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

dc.contributor.advisor Deng, Shijie
dc.contributor.advisor Huo, Xiaoming
dc.contributor.author Han, Zhi
dc.contributor.committeeMember Dieker, Ton
dc.contributor.committeeMember Zhou, Enlu
dc.contributor.committeeMember Peng, Liang
dc.contributor.department Industrial and Systems Engineering
dc.date.accessioned 2016-01-07T17:35:56Z
dc.date.available 2016-01-07T17:35:56Z
dc.date.created 2015-12
dc.date.issued 2015-11-13
dc.date.submitted December 2015
dc.date.updated 2016-01-07T17:35:57Z
dc.description.abstract 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.
dc.description.degree Ph.D.
dc.format.mimetype application/pdf
dc.identifier.uri http://hdl.handle.net/1853/54401
dc.language.iso en_US
dc.publisher Georgia Institute of Technology
dc.subject Stochastic control
dc.subject Foreign exchange reserve
dc.subject Drift control
dc.subject Verification theorem
dc.subject Partial distance covariance
dc.subject High dimensional data
dc.subject Feature screening
dc.title Applications of stochastic control and statistical inference in macroeconomics and high-dimensional data
dc.type Text
dc.type.genre Dissertation
dspace.entity.type Publication
local.contributor.advisor Deng, Shijie
local.contributor.advisor Huo, Xiaoming
local.contributor.corporatename H. Milton Stewart School of Industrial and Systems Engineering
local.contributor.corporatename College of Engineering
relation.isAdvisorOfPublication b68b0406-b232-41f1-bcd1-82b80871b650
relation.isAdvisorOfPublication e04d5ccf-23db-4c60-a862-62d4602af9da
relation.isOrgUnitOfPublication 29ad75f0-242d-49a7-9b3d-0ac88893323c
relation.isOrgUnitOfPublication 7c022d60-21d5-497c-b552-95e489a06569
thesis.degree.level Doctoral
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
HAN-DISSERTATION-2015.pdf
Size:
629.17 KB
Format:
Adobe Portable Document Format
Description:
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
LICENSE.txt
Size:
3.86 KB
Format:
Plain Text
Description: