Tid: 24 september 2014 kl 10.15-11.00.Rum 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
Föredragshållare: Fredrik Lannsjö
Titel: Forecasting the Business Cycle using Partial Least Squares (Master Thesis)
Abstract Partial Least Squares is both a regression method and a tool for variable selection, that is especially appropriate for models based on numerous (possibly correlated) variables. While being a well established modeling tool in chemometrics, this thesis adapts PLS to financial data to predict the movements of the business cycle represented by the OECD Composite Leading Indicators. High-dimensional data is used, and a model with automated variable selection through a genetic algorithm is developed to forecast different economic regions with good results in out-of-sample tests.
|Sidansvarig: Filip Lindskog