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Performance analysis of eigenportfolios for AR(1) process
2016 Annual Conference on Information Science and Systems (CISS), 2016In this paper, we analyze eigenportfolio returns for discrete AR(1) process. We derive closed-form expressions for Sharpe ratio and market exposure of eigenportfolios. We calculate and compare their performance for various model parameters. We validate AR(1) based covariance approximation for the market data of a basket with five stocks.
Onur Yilmaz, Ali N. Akansu
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TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS
Econometric Theory, 2013Relevant sample quantities such as the sample autocorrelation function and extremes contain useful information about autoregressive time series with heteroskedastic errors. As these quantities usually depend on the tail index of the underlying heteroskedastic time series, estimating the tail index becomes an important task. Since the tail index of such
Chan, Ngai Hang +3 more
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A Median‐Unbiased Estimator of the AR(1) Coefficient
Journal of Time Series Analysis, 1999A proof is given that the median of the ratios of consecutive observations of a stationary first‐order autoregressive process Xt = αXt−1 + Yt with P(Yt≥ 0) = P(Yt≤ 0) = 1/2 and P(Xt = 0) = 0 is a median‐unbiased estimator of α.
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On the Eigenstructure of the AR(1) Covariance
2023 IEEE Statistical Signal Processing Workshop (SSP), 2023openaire +1 more source
1996
This chapter is devoted to the mathematical analysis of learning to become rational in the simplest purely dynamic case. More precisely, we consider a model in which the univariate endogenous variable depends only on its one period lagged value, the predictions of agents, and a disturbance term.
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This chapter is devoted to the mathematical analysis of learning to become rational in the simplest purely dynamic case. More precisely, we consider a model in which the univariate endogenous variable depends only on its one period lagged value, the predictions of agents, and a disturbance term.
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Minimum Distance Estimation in AR(1)-processes
Methodology And Computing In Applied Probability, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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ARS INTER CULTURAS, Nr 1 (2010): Ars Inter Culturas
2011Wprowadzenie...5-8 W STRONĘ GLOBALNEJ CYWILIZACJI PRZYSZŁOŚCI – O POTRZEBIE TWÓRCZEGO DIALOGU Z INNOŚCIĄ...11-22 KOMUNIKACYJNE I INTEGRACYJNE ZNACZENIE SYMBOLI KULTUROWYCH NA PRZYKŁADZIE MUZYKI...23-34 KULTURA I SZTUKA POPULARNA JAKO OBSZAR DZIAŁAŃ EDUKACYJNYCH...35-46 DIE BEDEUTUNG DER MUSIKALISCHEN BILDUNG IN EUROPA VOR DEM HINTERGRUND UNSERER ...
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2016
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On Explainability of A Simple Classifier for AR(1) Source
2022 56th Annual Conference on Information Sciences and Systems (CISS), 2022Cem Benar, Ali N. Akansu
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