIMATION AND TESTING IN THE ASSET PRICING MODEL 216 8.3 ADDITIONAL
APPLICATIONS OF REDUCED-RANK REGRESSION IN FI- NANCE 221 8.4 EMPIRICAL
STUDIES AND RESULTS ON ASSET PRICING MODELS . . 222 9 ALTERNATE
PROCEDURES FOR ANALYSIS OF MULTIVARIATE REGRES- SION MODELS 225 APPENDIX
232 REFERENCES 235 SUBJECT INDEX 251 AUTHOR INDEX 255
|
| any_adam_object | 1 |
| author | Reinsel, Gregory C. 1948-2004 Velu, Raja P. |
| author_GND | (DE-588)113599382 (DE-588)170357392 |
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| author_role | aut aut |
| author_sort | Reinsel, Gregory C. 1948-2004 |
| author_variant | g c r gc gcr r p v rp rpv |
| building | Verbundindex |
| bvnumber | BV012233049 |
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| callnumber-raw | QA278.2 |
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| callnumber-subject | QA - Mathematics |
| classification_rvk | SI 856 SK 830 |
| ctrlnum | (OCoLC)39485138 (DE-599)BVBBV012233049 |
| dewey-full | 519.5/36 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5/36 |
| dewey-search | 519.5/36 |
| dewey-sort | 3519.5 236 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Book |
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| id | DE-604.BV012233049 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:26:43Z |
| institution | BVB |
| isbn | 0387986014 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008289081 |
| oclc_num | 39485138 |
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| owner_facet | DE-824 DE-739 DE-19 DE-BY-UBM DE-384 DE-706 DE-634 DE-83 DE-11 |
| physical | XIII, 258 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in statistics |
| series2 | Lecture notes in statistics |
| spellingShingle | Reinsel, Gregory C. 1948-2004 Velu, Raja P. Multivariate reduced-rank regression theory and applications Lecture notes in statistics Analise de regressao e de correlacao larpcal Analyse de régression Regressieanalyse gtt Regression analysis Reduzierter Rang (DE-588)4388839-2 gnd Multivariate Analyse (DE-588)4040708-1 gnd Regressionsmodell (DE-588)4127980-3 gnd |
| subject_GND | (DE-588)4388839-2 (DE-588)4040708-1 (DE-588)4127980-3 |
| title | Multivariate reduced-rank regression theory and applications |
| title_auth | Multivariate reduced-rank regression theory and applications |
| title_exact_search | Multivariate reduced-rank regression theory and applications |
| title_full | Multivariate reduced-rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu |
| title_fullStr | Multivariate reduced-rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu |
| title_full_unstemmed | Multivariate reduced-rank regression theory and applications Gregory C. Reinsel ; Raja P. Velu |
| title_short | Multivariate reduced-rank regression |
| title_sort | multivariate reduced rank regression theory and applications |
| title_sub | theory and applications |
| topic | Analise de regressao e de correlacao larpcal Analyse de régression Regressieanalyse gtt Regression analysis Reduzierter Rang (DE-588)4388839-2 gnd Multivariate Analyse (DE-588)4040708-1 gnd Regressionsmodell (DE-588)4127980-3 gnd |
| topic_facet | Analise de regressao e de correlacao Analyse de régression Regressieanalyse Regression analysis Reduzierter Rang Multivariate Analyse Regressionsmodell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008289081&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV002447846 |
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