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Activity Number:
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473
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #309818 |
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Title:
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Principal Analysis and Price Dynamics for Sparse Auction Data
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Author(s):
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Bitao Liu*+ and Hans-Georg Müller
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Companies:
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University of California, Davis and University of California, Davis
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Address:
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Department of Statistics, Davis, CA, 95616,
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Keywords:
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eBay Auctions ; Derivative Estimation ; Functional Data Analysis ; Principal Component ; PACE
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Abstract:
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Observed bids from eBay auctions are usually sparse in the middle and more frequent near the beginning and especially near the end of the auction. For auctions related to identical products, one may view the bid history of each of these auctions as realization of an underlying smooth stochastic process. It is then of interest to recover the price curves and also their derivatives. We demonstrate the application of the principal analysis through conditional expectation (PACE) approach for such data. This functional data analysis method does not require pre-smoothing and uses functional principal component analysis for sparse data. We propose the extension of this approach to the estimation of derivatives, where sparse data are particularly problematic, aiming at exploring auction price dynamics.
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