Title page for etd-0619117-200807


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URN etd-0619117-200807
Author Sian-Hong Huang
Author's Email Address No Public.
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Department Applied Mathematics
Year 2016
Semester 2
Degree Master
Type of Document
Language English
Title A study on network modeling with grouping structure
among its nodes
Date of Defense 2017-06-29
Page Count 44
Keyword
  • group lasso
  • Granger causality
  • network
  • Abstract The group effect between variables arises frequently in the real data analysis (e.g., biological, financial econometric). In this study, we aim to build network structure from temporal panel data under the framework of Granger causal models with inherent grouping structure among its nodes. We use a group lasso regression regularization framework and use tuning parameters to avoid group misspecifications. We investigate the tuning parameter effect on estimation of the network structure via simulation study. Finally, we apply the method to study the network structure of financial institutes.
    Advisory Committee
  • Lo Huang Mong-Na - chair
  • Chang Chung - co-chair
  • Lin Liang-Ching - co-chair
  • Huang Shih-Feng - co-chair
  • Guo Mei-Hui - advisor
  • Files
  • etd-0619117-200807.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2017-07-19

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