Inference on the maximal rank of time-varying covariance matrices using high-frequency data:
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Berlin
Freie Universität Berlin
[2021]
|
| Schriftenreihe: | Discussion paper / Freie Universität Berlin, School of Business & Economics Economics
2021, 14 |
| Schlagwörter: | |
| Links: | https://refubium.fu-berlin.de/handle/fub188/32485 |
| Umfang: | 1 Online-Ressource (36 Seiten) Diagramme |
Internformat
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| 650 | 4 | |a signal detection rate | |
| 650 | 4 | |a matrix concentration | |
| 650 | 4 | |a eigenvalue perturbation | |
| 650 | 4 | |a principal component analysis | |
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| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:23:19Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032977552 |
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| physical | 1 Online-Ressource (36 Seiten) Diagramme |
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| publishDate | 2021 |
| publishDateSearch | 2021 |
| publishDateSort | 2021 |
| publisher | Freie Universität Berlin |
| record_format | marc |
| series2 | Discussion paper / Freie Universität Berlin, School of Business & Economics Economics |
| spelling | Reiß, Markus 1973- (DE-588)123917565 aut Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann Berlin Freie Universität Berlin [2021] 1 Online-Ressource (36 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Discussion paper / Freie Universität Berlin, School of Business & Economics 2021, 14 Economics empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix (DE-588)4165403-1 gnd rswk-swf Hauptkomponentenanalyse (DE-588)4129174-8 gnd rswk-swf Eigenwert (DE-588)4151200-5 gnd rswk-swf Störungstheorie (DE-588)4128420-3 gnd rswk-swf Kovarianzmatrix (DE-588)4165403-1 s Hauptkomponentenanalyse (DE-588)4129174-8 s Eigenwert (DE-588)4151200-5 s Störungstheorie (DE-588)4128420-3 s DE-188 Winkelmann, Lars (DE-588)1222930463 aut Freie Universität Berlin, School of Business & Economics Discussion paper 2021, 14 : Economics (DE-604)BV026641400 2021,14 https://refubium.fu-berlin.de/handle/fub188/32485 Resolving-System kostenfrei Volltext |
| spellingShingle | Reiß, Markus 1973- Winkelmann, Lars Inference on the maximal rank of time-varying covariance matrices using high-frequency data empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix (DE-588)4165403-1 gnd Hauptkomponentenanalyse (DE-588)4129174-8 gnd Eigenwert (DE-588)4151200-5 gnd Störungstheorie (DE-588)4128420-3 gnd |
| subject_GND | (DE-588)4165403-1 (DE-588)4129174-8 (DE-588)4151200-5 (DE-588)4128420-3 |
| title | Inference on the maximal rank of time-varying covariance matrices using high-frequency data |
| title_auth | Inference on the maximal rank of time-varying covariance matrices using high-frequency data |
| title_exact_search | Inference on the maximal rank of time-varying covariance matrices using high-frequency data |
| title_full | Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann |
| title_fullStr | Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann |
| title_full_unstemmed | Inference on the maximal rank of time-varying covariance matrices using high-frequency data by Markus Reiss and Lars Winkelmann |
| title_short | Inference on the maximal rank of time-varying covariance matrices using high-frequency data |
| title_sort | inference on the maximal rank of time varying covariance matrices using high frequency data |
| topic | empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix (DE-588)4165403-1 gnd Hauptkomponentenanalyse (DE-588)4129174-8 gnd Eigenwert (DE-588)4151200-5 gnd Störungstheorie (DE-588)4128420-3 gnd |
| topic_facet | empirical covariance matrix rank detection signal detection rate matrix concentration eigenvalue perturbation principal component analysis factor model term structure Kovarianzmatrix Hauptkomponentenanalyse Eigenwert Störungstheorie |
| url | https://refubium.fu-berlin.de/handle/fub188/32485 |
| volume_link | (DE-604)BV026641400 |
| work_keys_str_mv | AT reißmarkus inferenceonthemaximalrankoftimevaryingcovariancematricesusinghighfrequencydata AT winkelmannlars inferenceonthemaximalrankoftimevaryingcovariancematricesusinghighfrequencydata |