{"@context":"http://iiif.io/api/presentation/2/context.json","@id":"https://repo.library.stonybrook.edu/cantaloupe/iiif/2/manifest.json","@type":"sc:Manifest","label":"Bayesian Filtering Estimation of Statistical Dynamic Factor Model","metadata":[{"label":"dc.description.sponsorship","value":"This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree."},{"label":"dc.format","value":"Monograph"},{"label":"dc.format.medium","value":"Electronic Resource"},{"label":"dc.identifier.uri","value":"http://hdl.handle.net/11401/78240"},{"label":"dc.language.iso","value":"en_US"},{"label":"dcterms.abstract","value":"Statistical factor analysis has been widely used in many areas of investment     science such as risk management, portfolio selection, trading strategies, ect..     This dissertation mainly investigates the estimation of dynamic factor model in     the Bayesian framework, using the techniques of particle filter with online parameter     learning such as marginalized particle filter and particle learning. We     also compare our results with the offline conventional method such as Kalman     filter combined with EM algorithm in root mean squared error criterion.     In the real data analysis, regime switching or structure break in the factor     structure will make the estimation of static model difficult and lead to     the problem of model misspecification. For solving this issue, we construct     a regime switching dynamic factor model and compare its performance with     conventional method using EM algorithm in the context of statistical arbitrage     trading strategy."},{"label":"dcterms.available","value":"2018-06-21T13:38:40Z"},{"label":"dcterms.contributor","value":"Frey, Robert J."},{"label":"dcterms.creator","value":"Mu, Yu"},{"label":"dcterms.dateAccepted","value":"2018-06-21T13:38:40Z"},{"label":"dcterms.dateSubmitted","value":"2018-06-21T13:38:40Z"},{"label":"dcterms.description","value":"Department of Applied Mathematics and Statistics"},{"label":"dcterms.extent","value":"104 pg."},{"label":"dcterms.format","value":"Application/PDF"},{"label":"dcterms.identifier","value":"http://hdl.handle.net/11401/78240"},{"label":"dcterms.issued","value":"2017-12-01"},{"label":"dcterms.language","value":"en_US"},{"label":"dcterms.provenance","value":"Made available in DSpace on 2018-06-21T13:38:40Z (GMT). No. of bitstreams: 1\nMu_grad.sunysb_0771E_13551.pdf: 4552961 bytes, checksum: 5e850487c3b64505eac21dcec3cbfcfe (MD5)\n  Previous issue date:   12"},{"label":"dcterms.subject","value":"Applied mathematics"},{"label":"dcterms.title","value":"Bayesian Filtering Estimation of Statistical Dynamic Factor Model"},{"label":"dcterms.type","value":"Dissertation"},{"label":"dc.type","value":"Dissertation"}],"description":"This manifest was generated dynamically","viewingDirection":"left-to-right","sequences":[{"@type":"sc:Sequence","canvases":[{"@id":"https://repo.library.stonybrook.edu/cantaloupe/iiif/2/canvas/page-1.json","@type":"sc:Canvas","label":"Page 1","height":1650,"width":1275,"images":[{"@type":"oa:Annotation","motivation":"sc:painting","resource":{"@id":"https://repo.library.stonybrook.edu/cantaloupe/iiif/2/12%2F82%2F25%2F128225871371551781144083423992078179888/full/full/0/default.jpg","@type":"dctypes:Image","format":"image/jpeg","height":1650,"width":1275,"service":{"@context":"http://iiif.io/api/image/2/context.json","@id":"https://repo.library.stonybrook.edu/cantaloupe/iiif/2/12%2F82%2F25%2F128225871371551781144083423992078179888","profile":"http://iiif.io/api/image/2/level2.json"}},"on":"https://repo.library.stonybrook.edu/cantaloupe/iiif/2/canvas/page-1.json"}]}]}]}