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Feature selection is important for many biological studies, especially when the number of available samples is limited (in order of hundreds) while the number of input features is large (in order of millions), such as eQTL (expression quantitative trait loci) mapping, GWAS (genome wide association study) and environmental microbial community study. We study the problem of multiple output regression...
Risk measurement is an important prerequisite in modern finance. This paper aims to measure exchange rate risk of Chinese exchange market. We firstly examine the heteroscedasticity of the return series of USD/CNY and EUR/CNY data, the results suggest that there is obvious heteroscedasticity. Secondly, we choose the best GARCH model to filter the return series to i.i.d residual series and employ extreme...
In this article, we consider the parameter estimation problems in Quantile-GARCH model, a new GARCH type model proposed by Deng and Jiang (2004), which have been applied successfully in the empirical analysis in stock market, foreign exchange rate market and electricity market. In practice study, we found that only parameter estimation problem is effectively solved, the Quantile-GARCH model can be...
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