Results 11 to 20 of about 123,594 (283)
Unobserved component models with asymmetric conditional variances [PDF]
, 2006 Unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models.
Broto, Carmen, Ruiz, Esther
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Statistics of Heteroscedastic Extremes [PDF]
SSRN Electronic Journal, 2014 SummaryWe extend classical extreme value theory to non-identically distributed observations. When the tails of the distribution are proportional much of extreme value statistics remains valid. The proportionality function for the tails can be estimated non-parametrically along with the (common) extreme value index.
Einmahl, J.H.J. +2 more
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On Robust Tests for Heteroscedasticity [PDF]
The Annals of Statistics, 1979 Abstract : We extend Bickel's (1978) tests for heteroscedasticity to include wider classes of test statistics and fitting methods. The test statistics include those based on Huber's function, while the fitting techniques include Huber's Proposal 2 (1977) for robust regression. (Author)
Carroll, Raymond J., Ruppert, David
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Frontiers in Public Health, 2016 This paper reviews common challenges encountered in statistical analyses of epidemiological data for epidemiologists. We focus on the application of linear regression, multivariate logistic regression, and log-linear modeling to epidemiological data ...
Lihan Yan +4 more
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Investment Risk Analysis On Bitcoin With Applied of VaR-APARCH Model
JTAM (Jurnal Teori dan Aplikasi Matematika), 2021 Investment can be defined as an activity to postpone consumption at the present time with the aim to obtain maximum profits in the future. However, the greater the benefits, the greater the risk.
Irwan Kasse +3 more
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Fitting functional response surfaces to data: a best practice guide
Ecosphere, 2020 Describing how resource consumption rates depend on resource density, conventionally termed “functional responses,” is crucial to understanding the population dynamics of trophically interacting organisms.
Wojciech Uszko +2 more
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Mathematics, 2021 In this paper, we provide a mathematical and statistical methodology using heteroscedastic estimation to achieve the aim of building a more precise mathematical model for complex financial data.
Chih-Wen Hsiao +3 more
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Comparing Linear Regression to Shrinkage Regression Algorithms (RR, Lasso, El Net) Using PTSD Patients’ Data [PDF]
پژوهشهای کاربردی روانشناختی, 2020 The purpose of this research was to introduce the alternative model of regression algorithms and having it compared to linear regression. To do this, we need to use modern algorithms such as Ridge, Lasso, and Elastic net regression in which precision is ...
Hojjatollah Farahani
doaj +1 more source
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2017 The purpose of this article was to describe the ability of the quantile regression method in overcoming the violation of classical assumptions. The classical assumptions that are violated in this study are variations of non-homogeneous error or ...
Ferra Yanuar
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Diagnostics for Heteroscedasticity in Regression [PDF]
Biometrika, 1983 Summary: For the usual regression model without replication, we provide a diagnostic test for heteroscedasticity based on the score statistic. A graphical procedure to complement the score test is also presented.
Cook, R. Dennis, Weisberg, Sanford
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