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25,054
On estimating the expected return on the market  an exploratory investigation
 JOURNAL OF FINANCIAL ECONOMICS
, 1980
"... The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market retu ..."
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Cited by 490 (3 self)
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expected market returns which reflect this dependence are analyzed in this paper. Estimation procedures which incorporate the prior restriction that equilibrium expected excess returns on the market must be positive are derived and applied to return data for the period 19261978. The principal conclusions
A gentle tutorial on the EM algorithm and its application to parameter estimation for gaussian mixture and hidden markov models
, 1997
"... We describe the maximumlikelihood parameter estimation problem and how the Expectationform of the EM algorithm as it is often given in the literature. We then develop the EM parameter estimation procedure for two applications: 1) finding the parameters of a mixture of Gaussian densities, and 2) fi ..."
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Cited by 693 (4 self)
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We describe the maximumlikelihood parameter estimation problem and how the Expectationform of the EM algorithm as it is often given in the literature. We then develop the EM parameter estimation procedure for two applications: 1) finding the parameters of a mixture of Gaussian densities, and 2
ModelBased Clustering, Discriminant Analysis, and Density Estimation
 JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
, 2000
"... Cluster analysis is the automated search for groups of related observations in a data set. Most clustering done in practice is based largely on heuristic but intuitively reasonable procedures and most clustering methods available in commercial software are also of this type. However, there is little ..."
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Cited by 573 (29 self)
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Cluster analysis is the automated search for groups of related observations in a data set. Most clustering done in practice is based largely on heuristic but intuitively reasonable procedures and most clustering methods available in commercial software are also of this type. However
Estimating standard errors in finance panel data sets: comparing approaches.
 Review of Financial Studies
, 2009
"... Abstract In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can be biased. Historically, the two literatures have used different solut ..."
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Cited by 890 (7 self)
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solutions to this problem. Corporate finance has relied on clustered standard errors, while asset pricing has used the FamaMacBeth procedure to estimate standard errors. This paper examines the different methods used in the literature and explains when the different methods yield the same (and correct
Discrete Choice Methods with Simulation
, 2002
"... This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logi ..."
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Cited by 1326 (20 self)
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: logit, generalized extreme value (including nested and crossnested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulationassisted estimation procedures are investigated and compared, including maximum simulated likelihood, the method of simulated
Estimation of probabilities from sparse data for the language model component of a speech recognizer
 IEEE Transactions on Acoustics, Speech and Signal Processing
, 1987
"... AbstractThe description of a novel type of rngram language model is given. The model offers, via a nonlinear recursive procedure, a computation and space efficient solution to the problem of estimating probabilities from sparse data. This solution compares favorably to other proposed methods. Wh ..."
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Cited by 799 (2 self)
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AbstractThe description of a novel type of rngram language model is given. The model offers, via a nonlinear recursive procedure, a computation and space efficient solution to the problem of estimating probabilities from sparse data. This solution compares favorably to other proposed methods
Approximating discrete probability distributions with dependence trees
 IEEE TRANSACTIONS ON INFORMATION THEORY
, 1968
"... A method is presented to approximate optimally an ndimensional discrete probability distribution by a product of secondorder distributions, or the distribution of the firstorder tree dependence. The problem is to find an optimum set of n1 first order dependence relationship among the n variables ..."
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Cited by 881 (0 self)
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variables. It is shown that the procedure derived in this paper yields an approximation of a minimum difference in information. It is further shown that when this procedure is applied to empirical observations from an unknown distribution of tree dependence, the procedure is the maximumlikelihood estimate
Mean shift: A robust approach toward feature space analysis
 In PAMI
, 2002
"... A general nonparametric technique is proposed for the analysis of a complex multimodal feature space and to delineate arbitrarily shaped clusters in it. The basic computational module of the technique is an old pattern recognition procedure, the mean shift. We prove for discrete data the convergence ..."
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Cited by 2395 (37 self)
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the convergence of a recursive mean shift procedure to the nearest stationary point of the underlying density function and thus its utility in detecting the modes of the density. The equivalence of the mean shift procedure to the Nadaraya–Watson estimator from kernel regression and the robust Mestimators
Adapting to unknown smoothness via wavelet shrinkage
 JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
, 1995
"... We attempt to recover a function of unknown smoothness from noisy, sampled data. We introduce a procedure, SureShrink, which suppresses noise by thresholding the empirical wavelet coefficients. The thresholding is adaptive: a threshold level is assigned to each dyadic resolution level by the princip ..."
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Cited by 1006 (18 self)
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by the principle of minimizing the Stein Unbiased Estimate of Risk (Sure) for threshold estimates. The computational effort of the overall procedure is order N log(N) as a function of the sample size N. SureShrink is smoothnessadaptive: if the unknown function contains jumps, the reconstruction (essentially) does
Results 1  10
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25,054