ALTERNATING SCHEME FOR METHOD OF MOMENTS
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Date
2021-05
Authors
Kozybayeva, Kymbat
Journal Title
Journal ISSN
Volume Title
Publisher
Nazarbayev University School of Sciences and Humanities
Abstract
In the financial market, there is always an unexpected issue between measures of dif ferent obligations, stocks, currency. Big financial companies before doing investments
are highly interested in exploring the behavior of a certain market. For such analysis,
we use different methods which are calling dimension reduction techniques. This work
adopted the principal component analysis and maximum mean discrepancy distance
to assess ten different bond yields by calculating their changes. In the beginning, we
will explain in detail the nature of our data and show some results from the theorem
about the Wiener process. After we will apply the classic method and our new (al ternating to PCA) method. In the end, we will compare graphs of each method and
conclude the effectiveness of Maximum Mean Discrepancy distance
Description
Keywords
Type of access: Gated Access, Maximum Mean Discrepancy distance
Citation
Kozybayeva, K. (2021). Alternating scheme for method of moments (Unpublished master`s thesis). Nazarbayev University, Nur-Sultan, Kazakhstan