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Some Experimental Results on the Statistical Properties of Least Squares Estimates in Control Problems
Statistical Properties Control Problems
2015/8/5
The statistical properties of the certainty equivalence control rule and of the least squares
estimates generated by this rule are examined experimentally in a linear model with two
unknown paramete...
Statistical Properties of Cross-Correlation in the Korean Stock Market
correlation matrix random matrix theory markowitz portfolio theory
2010/10/22
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the po...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals, Power Law
2010/10/19
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Statistical properties of agent-based models in markets with continuous double auction mechanism
Statistical properties agent-based models continuous double auction mechanism
2010/10/18
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-base...
Statistical Properties of Fluctuations: A Method to Check Market Behavior
Statistical Properties Fluctuations Check Market Behavior
2010/11/1
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical ...
The Statistical Properties of Exponential ACD Models
Exponential ACD models generalized F distribution unconditional moments
2010/9/7
This paper examines some of the statistical properties of exponential ACD models. To allow for nonmonotonic hazard functions we use either the generalized Gamma or the generalized F distributions. Con...