GMMによる相関係数推定

http://siteresources.worldbank.org/DEC/Resources/Hevia_se_gmm.pdf

[matlab/octave] crosscorr/xcorr

crosscorr: sample cross correlation (Econometrics Toolbox)
http://www.mathworks.com/help/econ/crosscorr.html

xcorr: cross correlation (Signal Processing Toolbox)
http://www.mathworks.com/help/signal/ref/xcorr.html

Switching Kalman Filter

http://www.cit.mak.ac.ug/staff/jquinn/software.html

Simulated method of moments

http://www.stat.cmu.edu/~cshalizi/402/lectures/07-simulation/lecture-07.pdf

http://www3.nd.edu/~esims1/advanced_topics.pdf

http://people.bu.edu/miaoj/DynamicsI.pdf

matlab toolbox
http://www.yildiz.edu.tr/~tastan/SGMM.html

Log uniform distribution

http://ecolego.facilia.se/ecolego/show/Log-Uniform%20Distribution

Convergence diagnostics for MCMC

http://www.people.fas.harvard.edu/~plam/teaching/methods/convergence/convergence_print.pdf

http://www.bayesian-inference.com/softwaredoc/Gelman.Diagnostic

２確率変数の分散公式

V(aX+bY) = a^2V(X)+b^2V(Y)+2abCov(X,Y)

http://mp-w3math.jwu.ac.jp/~konno/pdf/statga18a.pdf

Pareto Distribution

http://www.ntrand.com/jp/pareto-distribution/

In Sample/ Out of Sample Test

http://forums.eviews.com/viewtopic.php?f=8&t=4877

Factor Analysis/ Principal Component Analysis

Factor Analysis （因子分析）

観測データから原因となる因子を見つける手法

因子→観測値

Principal Component Analysis （主成分分析）

観測データから新たな総合指標（主成分）を作成する手法

観測値→主成分

http://www.sigmath.es.osaka-u.ac.jp/~kano/research/seminar/30BSJ/kano.pdf

http://www.geisya.or.jp/~mwm48961/statistics/syuseibun1.htm

Special Markov Chain (IID Case)

Let P be the transition matrix of the two state Markov chain, where
p11=1-a, p12=a, p21=b, p22=1-b. In other words,



If a=1-b, then the state X1, X2, ... are independently identically distributed random variables with P{Xn=0}=b and P{Xn=1}=a.

http://www.rslabntu.net/Random_Processes/Chapter_2.pdf

Jensen's inequality

E[f(x)] ≥ f(E[x])


where f is convex function.

If f is concave,

E[f(x)] ≤ f(E[x]).

http://en.wikipedia.org/wiki/Jensen%27s_inequality