Tagged Questions

26 views

Asymmetric Dynamic Conditional Correlation in Matlab

I need to interpret the results of the estimation of the A-DCC model by Cappiello, Engle and Sheppard, 2006, Journal of Financial Econometrics. I used the Matlab routines of the MFE Toolboox ...
63 views

Estimates of regression coefficients are uncorrelated?

Consider a simple regression (normality not assumed): $Y_i = a + b X_i + e_i$ where $e_i$ is with mean 0 and standard deviation $\sigma$. Are the Least Square Estimates of $a$ and $b$ uncorrelated?
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Recovering true data from many noisy samples with varying unknown amounts of noise

Input: $k$ vectors $x^1,\ldots,x^k \in \mathbb{R}^n$, where $x^i \sim \mathcal{N}(x,\mathbb{1} \cdot \sigma_i^2)$. Goal: approximate the vector $x$ as well as possible. The quality of approximation ...
39 views

inequality in bivariate normal variable

Let $U_1=(X_1,Y_1)^T,\dots,U=(X_n,Y_n)^T$ are i.i.d. copies of $U=(X,Y)^T\sim N_2(0,\Sigma)$ where  \Sigma= \begin{pmatrix} \sigma^2 & \rho\sigma\tau \\ \rho\sigma\tau & \tau^2 ...
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191 views

Joint distribution of two sums of correlated variables

Suppose that $(X_1, Y_1)$ and $(X_2, Y_2)$ are independent and have the same joint distribution $F_{X,Y}$, which is a known copula $C_{X,Y}(F(X), F(Y))$. Also, suppose that $V = X_1 + X_2$ and \$W = ...
397 views

Ties in the data

Are there any "good" ways to eliminate the effects of ties in a data set for statistical analysis? For example, in finding the correlation between two series which has lots of ties? I would like to ...
38 views

Calculating/approximating complete Mantel statistic from bootstrap estimates

I have two (sparse) large matrices (~ 1million by 1million) and want to compute Mantel statistic to find correlation between them. To counter memory problems, I have computed the mantel statistic ...