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2006-01-30Diskussionspapier DOI: 10.18452/3937
Common Functional Principal Components
dc.contributor.authorBenko, Michal
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorKneip, Alois
dc.date.accessioned2017-06-15T23:04:01Z
dc.date.available2017-06-15T23:04:01Z
dc.date.created2006-02-09
dc.date.issued2006-01-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4589
dc.description.abstractFunctional principal component analysis (FPCA) based on the Karhunen-Loève decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not only by the theoretical challenge of this data situation but also by the actual question of dynamics of implied volatility (IV) functions. For different maturities the logreturns of IVs are samples of (smooth) random functions and the methods proposed here study the similarities of their stochastic behavior. Firstly we present a new method for estimation of functional principal components from discrete noisy data. Next we present the two sample inference for FPCA and develop two sample theory. We propose bootstrap tests for testing the equality of eigenvalues, eigenfunctions,and mean functions of two functional samples, illustrate the test-properties by simulation study and apply the method to the IV analysis.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBootstrapeng
dc.subjectNonparametric Regressioneng
dc.subjectFunctional Principal Componentseng
dc.subjectTwo Sample Problemeng
dc.subject.ddc330 Wirtschaft
dc.titleCommon Functional Principal Components
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10057488
dc.identifier.doihttp://dx.doi.org/10.18452/3937
dc.subject.dnb17 Wirtschaft
local.edoc.pages35
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2006
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2006,10

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