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11 results for “Heteroscedasticity”
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Research ArticleOpen accessEvery word in the titleA NOVEL ROBUST AND EFFICIENT TOOL FOR DETECTING HETEROSCEDASTICITYWei Xiong, Maozai TianOne of the greatest values of Quantile Regression (QR) is that it provides a good procedure in the sense that QR could be much more efficient and sometimes arbitrarily more efficient in recovering the mean function than the Least Squares (LS) even when without moment conditions. However, heteroscedasticity definitely causes conditional variances of parametric or nonparametric estimates of mean functions … …Journal of Mathematics and Statistics, Vol. 10, Issue 2 · 21 Mar 2014 · 6,657 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Robust Modification of the Goldfeld-Quandt Test for the Detection of Heteroscedasticity in the Presence of OutliersMd. Sohel Rana, Habshah Midi, A.H.M. Rahmatullah ImonProblem statement: The problem of heteroscedasticity occurs in regression analysis for many practical reasons. It is now evident that the heteroscedastic problem affects both the estimation and test procedure of regression analysis, so it is really important to be able to detect this problem for possible remedy. The existence of a few extreme or unusual observations that we often call … …Journal of Mathematics and Statistics, Vol. 4, Issue 4 · 31 Dec 2008 · 7,936 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleModeling the Error Term by Moving Average and Generalized Autoregressive Conditional Heteroscedasticity ProcessesAyodele Abraham Agboluaje, Suzilah bt Ismail, Chee Yin YipThis study has been able to reveal that the Combine White Noise model outperforms the existing Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Moving Average (MA) models in modeling the errors, that exhibits conditional heteroscedasticity and leverage effect. MA process cannot model the data that reveals conditional heteroscedasticity and GARCH cannot model the leverage effect also. The standardized residuals of GARCH … …American Journal of Applied Sciences, Vol. 12, Issue 11 · 20 Nov 2015 · 6,721 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleSpline Smoothing for Multi-Response Nonparametric Regression Model in Case of Heteroscedasticity of VarianceBudi Lestari, I. Nyoman Budiantara, Sony Sunaryo, Muhammad MashuriProblem statement: Assume that data (yki, tki), k = 1,2,…, p; i = 1,2,…,nk where nk represents the number of repeated measurement of kth object follows multi-response nonparametric regression model with variances of errors are heteroscedastic. Nonparametric regression curves are unknown and assumed to be smooth which are contained in Sobolev space. Random Errors are independent and normally distributed with … …Journal of Mathematics and Statistics, Vol. 8, Issue 3 · 13 Oct 2012 · 7,955 accessesView PDFCite
Research ArticleOpen accessIn the keywordsThe Effect of Socioeconomic and Demographic Factors on Contraceptive Use and Induced Abortion in TurkeyOzlem Alpu, Gunseli KurtThe aim of the study was to estimate the parameters of the heteroscedastic bivariate Probit model established for the induced abortion and the contraceptive use by using socioeconomic and demographic factors and their effects by eliminating the observed heteroscedasticity. Using a heteroscedastic bivariate Probit model and Turkish Demographic and Health Survey (1998) data on married women aged 15 through 49 … …American Journal of Applied Sciences, Vol. 1, Issue 4 · 31 Dec 2004 · 6,719 accessesView PDFCite
Research ArticleOpen accessIn the abstractRandom Forest Based Feature Selection of Macroeconomic Variables for Stock Market PredictionIsaac Kofi Nti, Adebayo Felix Adekoya, Benjamin Asubam WeyoriA firm’s equity price on the stock-market is reported to be closely related to the Macroeconomic Variable (MVs) of the country in which the firm trades. For this reason, researchers, market traders, financial analysts and forecasters to examine the association between MVs and stock-price have carried out numerous studies, using time-series statistical analysis methods like Autoregressive Integrated Moving Average (ARIMA), … …American Journal of Applied Sciences, Vol. 16, Issue 7 · 31 Jul 2019 · 10,234 accessesView PDFCite
Research ArticleOpen accessIn the abstractStatistical Size and Power of Eight Normality Tests in Presence of GARCH (1 1) ErrorsJulio César Alonso, Daniela EstradaIn this work, we assess the power and size of eight normality tests underthe assumption that errors follow a GARCH (1, 1) process by using MonteCarlo simulations. Four results stand out. First, the presence of a GARCH(1, 1) process increases the probability of making type I error. Second, Pearsonnormality test is recommended if it is assumed that errors follow a … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 11 Feb 2019 · 6,992 accessesView PDFCite
Research ArticleOpen accessIn the abstractRobust Linear Discriminant AnalysisSharipah Soaad Syed Yahaya, Yai-Fung Lim, Hazlina Ali, Zurni OmarLinear Discriminant Analysis (LDA) is the most commonly employed method for classification. This method which creates a linear discriminant function yields optimal classification rule between two or more groups under the assumptions of normality and homoscedasticity (equal covariance matrices). However, the calculation of parametric LDA highly relies on the sample mean vectors and pooled sample covariance matrix which are sensitive … …Journal of Mathematics and Statistics, Vol. 12, Issue 4 · 4 Jan 2017 · 7,649 accessesView PDFCite
Research ArticleOpen accessIn the abstractModelling the Error Term of Australia Gross Domestic ProductAyodele Abraham Agboluaje, Suzilah Ismail, Chee Yin YipThe main aim of this study is to model the Gross Domestic Product (GDP) with the new Combine White Noise (CWN) Model and compare the results with the Vector Autoregressive (VAR) Model and Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) Model which are the existing models. The CWN model estimation yields best results with least information criteria and high log likelihood … …Journal of Mathematics and Statistics, Vol. 12, Issue 4 · 2 Nov 2016 · 6,930 accessesView PDFCite
Research ArticleOpen accessIn the abstractEnhancement of Immunological Responses by Dietary Arthrospira platensis and Possibility of Field Applications as Alternative to Antibiotics in Broiler ChickenShinsuke Katayama, Yumi Kayahara, Tomoko WatanabeArthrospira platensis is one of the candidates expected to replace antibiotics by its immunostimulatory effects in broiler industry, but the evaluation aimed at field applications is not enough. Here, we measured general immunological indicators such as specific antibody responses against sheep red blood cell and Brucella abortus, serum immunoglobulin concentrations and monocyte phagocytic capacity of broiler chickens, which assigned to … …American Journal of Animal and Veterinary Sciences, Vol. 11, Issue 1 · 3 Mar 2016 · 7,086 accessesView PDFCite