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High Dimensional Stochastic Regression with Latent Factors, Endogeneity and Nonlinearity
α-mixing dimension reduction instrument variables nonstationarity time series
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2016/1/26
We consider a multivariate time series model which represents a high dimensional vector process as a sum of three terms: a linear regression of some observed regressors, a linear com-bination of some ...
CreditRisk Model with Dependent Risk Factors
CreditRisk + model conditional independence dependent risk factors
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2016/1/20
The CreditRisk + model is widely used in industry for computing the loss of a credit port-folio. The standard CreditRisk + model assumes independence among a set of common risk factors, a simplified a...