Functional Principle Components for Derivatives and Higher Dimensions
导数和更高维度的函数原理组件
基本信息
- 批准号:209561803
- 负责人:
- 金额:--
- 依托单位:
- 依托单位国家:德国
- 项目类别:Research Grants
- 财政年份:2012
- 资助国家:德国
- 起止时间:2011-12-31 至 2014-12-31
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
There is an increasing number of applications where the collected data are curves. Simple, onedimensional structures are well understood both from numerical and theoretical perspective. High dimensional data, however, with a complicated spatio-temporal correlation structure need more advanced statistical tools for exploration, inference and prediction. An example is neuroeconomics requiring quantitative analysis of large sets of dynamically recorded fMRI data. Also weather derivative markets and energy industry require spatio-temporal temperature modeling. In many applications, objects that are not directly observed are the real objects of interest. An example is the evolution of pricing kernels that gives information about investment and risk patterns, or the market price or risk that allows pricing of weather derivatives. While a lot of applied work has been done in this context, there is still a need to establish a sound theoretical basis. The challenge that we face here is to summarize curves by low dimensional components and dynamic parameters which can be interpreted within the time series framework, to explain variability. By combining tools of mathematical statistics with modern econometric techniques, we propose to gain a higher degree of insight into the challenging problem of high dimensional and indirectly observed curve object.
有越来越多的应用程序,其中收集的数据是曲线。简单的一维结构从数值和理论的角度都得到了很好的理解。然而,高维数据,具有复杂的时空相关结构,需要更先进的统计工具进行探索,推理和预测。一个例子是神经经济学,需要对大量动态记录的功能磁共振成像数据进行定量分析。此外,天气衍生市场和能源行业需要时空温度建模。在许多应用中,不直接观察的对象是感兴趣的真实的对象。一个例子是定价内核的演变,它提供了有关投资和风险模式的信息,或者允许天气衍生品定价的市场价格或风险。虽然在这方面已经做了大量的应用工作,但仍然需要建立一个健全的理论基础。我们在这里面临的挑战是通过低维分量和动态参数来总结曲线,这些参数可以在时间序列框架内解释,以解释变异性。通过将数理统计工具与现代计量经济学技术相结合,我们提出了对高维和间接观察曲线对象的挑战性问题的更高程度的洞察。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
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Professor Dr. Wolfgang Karl Härdle其他文献
Professor Dr. Wolfgang Karl Härdle的其他文献
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{{ truncateString('Professor Dr. Wolfgang Karl Härdle', 18)}}的其他基金
Dynamic Semiparametric Factor Models and Asset Valuation
动态半参数因子模型和资产估值
- 批准号:
5417352 - 财政年份:2004
- 资助金额:
-- - 项目类别:
Research Grants
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