Econometrics as Sorcery

Details Econometrics as Sorcery Econometrics as Sorcery

2008-01-19

arxiv.org/abs/0801.3047v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

The paper deals with the problem of identifying the internal dependencies and similarities among a large number of random processes. Linear models are considered to describe the relations among the time series and the energy associated to the corresponding modeling error is the criterion adopted to quantify their similarities. Such an approach is interpreted in terms of graph theory suggesting a natural way to group processes together when one provides the best model to explain the other. Moreover, the clustering technique introduced in this paper will turn out to be the dynamical generalization of other multivariate procedures described in literature.

Affiliated with

Also associated with

No associations

Rating

Econometrics as Sorcery does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Econometrics as Sorcery, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Econometrics as Sorcery will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-18879