Applications of stochastic control and statistical inference in macroeconomics and high-dimensional data

Stochastic control;Foreign exchange reserve;Drift control;Verification theorem;Partial distance covariance;High dimensional data;Feature screening

Han, Zhi ; Deng, Shijie Huo, Xiaoming Industrial and Systems Engineering Dieker, Ton Zhou, Enlu Peng, Liang ; Deng, Shijie

University:Georgia Institute of Technology

Department:Industrial and Systems Engineering

关键词: Stochastic control;    Foreign exchange reserve;    Drift control;    Verification theorem;    Partial distance covariance;    High dimensional data;    Feature screening;   

Others  :  https://smartech.gatech.edu/bitstream/1853/54401/1/HAN-DISSERTATION-2015.pdf

美国|英语

来源: SMARTech Repository

【 摘 要 】

This dissertation is dedicated to study the modeling of drift control in foreign exchange reserves management and design the fast algorithm of statistical inference with its application in high dimensional data analysis. The thesis has two parts. The first topic involves the modeling of foreign exchange reserve management as an drift control problem. We show that, under certain conditions, the control band policies are optimal for the discounted cost drift control problem and develop an algorithm to calculate the optimal thresholds of the optimal control band policy. The second topic involves the fast computing algorithm of partial distance covariance statistics with its application in feature screening in high dimensional data. We show that an O(n log n) algorithm for a version of the partial distance covariance exists, compared with the O(n^2) algorithm implemented directly accordingly to its definition. We further propose an iterative feature screening procedure in high dimensional data based on the partial distance covariance. This procedure enjoys two advantages over the correlation learning. First, an important predictor that is marginally uncorrelated but jointly correlated with the response can be picked by our procedure and thus entering the estimation model. Second, our procedure is robust to model mis- specification.