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2,833
Pairs Trading with Copulas
, 2014
"... Pairs trading is a well-acknowledged speculative investment strategy, with the distance method the most commonly implemented such strategy. However, this approach, is able to fully describe the dependency structure between stocks only under the assumption of multivariate normal returns. In this rese ..."
Abstract
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. In this research, we propose a new pairs trading strategy to generalize the conventional pairs trading strategy by using the copula modeling technique. Copulas allow separate estimation of the marginal distributions of stock returns and their joint dependency structure, and thus can provide sound estimation
A hidden Markov model for predicting transmembrane helices in protein sequences
- In Proceedings of the 6th International Conference on Intelligent Systems for Molecular Biology (ISMB
, 1998
"... A novel method to model and predict the location and orientation of alpha helices in membrane- spanning proteins is presented. It is based on a hidden Markov model (HMM) with an architecture that corresponds closely to the biological system. The model is cyclic with 7 types of states for helix core, ..."
Abstract
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Cited by 373 (9 self)
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, helix caps on either side, loop on the cytoplasmic side, two loops for the non-cytoplasmic side, and a globular domain state in the middle of each loop. The two loop paths on the non-cytoplasmic side are used to model short and long loops separately, which corresponds biologically to the two known
Large-scale simultaneous hypothesis testing: the choice of a null hypothesis
- JASA
, 2004
"... Current scientific techniques in genomics and image processing routinely produce hypothesis testing problems with hundreds or thousands of cases to consider simultaneously. This poses new difficulties for the statistician, but also opens new opportunities. In particular it allows empirical estimatio ..."
Abstract
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Cited by 301 (15 self)
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estimation of an appropriate null hypothesis. The empirical null may be considerably more dispersed than the usual theoretical null distribution that would be used for any one case considered separately. An empirical Bayes analysis plan for this situation is developed, using a local version of the false
Sample Splitting and Threshold Estimation
- Econometrica
, 2000
"... Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition, thr ..."
Abstract
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Cited by 252 (3 self)
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in the regression context. We allow for either cross-section or time series observations. Least squares estimation of the regression parameters is considered. An asymptotic distribution theory for the regression estimates Ž the threshold and the regression slopes. is developed. It is found that the distribution
Convolutive Blind Separation of Non-Stationary
"... Acoustic signals recorded simultaneously in a reverberant environment can be described as sums of differently convolved sources. The task of source separation is to identify the multiple channels and possibly to invert those in order to obtain estimates of the underlying sources. We tackle the probl ..."
Abstract
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Cited by 196 (3 self)
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Acoustic signals recorded simultaneously in a reverberant environment can be described as sums of differently convolved sources. The task of source separation is to identify the multiple channels and possibly to invert those in order to obtain estimates of the underlying sources. We tackle
The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks.” National Bureau of Economic Research Working Paper 13264
, 2007
"... This paper investigates the impact of tax changes on economic activity. We use the narrative record, such as presidential speeches and Congressional reports, to identify the size, timing, and principal motivation for all major postwar tax policy actions. This analysis allows us to separate legislate ..."
Abstract
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Cited by 243 (9 self)
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This paper investigates the impact of tax changes on economic activity. We use the narrative record, such as presidential speeches and Congressional reports, to identify the size, timing, and principal motivation for all major postwar tax policy actions. This analysis allows us to separate
Estimation of copula-based semiparametric time series models
- J. Econometrics
, 2006
"... This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal dependence of the processes; the implied transition di ..."
Abstract
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Cited by 85 (10 self)
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This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal dependence of the processes; the implied transition
Nonparametric conditional copula estimation
"... Suppose we observe a bivariate vector (Y1, Y2) coming from a joint distribution function H with marginal distribution functions F1 and F2. According to Sklar’s theorem (see e.g. Nelsen (2006)) there exists a bivariate function C such that P (Y1 ≤ y1, Y2 ≤ y2) = H(y1, y2) = C(F1(y1), F2(y2)). The f ..."
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)). The function C is called a copula and it completely describes the dependence of (Y1, Y2). It is in itself a joint cumulative distribution function on [0, 1] 2 with uniform marginals. ¿From the modelling point of view copulas enable to separate the modelling of marginals from the modelling of a dependence
Robust Model-Based Motion Tracking through the Integration of Search and Estimation
, 1992
"... A computer vision system has been developed for real-time motion tracking of 3-D objects, including those with variable internal parameters. This system provides for the integrated treatment of matching and measurement errors that arise during motion tracking. These two sources of error have very di ..."
Abstract
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Cited by 185 (2 self)
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different distributions and are best handled by separate computational mechanisms. These errors can be treated in an integrated way by using the computation of variance in predicted feature measurements to determine the probability of correctness for each potential matching feature. In return, a best
Extending the rank likelihood for semiparametric copula estimation
- Annuls of Applied Statistics
, 2007
"... Quantitative studies in many fields involve the analysis of multivariate data of diverse types, including measurements that we may consider binary, ordinal and continuous. One approach to the analysis of such mixed data is to use a copula model, in which the associations among the variables are para ..."
Abstract
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Cited by 47 (7 self)
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are parameterized separately from their univariate marginal distributions. The purpose of this article is to provide a simple, general method of semiparametric inference for copula models via a type of rank likelihood function for the association parameters. The proposed method of inference can be viewed as a
Results 1 - 10
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2,833
