Wigner's matrices; more moments estimates

2009 ◽  
pp. 29-40
Author(s):  
Alice Guionnet
Keyword(s):  
Moments Estimates

scholarly journals Volatility filtering in estimation of kurtosis (and variance)

2019 ◽  
Vol 7 (1) ◽  
pp. 1-23
Author(s):  
Stanislav Anatolyev
Keyword(s):  
Confidence Intervals ◽  
Method Of Moments ◽  
Usual Method ◽  
Coverage Probabilities ◽  
High Volatility ◽  
Filtering Technique ◽  
The One ◽  
Moments Estimates ◽  
Thick Tails ◽  
Kurtosis Coefficient

AbstractThe kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely. We propose a simple but effective procedure of estimating the kurtosis coefficient (and variance) based on volatility filtering that uses a simple GARCH model. In addition to an estimate, the proposed algorithm issues a signal of whether the kurtosis (or variance) is finite or infinite. We also show how to construct confidence intervals around the proposed estimates. Simulations indicate that the proposed estimates are much less median biased than the usual method-of-moments estimates, their confidence intervals having much more precise coverage probabilities. The procedure alsoworks well when the underlying volatility process is not the one the filtering technique is based on. We illustrate how the algorithm works using several actual series of returns.

Urban Metro Rail Demand: Evidence from Dynamic Generalized Method of Moments Estimates using Panel Data

2018 ◽  
Vol 2672 (8) ◽  
pp. 288-296 ◽  
Author(s):  
Shane Canavan ◽  
Daniel J. Graham ◽  
Richard J. Anderson ◽  
Alexander Barron
Keyword(s):  
Panel Data ◽  
Method Of Moments ◽  
Generalized Method Of Moments ◽  
Moments Estimates

scholarly journals Uncertainty Quantification of Power Spectrum and Spectral Moments Estimates Subject to Missing Data

2017 ◽  
Vol 3 (4) ◽  
pp. 04017020 ◽  
Author(s):  
Yuanjin Zhang ◽  
Liam Comerford ◽  
Ioannis A. Kougioumtzoglou ◽  
Edoardo Patelli ◽  
Michael Beer
Keyword(s):  
Missing Data ◽  
Power Spectrum ◽  
Uncertainty Quantification ◽  
Spectral Moments ◽  
Moments Estimates

scholarly journals LH-Moments of the Wakeby Distribution applied to Extreme Rainfall in Thailand

2021 ◽  
Vol 17 (2) ◽  
pp. 166-180
Author(s):  
Busababodhin Piyapatr ◽  
Chiangpradit Monchaya ◽  
Phoophiwfa Tossapol ◽  
Jeong-Soo Park ◽  
Do-ove Manoon ◽  
...  
Keyword(s):  
Extreme Rainfall ◽  
Return Periods ◽  
Return Levels ◽  
Moments Method ◽  
Design Values ◽  
L Moments ◽  
Moments Estimates ◽  
Quantile Estimates ◽  
Wakeby Distribution ◽  
Better Than

This article applies the Wakeby distribution (WAD) with high-order L-moments estimates (LH-ME) to annual extreme rainfall data obtained from 99 gauge stations in Thailand. The objectives of this study investigate to obtain appropriate quantile estimates and return levels for several return periods, 2, 5, 10, 25 and 50 years. The 95% confidence intervals for the quantiles determined from the WAD are derived using the bootstrap technique. Isopluvial maps of estimated design values that correspond to selected return periods are presented. The LH-ME results are better than estimates from the more primitive L-moments method for a large majority of the stations considered.

Impact of extended alliance portfolio configuration on firm innovation

2018 ◽  
pp. 1-17
Author(s):  
Ho-Sung Kim
Keyword(s):  
Generalized Method Of Moments ◽  
Alliance Portfolio ◽  
Firm Innovation ◽  
Pharmaceutical Firms ◽  
The Past ◽  
Focal Firm ◽  
Size Number ◽  
Structure Density ◽  
Moments Estimates ◽  
Favorable Conditions

AbstractIn the past, alliance portfolio configuration (APC) studies concentrated mostly on the direct alliances or partners of a focal firm. However, a focal firm is also influenced by indirect alliances or partners. This study endeavors to focus on this aspect of APC. It contributes to APC research by extending the scope to three degrees from a focal firm. To assess the effects of extended APCs, 186 3-year window snapshots were created of the extended APCs of 31 Korean bio-pharmaceutical firms. These snapshots range from 2007 to 2014. The effects of structure (density), size (number of alliances and partners), and relationships to firm innovation were measured using the two-step generalized method of moments estimates. The results show that structural sparseness and larger-sized extended APCs are more favorable conditions for innovation, and that structural sparseness and size have a positive relationship to innovation performance.

scholarly journals Production Function Estimation in Stata Using the Ackerberg–Caves–Frazer Method

2016 ◽  
Vol 16 (4) ◽  
pp. 900-916 ◽  
Author(s):  
Miguel Manjón ◽  
Juan Mañez
Keyword(s):  
Method Of Moments ◽  
Functional Dependence ◽  
Generalized Method Of Moments ◽  
Production Functions ◽  
Function Estimation ◽  
Specification Tests ◽  
Moments Estimates ◽  
Production Function Estimation ◽  
Economic Studies ◽  
Nonlinear Robust

We present a new e-class command, acfest, that implements the method of Ackerberg, Caves, and Frazer (2015, Econometrica 83: 2411–2451) to estimate production functions. This method deals with the functional dependence problems that may arise in the methods proposed by Olley and Pakes (1996, Econometrica 64: 1263–1297) and, particularly, Levinsohn and Petrin (2003, Review of Economic Studies 70: 317–341) (implemented in Stata by Yasar, Raciborski, and Poi [2008, Stata Journal 8: 221–231] and Petrin, Poi, and Levinsohn [2004, Stata Journal 4: 113–123], respectively). In particular, the acfest command yields (nonlinear, robust) generalized method of moments estimates using a Mata function and two specification tests (Wald and Sargan–Hansen). After estimation, predict provides the estimated productivity of the firms in the sample.

scholarly journals Multi-PRI Signal Processing for the Terminal Doppler Weather Radar. Part II: Range–Velocity Ambiguity Mitigation

2005 ◽  
Vol 22 (10) ◽  
pp. 1507-1519 ◽  
Author(s):  
John Y. N. Cho
Keyword(s):  
Signal Transmission ◽  
Weather Radar ◽  
Radar Data ◽  
Doppler Weather Radar ◽  
Processing Scheme ◽  
Phase Code ◽  
Repetition Interval ◽  
Moments Estimates ◽  
Radar Part ◽  
Adaptive Signal

Abstract Multiple pulse-repetition interval (multi-PRI) transmission is part of an adaptive signal transmission and processing algorithm being developed to combat range–velocity (RV) ambiguity for the Terminal Doppler Weather Radar (TDWR). In Part I of this two-part paper, an adaptive clutter filtering procedure that yields low biases in the moments estimates was presented. In this part, algorithms for simultaneously providing range-overlay protection and velocity dealiasing using multi-PRI signal transmission and processing are presented. The effectiveness of the multi-PRI RV ambiguity mitigation scheme is demonstrated using simulated and real weather radar data, with excellent results. Combined with the adaptive clutter filter, this technique will be used within the larger context of an adaptive signal transmission and processing scheme in which phase-code processing will be a complementary alternative.

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