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Showing 1 to 20 of 35 for “"Single index"”.
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Estimation of single index models
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1988.
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Some Advanced Semiparametric Single-index Modeling for Spatially-Temporally Correlated Data
… to semiparametric modeling based on the single index model related to the following three topics: the first is to propose a model for detecting change points simultaneously with estimating the unknown function; the second is to develop two models for spatially correlated data; and the …
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A Subjective Probability Framework for Generating Input Values for Single-Index Portfolio Analysis
Made available in DSpace on 2014-12-11T23:19:46Z (GMT). No. of bitstreams: 1 7212156.pdf: 3411947 bytes, checksum: 6b784a599320be5480fe4a70e71399e5 (MD5) Previous issue date: 1971
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On New Approaches for Variable Selection under Single Index Model and DNA Methylation Status Calling
… based variable selection method for the single index model and a novel classification based method for DNA methylation status calling for bisulphite-sequencing data.
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Aplikasi model indeks tunggal dan stochastic dominance dalam analisis portofolio optimal saham: Studi Pada Jakarta Islamic Indeks (JII) di Bursa Efek Indonesia (BEI) periode 2009 sampai 2012
… secara langsung stochastic dominance dan single index model untuk memecahkan masalah pemilihan portofolio. Adapun tujuan dari penelitian ini adalah untuk menganalisis portofolio optimal investasi saham di Bursa Efek Indonesia dengan menggunakan stochastic dominance dan single index model. …
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Portfolio constuction using robust weight functions
… selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility of …
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Semiparametric mixture models
… property. In Part III, we apply the idea of single-index model to the mixture of regression models and propose three new classes of models: the mixture of single-index models (MSIM), the mixture of regression models with varying single-index proportions (MRSIP), and the mixture of regression …
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Menentukan portofolio optimal treynor-black model dengan evaluasi kinerja portofolio metode jensen, sharpe, treynor, sortino, information ratio, T2 dan M2: Studi kasus pada saham di Jakarta islamic index (JII) periode Juni 2010 sampai Mei 2014
… Terdapat beberapa metode portofolio antara lain Single-Index, Markowitz, dan Treynor-Black. Tujuan dari penelitian ini adalah untuk mengetahui penerapan dari metode Treynor- Black Model dalam membentuk portofolio optimal dan untuk mengetahui kinerja dari portofolio Treynor-Black Model yang telah …
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Accurate portfolio risk-return structure modelling
… modelling extensions of the GARCH environ in a single index framework. This study will demonstrate the persistence of the superiority of the G ARCH ( 1, 1) frontier within a multiple and single index context of modem portfolio theory. Many portfolio optimization models are investigated, …
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Semiparametric Methods for the Generalized Linear Model
… a model, called a generalized semiparametric single-index mixed model (GSSIMM). A nonparametric component with a single index is incorporated into the mean function in the generalized linear mixed model (GLMM) assuming that the random component is following a parametric distribution. In the …
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Semiparametric models with endogeneity and their application to an empirical demand analysis.
… such as partially linear (PL) models and/or single-index (SI) models. Nonetheless, the practicality of these models in the empirical studies has been hampered by the lack of appropriate estimation procedures and a method to address endogeneity. Hence the ultimate goal of this thesis is to …
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Three Essays in Applied Microeconometrics
Chapter 1 develops a specification test for a single index binary outcome model in semi-parametric estimation. The semiparametric estimator examined does not rely on any distributional assumption, but it still relies on the single-index assumption. The violation of this assumption creates a source …
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Do investment strategies based on previous performance yield higher returns? Evidence from South African bond funds
… Sharpe ratio, Jensen's alpha and the multi-index models to examine whether peformance is influenced by the performance measure used. In addition, I examine the impact of conditioning information variables on performance by further measuring performance using the conditional single-index and …
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Three Essays in Financial Economics
… shrinkage approach is applied to the CMLE and single index covariance matrix, it performs better than the shrinkage of the sample covariance matrix and the single index covariance matrix of Ledoit and Wolf (2004). During the last two decades Value-at-Risk (VaR) has become the most commonly used …
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Dynamic Tactile Information is Sufficient for Precise Curvature Discrimination
… surfaces by actively feeling objects with a single index finger and by passively feeling objects that moved relative to a restrained finger. The curvature discrimination thresholds obtained for passive-dynamic touch were significantly lower than those that occurred during active-dynamic …
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Low volatility alternative equity indices
… The results show that the Low volatility Single Index Model (SIM) and the Equally Weight low-beta portfolio (Lowbeta) were the superior performers based on their Sharpe ratios.
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Characteristics of spot-market rate indexes for truckload transportation
… industry in the United States, a number of indexes are published that attempt to measure changes in rates, but no single index has emerged as an industry standard. Industry participants, particularly those exposed to the spot-market, have found that existing indexes do not effectively …
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Frequentist-Bayesian Hybrid Tests in Semi-parametric and Non-parametric Models with Low/High-Dimensional Covariate
… test for a functional generalized partial linear single index model, which has link being functional of predictors through a generalized partially linear single index. We propose an efficient score based on estimating equation to the mathematical difficulty in likelihood derivation and construct …
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Identification and characterization of Fusarium graminearum pathogenesis genes and determination of aggressiveness
… dextrose agar with rifamycin for six days, and single spored. Of the original collected isolates, twelve were utilized as a representative sample to ascertain aggressiveness. Species identification was completed for the twelve isolates by sequencing the translation elongation factor 1-alpha gene …
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Bayesian Variable Selection and Inference for Nonparametric Kernel Machine and Functional Models
… the departure of nonlinearity using a functional single index model. This procedure employs a randomly projected empirical process to reduce dimensionality while preserving essential statistical properties. The method is applied to autism brain imaging data to test whether fMRI signals are related …
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