Search results for "Principal components"
showing 7 items of 17 documents
On approximate system dynamic
1996
In this paper concepts and techniques from system theory are used to obtain state-space (Markovian ) models of dynamic economic processes instead of the usual VARMA models. In this respect the concept of state is reviewed as are Hankel norm approximations,and balanced realizations for stochastic models. We clarify some aspects of the balancing method for state space modelling of observed time series. This method may fail to satisfy the so-called positive real condition for stochastic processes. We us a state variance factorization algorithm which does not require us to solve the algebraic Riccati equation. We relate the Aoki-Havenner method to the Arun - Kung method.
The affine equivariant sign covariance matrix: asymptotic behavior and efficiencies
2003
We consider the affine equivariant sign covariance matrix (SCM) introduced by Visuri et al. (J. Statist. Plann. Inference 91 (2000) 557). The population SCM is shown to be proportional to the inverse of the regular covariance matrix. The eigenvectors and standardized eigenvalues of the covariance, matrix can thus be derived from the SCM. We also construct an estimate of the covariance and correlation matrix based on the SCM. The influence functions and limiting distributions of the SCM and its eigenvectors and eigenvalues are found. Limiting efficiencies are given in multivariate normal and t-distribution cases. The estimates are highly efficient in the multivariate normal case and perform …
Assessment of the Geochemical Potential in a Complex Tectonic Environment of South-East Sicily: New Insights From Hydrochemical Data
2019
We analyzed a large dataset (143 water sampling sites, 22 variables) of chemical parameters in local groundwaters from the south-east sector of Sicily, namely the Hyblean plateau, in order to set an original evaluation of its geothermal potential using applied geochemistry. The area was affected by volcanism until about 1.4 Ma. Today, though no active volcanism occurs, it is site of surface gas manifestations of focused degassing to which a mantle source has been attributed. We identified and thence selected the most promising sites (water springs and wells) based both on their main geochemical characteristics and on their calculated equilibrium temperature (resulting in the range between 5…
The Global Side of the Investment-Saving Puzzle
2009
In this paper, we reexamine the long-standing and puzzling correlation between national saving and investment in industrial countries. We apply an econometric methodology that allows us to separate idiosyncratic correlation at the country level from correlation at the global level. In a major break with the existing literature, we find no evidence of a long-run relationship in the idiosyncratic components of saving and investment. We also find that the global components in saving and investments commove, indicating that they react to shocks of a global nature.
Impact of Global Economic Crisis on the European Welfare States
2013
The global economic crisis and the subsequent weaker growth are putting under pressure welfare states in the EU. This paper aims at discussing the effects of the crisis at the social level and at identifying whether the classic European welfare state models (Nordic, Continental, Anglo-Saxon and Mediterranean) are still valid in today’s economy. An answer will be tried using the mathematical tool of principal components analysis. The results will be observed in graphs where the states taken into consideration respect the classical welfare models or they regroup themselves into new circumstances’ adapted models. Even though the classical welfare models are generally still checked up with the …
Leading indicator properties of US high-yield credit spreads.
2010
Abstract In this paper we examine the out-of-sample forecast performance of high-yield credit spreads for real-time and revised data regarding employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise. Our main findings suggest that the best results come from using only a few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. In particular, for employment and at short-run horizons, there is a gain from using a principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks. Moreover, forecast results based on revised data …
Regional frequency analysis of extreme rainfall in Sicily (Italy)
2018
Extreme rainfall events have large impacts on society and are likely to increase in intensity under climate change. For design and management decisions, particularly regarding hydraulic works, accurate estimates of precipitation magnitudes are needed at different durations. In this article, an objective approach of the regional frequency analysis (RFA) has been applied to precipitation data for the island of Sicily, Italy. Annual maximum series for rainfall with durations of 1, 3, 6, 12, and 24 h from about 130 rain gauges were used. The RFA has been implemented using principal component analysis (PCA) followed by a clustering analysis, through the k-means algorithm, to identify statistical…