ANOVA Procedures for Multiple Linear Regression Model with Non-normal Error Distribution: A Quantile Function Distribution Approach

Size: px
Start display at page:

Download "ANOVA Procedures for Multiple Linear Regression Model with Non-normal Error Distribution: A Quantile Function Distribution Approach"

Transcription

1 Amercan Journal of Mathematcs and Statstcs 07, 7(4): DOI: 0.593/j.ajms ANOVA Procedures for Multple Lnear Regresson Model wth Non-normal Error Dstrbuton: A Quantle Functon Dstrbuton Approach Samsad Jahan Department of Arts and Scences, Ahsanullah Unversty of Scence and Tehcnology, Dhaka, Bangladesh Abstract Ths paper s an attempt to observe the extent of effect on the power of analyss of varance test to volatons of assumptons.e. normalty assumpton of the error of multple lnear regresson model. The error of the model s consdered as g-and-k dstrbuton because of the fact that t has shown a consderable ablty to ft to data and faclty to use n smulaton studes. The strength of ANOVA s evaluated by observng the power functon of F-test for dfferent combnaton of g (skewness) and k (kurtoss) parameter. From the smulaton results t s observed that the performance of ANOVA s seen to be mmensely affected n presence of excess kurtoss and for small samples (say, n<00). Skewness parameter has not much effect on the power of the test under non-normal stuaton. The effect of sample sze on the exstng test for multple regresson models s also observed here n ths paper under varous non normal stuatons. Keywords The g-and-k dstrbuton, ANOVA-test, Multple lnear regresson model,. Introducton Classcal statstcal procedures are desgned n such a way that they can produce best result when underlyng assumptons on the data s populaton dstrbutons are true. But n practce, we often have to deal wth the stuaton when actual stuatons depart from the deal stuaton descrbed by such assumptons, and t has been proved that the performance of many statstcal technques suffers badly when the real stuaton departs from deal stuaton. The performance of ANOVA test also suffers badly when the valdty of normalty assumpton does not hold. Generally the extent of devaton from normalty s an mportant factor that supervses the strength (weakness) of the ANOVA procedure. The man concern of ths study s to observe the performance of conventonal ANOVA test under varous nonnormal stuatons for multple lnear regresson models. Smultaneous measure of the skewness and kurtoss parameter has been consdered as the measure of extent of non-normalty. The skewness parameter measure the degree of dstorton or devaton from normalty and the kurtoss measures the peakedness or thckness of the tal of the dstrbuton. In ths manuscrpt, the smplest possble multple lnear regresson model.e. three varable multple regresson model wth one dependen t varable and two * Correspondng author: samsad.jahan@gmal.com (Samsad Jahan) Publshed onlne at Copyrght 07 Scentfc & Academc Publshng. All Rghts Reserved explanatory varable s consdered and the extent of effect of devaton from normalty s measured by consderng the model error from g-and-k dstrbuton. A number of studes on robustness and tests of normalty shows many contrbutons from the most outstandng theorsts and practtoners of statstcs. The effect of non-normalty on the power of analyss of varance test has been studed by Srvastava (959) by nvestgatng the non-central dstrbuton of the varance rato. Box and Watson (96) demonstrated the overrdng nfluence whch the numercal values of regresson varables have n decdng senstvty to non-normalty and also showed the essental nature of ths dependency. Tku (97) calculated the values of the power of the F test employed n analyss of varance under non-normal stuatons and compared wth normaltheory values of the power. Kanj (976) dscussed about smulaton methods for calculatng power values n the case of non-normal errors. He used Erlangan and contamnated normal dstrbuton as an example of non-normal error dstrbuton. MacGllvray and Balanda (988) studed on skewness and kurtoss, and consdered the concept of ant-skewness to use t as a tool to dscuss the dea of kurtoss n asymmetrc unvarate dstrbutons. Mukhter and Shubhas (996) nvestgated the robustness to nonnormalty of the null dstrbuton of the standard F-tests for regresson coeffcents n lnear regresson models. Assumng the errors to be nonnormal wth fnte moments, the null dstrbuton of the F-statstc s derved. Khan and Rayner (00) made an attempt to study the effects of the strong assumptons requred for ANOVA and also nvestgated the effects of the

2 70 Samsad Jahan: ANOVA Procedures for Multple Lnear Regresson Model wth Non-normal Error Dstrbuton: A Quantle Functon Dstrbuton Approach departure from the normalty of error on the power functon by usng g-and-k dstrbuton. Khan and Rayner (003) nvestgated the effect of devaton from the normal dstrbuton assumpton by consderng the power of two many sample locaton test procedure: ANOVA (parametrc) and Kruskal-Wals (non-parametrc). Rasch and Gulard (004) presented some results of a systematc research of robustness of statstcal procedures aganst non-normalty. Serln and Harwell (004) observed some more powerful tests of predctor subsets n regresson analyss under non-normalty. A Monte Carlo study of tests of predctor subsets n multple regresson analyss ndcates that varous nonparametrc tests show greater power than the F test for skewed and heavy-taled data. These nonparametrc tests can be computed wth avalable software. (PsycINFO Database Record (c) 0 APA, all rghts reserved) Yanaghara (007) presented the condtons for robustness to non-normalty on three test statstcs for a general multvarate lnear hypothess, whch were proposed under the normal assumpton n a generalzed multvarate analyss of varance (GMANOVA). Mortaza et al. (007) provded a study on partal F-test for multple lnear regresson models. They showed a power comparsons between the partal F tests and new test to assess when the new tests are more or less powerful than the partal F tests. Schmder et al (00) provded emprcal evdence to the robustness of the analyss of varance (ANOVA) concernng volaton of the normalty assumpton s presented by means of Monte Carlo methods. Khan and Hossan (00) suggested a numercal lkelhood rato test for testng the locaton equalty of several populatons under quantle functon dstrbuton approach. Lantz B. (0) nvestgated the relatonshp between populaton non-normalty and sample non-normalty wth respect to the performance of the ANOVA, Brown-Forsythe test, Welch test, and Kruskal-Walls test when used wth dfferent dstrbutons, sample szes, and effect szes. The overall concluson s that the Kruskal-Walls test s consderably less senstve to the degree of sample normalty when populatons are dstnctly non-normal and should therefore be the prmary tool used to compare locatons when t s known that populatons are not at least approxmately normal. Jahan and khan (0) demonstrated the extent of effect of non-normalty on power of the t-test for smple lnear regresson model usng g- andk dstrbuton. It s clear that a wde range of studes have been made on the non-normalty of the model error but so far no studes has been conducted to see what extent of devatons from normalty causes what extent of effect on the sze and power of ANOVA-test for multple lnear regresson model. Ths paper contans a power curve study to examne the extent of effect on sze and power of ANOVA test for multple lnear regresson models wth two explanatory varables on a wde varety of normal and non-normal stuaton and for dfferent sample szes. The power of ANOVA test for multple lnear regresson models s measured numercally and shown graphcally.. Multple Lnear Regresson Model The Three -Varable Model The multple lnear regresson models wth two explanatory varables can be wrtten as follows: Y = β + β X + β X + ε ; 0 =,,..., n (.) Where, Y s the dependent varable, X and X are explanatory varables, ε s the stochastc dsturbance term, and s the th observaton. β s the ntercept term, t 0 gves the mean or average effect on Y of all the varable excluded from the model, although ts mechancal nterpretaton s the average value of Y when X and X are set equal to zero. The coeffcents and β are called partal regresson coeffcents. β measures the change n the mean value of Y, E (Y ), per unt change n X, holdng the value of X constant. Lkewse, measures the change n the mean value of Y per unt change n X, holdng the value of X constant. The coeffcents β and β are called partal regresson coeffcents. β measures the change n the mean value of Y, E (Y ) X constant., per unt change n 3. The g-and-k Dstrbuton X, holdng the value of The g-and-k dstrbuton (MacGlvray and Canon) can be defned n terms of ts quantle functon as: gz e u k QX( u \ A, B, g, k) = A + Bzu( + c )( + zu), gz + e u (3.) Where, A and B >0 are the locaton and scale parameters respectvely, g measures skewness n the dstrbuton, k > measures kurtoss (n general sense of peakness/taledness) n the dstrbuton and z u = ϕ ( u ) s the u th quantle of a standard normal varate, and c s a constant chosen to help produce proper dstrbutons. It can be clearly observed that for g = k = 0, the quantle functon n (3.) s just the quantle functon of a standard normal varate. The sgn of the skewness parameter ndcates the drecton of skewness; g < 0 ndcates the dstrbuton s skewed to the left, and g > 0 ndcates skewness to the rght. Increasng/decreasng the unsgned value of ncreases/ decreases the skewness n the ndcated drecton. When g = 0 the dstrbuton s symmetrc.

3 Amercan Journal of Mathematcs and Statstcs 07, 7(4): The kurtoss parameter k, for the g-and-k dstrbuton, behaves smlarly. Increasng k ncreases the level of kurtoss and vce versa. The value k = 0 corresponds to no extra kurtoss added to the standard normal base dstrbuton. However, ths dstrbuton can represent less kurtoss than the normal dstrbuton, as k > can negatve values. If curves wth more kurtoss requred then base dstrbuton wth less kurtoss than standardzed normal dstrbuton can be used. For these dstrbutons c s the value of overall (MacGlvray). For an arbtrary dstrbuton, theoretcally the overall asymmetry can be as large as one, so t would appear that for c <, data or dstrbuton could occur wth skewness that cannot be matched by these dstrbutons. However for g 0, the larger the value chosen for c, the more restrctons on k are requred to produce a completely proper dstrbuton. Real data seldom produce overall asymmetry values greater than 0.8 (MacGlvray and Canon). The value of c s taken as 0.83 throughout ths paper. To examne extent of the effect of dfferent level of non-normalty on the test of multple lnear regresson models, t s consdered that the random error belongs to the g -and- k dstrbuton. Fgure. Densty curves of g-and-k dstrbuton for dfferent combnaton of g and k

4 7 Samsad Jahan: ANOVA Procedures for Multple Lnear Regresson Model wth Non-normal Error Dstrbuton: A Quantle Functon Dstrbuton Approach 4. The Analyss of Varance Approach for Testng the overall Sgnfcance of an observed Multple Regresson: The F -test Analyss of varance (ANOVA) s a popular and wdely used technque n the feld of statstcs. Besdes beng the approprate procedure for testng the equalty of several Table. ANOVA table for the Three-varable regresson means, the ANOVA has a much wder applcatons. The objectve of the ANOVA procedure le manly n estmatng and testng hypotheses about the treatment effect parameters. The usual tt test cannot be used to test the jont hypothess that the true partal slope coeffcents are zero smultaneously. However ths jont hypothess can be tested by the analyss of varance technque whch can be demonstrated as follows: Sources of varaton (S.V) Degrees of Freedom (D.F) Sum of Square Mean Sum of Square ˆ Due to regresson (ESS) ˆ ˆ β ˆ β YX + β YX YX + β YX Due to resdual (RSS) n 3 Total n Y ˆ ε ε ˆ n 3 Now under the assumpton of normal dstrbuton for ε and for the null hypothess H : β = β = 0 0 H : At least one β s not equal to zero; =,. Then the test statstc ESS / df F = (4.) RSS / df s dstrbuted as the F dstrbuton wth and n 3 df. Therefore, the F value of (4.) provdes a test of null hypothess that the true slope coeffcents are smultaneously zero. The null hypothess H 0 can be rejected f the F value computed from (4.) exceeds the crtcal F value from the F table at α percent level of sgnfcance, H cannot be rejected. otherwse 0 5. Smulaton Study In ths paper, multple lnear regresson models wth two explanatory varables s consdered. As t s known that the error term ε of multple lnear regresson models are normally dstrbuted but here n ths paper, the random error term ε s assumed to follow the g- and -k dstrbuton. The extent of non-normalty on the sze and power of ANOVA test s observed by varyng the skewness and the kurtoss parameter of the g - and -kk dstrbuton. Usng the g and-k dstrbuton allows us to quantfy how much the data depart from normalty n terms of the values chosen for the g (skewness) and k(kurtoss) parameters. For g = k = 0, the quantle functon for g -and- kk dstrbuton s just the quantle functon of a normal varate. To observe the power of the tests, expresson for the power curve s requred. However, n practce, to obtan analytc expressons for these power functons s mpractcal. Instead, a smulaton s conducted to estmate these power functon for varous combnatons of the g and k parameter values for the error dstrbuton from the g -and- kk dstrbuton. Whle smulatng for the test, A s taken to be the locaton whch s the medan n case of g -and- kk dstrbuton but for non-normal stuatons the mean of the dstrbuton moves away from A whch actually s the medan of the dstrbuton. Ths departure vares as the values g and k of vary. The values of g and k are taken as g -: and k -.5, 0,.5, and. At frst, the effect of non-normalty on the sze of the F test s observed. For smulatng the sze of F - test the explanatory varables x and x are generated from unform dstrbuton and the random error ε from g-and-k dstrbuton wth locaton and scale parameters A=0 and B=, respectvely. Usng statstcal software R data are generated for sample sze 0, 30 and 00, and the followng hypothess s tested. H : β = β = 0. 0 Aganst the alternatve H : At least one β s not equal to zero; =,. To determne the sze of the test, data are generated under the null hypothess and the test s repeated 5,000 tmes. The total number of tmes the hypothess s rejected s dvded by 5,000; tests are carred out usng.5 percent level of sgnfcance.

5 Amercan Journal of Mathematcs and Statstcs 07, 7(4): To compute the power of the F test, the explanatory varables x and x are consdered from unform dstrbuton and the random error ε from g-and-k dstrbuton wth locaton parameter A = 0 and scale parameter B =. The value of c s consdered as To smulate power, the followng hypothess s tested H : β = β = 0. 0 Aganst the alternatve H : At least one β s not equal to zero; =,. Data are generated usng (-,-.5,-,-.5,0,.5,,.5,) and β (-,-.5,-,-.5,0,.5,,.5,) and the test procedures are repeated 5000 tmes for each par of (, ) (-,-),(-,-.5), (,.5),(,). Frstly the number of rejectons of the test out of the 5000 tmes s determned for each par of ( β, β ) n the mentoned set and the total number of rejectons are dvded by 5000, wth the level of sgnfcance α = Sze of F-test Frst, the effect of non-normalty on the sze of the F test s consdered. For smulatng the sze of F - test the explanatory varables x and x s generated from the unform dstrbuton and the random error ε from g-and-k dstrbuton wth locaton and scale parameters A = 0 and B =, respectvely. Data are generated for sample sze 0, 30 and 00 usng statstcal software R and the followng hypothess s tested: H : β = β = 0. 0 Aganst the alternatve H : At least one β s not equal to zero; =,. Table. Sze of ANOVA for dfferent combnatons of (g, k) wth varyng sample szes To determne the sze of the test, data are generated under the null hypothess and repeat the test 5,000 tmes and dvde the total number of tmes the hypothess s rejected by 5,000; tests are carred out usng.5 percent level of sgnfcance. The sze of ANOVA for dfferent combnatons of (g, k) are presented n Table. In table, some smulaton results are presented to see the effect of dfferent level of non-normalty on the sze of F-test. F-test s sze robust under normal stuaton, but under non-normal stuaton there s a lttle effect on the sze of the test. For sample sze 0 and 30, t s seen that skewness parameter has a very lttle effect and the kurtoss parameter has moderate effect on the sze of F-test. For sample sze 00, even n the case of non-normal stuaton, F -test s almost sze robust. 7. of F-test To compute the power of the F test, frstly the explanatory varables x and x are generated from the unform dstrbuton and the random error ε s consdered from g-and-k dstrbuton wth locaton parameter A = 0 and scale parameter B =. The value of c s taken to be 0.83 throughout the paper. To smulate power, the followng hypothess s consdered H : β = β = 0. 0 H : β s not equal to zero; =,. To see how the power dffers as the values of g and k change, the power for specfed values of g and k s plotted to get the power curve for ANOVA test wth sample szes n= 0, 30 and 00. To get smooth power curve, many ponts for dfferent combnatons of g and k are used. For each combnaton we get power. The process s repeated where for each pont 5,000 smulatons are run. Fgure () through (7) shows the power curves for dfferent combnaton of (g,k) for sample sze n = 0, 30 and 00. g k Sample sze Sample sze Sample sze Dscusson of Results From the fgure () to fgure (7) t s seen that the powers of the test s badly affected by the sample sze and kurtoss parameter. The smulaton results can be summarzed n the followng ways: ) In fgure, the skewness parameter s consdered to be fxed at g=0 but the kurtoss parameter s vared from k=0 to k=. It s apparent that as the kurtoss parameter ncreases n postve drecton power of the test s vastly decreased than that of normal data. The effect of sample sze on the power of the test s also observed n ths paper. It s found that the rate of decreasng power n presence of excess kurtoss for small sample (n=0, 30) s hgher than that of larger sample sze say n=00.

6 74 Samsad Jahan: ANOVA Procedures for Multple Lnear Regresson Model wth Non-normal Error Dstrbuton: A Quantle Functon Dstrbuton Approach ) In fgure 3, the kurtoss parameter s fxed at k=0 but the skewness parameter s vared from g=0 to g=. It s examned that power of the test has not much effect when the skewness parameter s vared n postve drecton. As the sample sze ncreases power of the test seems to almost robust although the skewness parameter s ncreased. ) In fgure 4 and 5, the combnaton of (g=0, k=0), (g=, k=0), (g=0, k=), (g=, k=) for sample sze 0 and 30 s consdered and t s notced that varyng the kurtoss parameter n postve drecton has more effect n decreasng the power than that of varyng the skewness parameter. v) In fgure 6 and 7, the effect of ncreasng the kurtoss parameter n negatve drecton s observed. The combnaton of (g=0, k=0), (g=0, k=-.3), (g=0, k=-.5) for sample sze 0 and 30 s shown. At frst glance t may seems that varyng the kurtoss parameter n negatve drecton gves better power but f a close attenton s gven at the sze of the test t s clearly seen that the sze of the test s ncreased. v) From fgure to 7, t s apparent that the power of ANOVA test s decreased more for small sample sze (n=0, 30) than that of large sample sze (n=00) under non-normal stuaton. g=0, k=0 g=0, k=0.5 g=0, k=0.8 g=0,k=.0 a) n=0 b) n=30 c) n=00 Fgure. curve of ANOVA for fxed value of g and varyng Kurtoss parameter for (a) sample sze n=0, (b) sample sze n=30, (c) sample sze n=00

7 Amercan Journal of Mathematcs and Statstcs 07, 7(4): g=0, k=0 g=,k=0 g=.5, k=0 g=, k=0 a) n=0 b) n=30 c) n=00 Fgure 3. curve of ANOVA for fxed value of kurtoss and varyng skewness parameter for (a) sample sze n=0, (b) sample sze n=30, (c) sample sze n=00

8 76 Samsad Jahan: ANOVA Procedures for Multple Lnear Regresson Model wth Non-normal Error Dstrbuton: A Quantle Functon Dstrbuton Approach a) g=0, k=0 b) g=, k=0 c) g=0, k= d) g=, k= Fgure 4. curves of ANOVA for a) g=0, k=0, b) g=,k=0, c)g=0,k=, d) g=, k= for sample sze 0 a) g=0, k=0 b) g=, k=0 c) g=0, k= d) g=, k= Fgure 5. curves of ANOVA for a) g=0, k=0, b) g=,k=0, c)g=0,k=, d) g=, k= for sample sze 30 a) g=0, k=0 b) g=0, k=-0.3 c) g=0, k=-0.5 Fgure 6. curves of ANOVA for a) g=0, k=0,b) g=0, k=-0.3, c) g=0, k=-0.5 for sample sze 0

9 Amercan Journal of Mathematcs and Statstcs 07, 7(4): a) g=0, k=0 b) g=0, k=-0.3 c) g=0, k=-0.5 Fgure 7. curves of ANOVA for a) g=0, k=0, b) g=0, k=-0.3, c) g=0, k=-0.5 for sample sze A Real Lfe Example (Wolf Rver Polluton data) In real lfe applcatons, sometmes t may happen that the data do not follow the normal dstrbuton. The examner needs to dentfy the amount of devaton from normalty and take necessary acton to mnmze the nonstandard condtons. Khan and Hossan (00) examned the wolf Rver Polluton data to nvestgate how the ANOVA and Kruskal Walls test perform. Ther focus was on hexachlorobenzene (HCB) concentraton data (n nanograms per lter) that came out wth some features of non-normalty. The ANOVA test was carred out for testng the equalty of average HCB concentraton for dfferent depth although the assumptons were not fully satsfed. The ANOVA test dd not provde any strong evdence for the hypothess that the average HCB concentraton for dfferent depths are dfferent, producng a p-value of The Kruskal Walls test produces almost smlar p-value of 64 lke ANOVA. Khan and Hossan (00) also ftted the data wth g-and-k dstrbuton to test whether the data lack normalty. MLE was used to estmate the dstrbuton parameters A,B,g, and k to dentfy the amount of devaton from normalty n terms of skewness and kurtoss. The estmated value of g ˆ = 0.40 and k ˆ = presented the data to be slghtly suffered from asymmetry and lght taledness. 0. Conclusons From the above dscusson, the followng concludng remarks can be made: ) As the kurtoss parameter ncreases n postve drecton of ANOVA test for multple lnear regresson model decreases mmensely than that of the normal data. ) The skewness parameter seems to have not much effect on the power of ANOVA under non normal stuaton. ) Kurtoss Parameter has more effect n decreasng power of ANOVA test than that of the skewness parameter under non normal stuaton. v) Small sample szes have more effect n reducng power than that of large sample szes under non-normal stuaton. v) Negatve kurtoss gves better power and ncreases the sze of the test. REFERENCES [] Srvastava, A. B. L. (959). Effect of Non-normalty on the of the Analyss of Varance Test. Bometrka, 46, No./ 4-. [] Box, G.E.P. and Watson, G.S. (96). Robustness to non-normalty of regresson Tests. Bometrka, 49, Issue /, DOI: 0.093/bomet/ [3] Tku, M.L. (97). Functon of the F-Test under Non-Normal Stuatons. Journal of Amercan Statstcal Assocaton, 66(336), [4] Kanj, G.K. (976). Effect of non-normalty on the power n analyss of varance: A smulaton study. Internatonal Journal of Mathematcal Educaton n Scence and Technology, 7(), DOI: 0.080/ [5] Mukhtar, M. Al and Subhash, C. Sharma, Volume 7, Issues, Robustness to nonnormalty of regresson F-tests, Journal of Econometrcs, March Aprl 996, Pages [6] MAcGIllvray, H.L and BAlanda K.P. (988), The relatonshp between skewness and Kurtoss, Australan Jounal of Statstcs, 30: [7] Khan, A. and Rayner, G.D. (00). ANOVA Procedures wth Quantle-functon Error Dstrbutons. Journal of Appled Mathematcs and Decson Scences, 5(), -9. [8] Khan, A. and Rayner, G.D. (003a). Robustness to non-normalty of common tests for many sample locaton problem. Journal of Appled Mathematcs and Decson Scences, 7(4), [9] Rasch, D. and Gulard, V. (004). The robustness of parametrc Statstcal Methods. Psychology Scence, 46(), [0] Serln, Ronald C.; Harwell, Mchael R. (004). More ful Tests of Predctor Subsets n Regresson Analyss

10 78 Samsad Jahan: ANOVA Procedures for Multple Lnear Regresson Model wth Non-normal Error Dstrbuton: A Quantle Functon Dstrbuton Approach under Nonnormalty. Psychologcal Methods, Vol 9(4), Dec 004, do: 0.037/08-989X [] Yanaghara, H. (007). Condtons for robustness to Nonnormalty on Test Statstcs n a GMANOVA Model. J.Japan. Statst., Soc.37 (), [] Mortaza Jamshdan, Robert I. Jennrch and We Lu (007). A study of partal F tests for multple lnear regresson models. Computatonal Statstcs & Data Analyss 5 (007) [3] Schmder, Emanuel; Zegler, Matthas; Danay, Erk; Beyer, Luz; Bühner, Markus (00), Is t really robust? Renvestgatng the robustness of ANOVA aganst volatons of the normal dstrbuton assumpton. Methodology: European Journal of Research Methods for the Behavoral and Socal Scences, Vol 6(4), do: 0.07/64-4/a [4] Khan, A. and Hossan, S.S. (00), Many Sample locaton Test wth Quantle Functon Error Dstrbutons: An almost robust Test, J. Stat. & Appl. Vol.5, No., [5] Jahan, S. and Khan, A. (0), of t-test for smple Lnear regresson Model wth Nonnormal Error Dstrbuton: A Quantle Functon Dstrbuton Approach, Journal of Scentfc Research, Volume 4 No. 3, Page [6] MacGllvray, H. L. and Cannon, W. H. (Preprnt, 00). Generalzatons of the g-and-h dstrbutons and ther uses. [7] Neter, John, Wsserman, W. and Kutner, Mchael H. (983). Appled Lnear Regresson Models, Publsher: Rchard D. Irwn, INC. [8] Smyth, G. (00). [Webdocument], ata/general/wolfrve.html, [Accessed 04/0/07].

MgtOp 215 Chapter 13 Dr. Ahn

MgtOp 215 Chapter 13 Dr. Ahn MgtOp 5 Chapter 3 Dr Ahn Consder two random varables X and Y wth,,, In order to study the relatonshp between the two random varables, we need a numercal measure that descrbes the relatonshp The covarance

More information

Which of the following provides the most reasonable approximation to the least squares regression line? (a) y=50+10x (b) Y=50+x (d) Y=1+50x

Which of the following provides the most reasonable approximation to the least squares regression line? (a) y=50+10x (b) Y=50+x (d) Y=1+50x Whch of the followng provdes the most reasonable approxmaton to the least squares regresson lne? (a) y=50+10x (b) Y=50+x (c) Y=10+50x (d) Y=1+50x (e) Y=10+x In smple lnear regresson the model that s begn

More information

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS QUESTIONS 9.1. (a) In a log-log model the dependent and all explanatory varables are n the logarthmc form. (b) In the log-ln model the dependent varable

More information

Tests for Two Correlations

Tests for Two Correlations PASS Sample Sze Software Chapter 805 Tests for Two Correlatons Introducton The correlaton coeffcent (or correlaton), ρ, s a popular parameter for descrbng the strength of the assocaton between two varables.

More information

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost Tamkang Journal of Scence and Engneerng, Vol. 9, No 1, pp. 19 23 (2006) 19 Economc Desgn of Short-Run CSP-1 Plan Under Lnear Inspecton Cost Chung-Ho Chen 1 * and Chao-Yu Chou 2 1 Department of Industral

More information

Random Variables. b 2.

Random Variables. b 2. Random Varables Generally the object of an nvestgators nterest s not necessarly the acton n the sample space but rather some functon of t. Techncally a real valued functon or mappng whose doman s the sample

More information

/ Computational Genomics. Normalization

/ Computational Genomics. Normalization 0-80 /02-70 Computatonal Genomcs Normalzaton Gene Expresson Analyss Model Computatonal nformaton fuson Bologcal regulatory networks Pattern Recognton Data Analyss clusterng, classfcaton normalzaton, mss.

More information

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique.

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique. 1.7.4 Mode Mode s the value whch occurs most frequency. The mode may not exst, and even f t does, t may not be unque. For ungrouped data, we smply count the largest frequency of the gven value. If all

More information

Power of t-test for Simple Linear Regression Model with Non-normal Error Distribution: A Quantile Function Distribution Approach

Power of t-test for Simple Linear Regression Model with Non-normal Error Distribution: A Quantile Function Distribution Approach Available Online Publications J. Sci. Res. 4 (3), 609-622 (2012) JOURNAL OF SCIENTIFIC RESEARCH www.banglajol.info/index.php/jsr of t-test for Simple Linear Regression Model with Non-normal Error Distribution:

More information

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis Appled Mathematcal Scences, Vol. 7, 013, no. 99, 4909-4918 HIKARI Ltd, www.m-hkar.com http://dx.do.org/10.1988/ams.013.37366 Interval Estmaton for a Lnear Functon of Varances of Nonnormal Dstrbutons that

More information

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect Transport and Road Safety (TARS) Research Joanna Wang A Comparson of Statstcal Methods n Interrupted Tme Seres Analyss to Estmate an Interventon Effect Research Fellow at Transport & Road Safety (TARS)

More information

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan Spatal Varatons n Covarates on Marrage and Martal Fertlty: Geographcally Weghted Regresson Analyses n Japan Kenj Kamata (Natonal Insttute of Populaton and Socal Securty Research) Abstract (134) To understand

More information

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics Lmted Dependent Varable Models: Tobt an Plla N 1 CDS Mphl Econometrcs Introducton Lmted Dependent Varable Models: Truncaton and Censorng Maddala, G. 1983. Lmted Dependent and Qualtatve Varables n Econometrcs.

More information

International ejournals

International ejournals Avalable onlne at www.nternatonalejournals.com ISSN 0976 1411 Internatonal ejournals Internatonal ejournal of Mathematcs and Engneerng 7 (010) 86-95 MODELING AND PREDICTING URBAN MALE POPULATION OF BANGLADESH:

More information

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE)

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE) ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE) May 17, 2016 15:30 Frst famly name: Name: DNI/ID: Moble: Second famly Name: GECO/GADE: Instructor: E-mal: Queston 1 A B C Blank Queston 2 A B C Blank Queston

More information

A Bootstrap Confidence Limit for Process Capability Indices

A Bootstrap Confidence Limit for Process Capability Indices A ootstrap Confdence Lmt for Process Capablty Indces YANG Janfeng School of usness, Zhengzhou Unversty, P.R.Chna, 450001 Abstract The process capablty ndces are wdely used by qualty professonals as an

More information

Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator.

Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator. UNIVERSITY OF EAST ANGLIA School of Economcs Man Seres PG Examnaton 2016-17 BANKING ECONOMETRICS ECO-7014A Tme allowed: 2 HOURS Answer ALL FOUR questons. Queston 1 carres a weght of 30%; queston 2 carres

More information

σ may be counterbalanced by a larger

σ may be counterbalanced by a larger Questons CHAPTER 5: TWO-VARIABLE REGRESSION: INTERVAL ESTIMATION AND HYPOTHESIS TESTING 5.1 (a) True. The t test s based on varables wth a normal dstrbuton. Snce the estmators of β 1 and β are lnear combnatons

More information

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode.

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode. Part 4 Measures of Spread IQR and Devaton In Part we learned how the three measures of center offer dfferent ways of provdng us wth a sngle representatve value for a data set. However, consder the followng

More information

Module Contact: Dr P Moffatt, ECO Copyright of the University of East Anglia Version 2

Module Contact: Dr P Moffatt, ECO Copyright of the University of East Anglia Version 2 UNIVERSITY OF EAST ANGLIA School of Economcs Man Seres PG Examnaton 2012-13 FINANCIAL ECONOMETRICS ECO-M017 Tme allowed: 2 hours Answer ALL FOUR questons. Queston 1 carres a weght of 25%; Queston 2 carres

More information

Testing for Omitted Variables

Testing for Omitted Variables Testng for Omtted Varables Jeroen Weese Department of Socology Unversty of Utrecht The Netherlands emal J.weese@fss.uu.nl tel +31 30 2531922 fax+31 30 2534405 Prepared for North Amercan Stata users meetng

More information

Chapter 3 Descriptive Statistics: Numerical Measures Part B

Chapter 3 Descriptive Statistics: Numerical Measures Part B Sldes Prepared by JOHN S. LOUCKS St. Edward s Unversty Slde 1 Chapter 3 Descrptve Statstcs: Numercal Measures Part B Measures of Dstrbuton Shape, Relatve Locaton, and Detectng Outlers Eploratory Data Analyss

More information

occurrence of a larger storm than our culvert or bridge is barely capable of handling? (what is The main question is: What is the possibility of

occurrence of a larger storm than our culvert or bridge is barely capable of handling? (what is The main question is: What is the possibility of Module 8: Probablty and Statstcal Methods n Water Resources Engneerng Bob Ptt Unversty of Alabama Tuscaloosa, AL Flow data are avalable from numerous USGS operated flow recordng statons. Data s usually

More information

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations Addendum to NOTE 4 Samplng Dstrbutons of OLS Estmators of β and β Monte Carlo Smulatons The True Model: s gven by the populaton regresson equaton (PRE) Y = β + β X + u = 7. +.9X + u () where β = 7. and

More information

Linear Combinations of Random Variables and Sampling (100 points)

Linear Combinations of Random Variables and Sampling (100 points) Economcs 30330: Statstcs for Economcs Problem Set 6 Unversty of Notre Dame Instructor: Julo Garín Sprng 2012 Lnear Combnatons of Random Varables and Samplng 100 ponts 1. Four-part problem. Go get some

More information

4. Greek Letters, Value-at-Risk

4. Greek Letters, Value-at-Risk 4 Greek Letters, Value-at-Rsk 4 Value-at-Rsk (Hull s, Chapter 8) Math443 W08, HM Zhu Outlne (Hull, Chap 8) What s Value at Rsk (VaR)? Hstorcal smulatons Monte Carlo smulatons Model based approach Varance-covarance

More information

Analysis of Variance and Design of Experiments-II

Analysis of Variance and Design of Experiments-II Analyss of Varance and Desgn of Experments-II MODULE VI LECTURE - 4 SPLIT-PLOT AND STRIP-PLOT DESIGNS Dr. Shalabh Department of Mathematcs & Statstcs Indan Insttute of Technology Kanpur An example to motvate

More information

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison ISyE 512 hapter 9 USUM and EWMA ontrol harts Instructor: Prof. Kabo Lu Department of Industral and Systems Engneerng UW-Madson Emal: klu8@wsc.edu Offce: Room 317 (Mechancal Engneerng Buldng) ISyE 512 Instructor:

More information

Information Flow and Recovering the. Estimating the Moments of. Normality of Asset Returns

Information Flow and Recovering the. Estimating the Moments of. Normality of Asset Returns Estmatng the Moments of Informaton Flow and Recoverng the Normalty of Asset Returns Ané and Geman (Journal of Fnance, 2000) Revsted Anthony Murphy, Nuffeld College, Oxford Marwan Izzeldn, Unversty of Lecester

More information

Simple Regression Theory II 2010 Samuel L. Baker

Simple Regression Theory II 2010 Samuel L. Baker SIMPLE REGRESSIO THEORY II Smple Regresson Theory II 00 Samuel L. Baker Assessng how good the regresson equaton s lkely to be Assgnment A gets nto drawng nferences about how close the regresson lne mght

More information

- contrast so-called first-best outcome of Lindahl equilibrium with case of private provision through voluntary contributions of households

- contrast so-called first-best outcome of Lindahl equilibrium with case of private provision through voluntary contributions of households Prvate Provson - contrast so-called frst-best outcome of Lndahl equlbrum wth case of prvate provson through voluntary contrbutons of households - need to make an assumpton about how each household expects

More information

Graphical Methods for Survival Distribution Fitting

Graphical Methods for Survival Distribution Fitting Graphcal Methods for Survval Dstrbuton Fttng In ths Chapter we dscuss the followng two graphcal methods for survval dstrbuton fttng: 1. Probablty Plot, 2. Cox-Snell Resdual Method. Probablty Plot: The

More information

Tests for Two Ordered Categorical Variables

Tests for Two Ordered Categorical Variables Chapter 253 Tests for Two Ordered Categorcal Varables Introducton Ths module computes power and sample sze for tests of ordered categorcal data such as Lkert scale data. Assumng proportonal odds, such

More information

Understanding price volatility in electricity markets

Understanding price volatility in electricity markets Proceedngs of the 33rd Hawa Internatonal Conference on System Scences - 2 Understandng prce volatlty n electrcty markets Fernando L. Alvarado, The Unversty of Wsconsn Rajesh Rajaraman, Chrstensen Assocates

More information

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers II. Random Varables Random varables operate n much the same way as the outcomes or events n some arbtrary sample space the dstncton s that random varables are smply outcomes that are represented numercally.

More information

Bootstrap and Permutation tests in ANOVA for directional data

Bootstrap and Permutation tests in ANOVA for directional data strap and utaton tests n ANOVA for drectonal data Adelade Fgueredo Faculty of Economcs of Unversty of Porto and LIAAD-INESC TEC Porto - PORTUGAL Abstract. The problem of testng the null hypothess of a

More information

Evaluating Performance

Evaluating Performance 5 Chapter Evaluatng Performance In Ths Chapter Dollar-Weghted Rate of Return Tme-Weghted Rate of Return Income Rate of Return Prncpal Rate of Return Daly Returns MPT Statstcs 5- Measurng Rates of Return

More information

Chapter 3 Student Lecture Notes 3-1

Chapter 3 Student Lecture Notes 3-1 Chapter 3 Student Lecture otes 3-1 Busness Statstcs: A Decson-Makng Approach 6 th Edton Chapter 3 Descrbng Data Usng umercal Measures 005 Prentce-Hall, Inc. Chap 3-1 Chapter Goals After completng ths chapter,

More information

Market Opening and Stock Market Behavior: Taiwan s Experience

Market Opening and Stock Market Behavior: Taiwan s Experience Internatonal Journal of Busness and Economcs, 00, Vol., No., 9-5 Maret Openng and Stoc Maret Behavor: Tawan s Experence Q L * Department of Economcs, Texas A&M Unversty, U.S.A. and Department of Economcs,

More information

Capability Analysis. Chapter 255. Introduction. Capability Analysis

Capability Analysis. Chapter 255. Introduction. Capability Analysis Chapter 55 Introducton Ths procedure summarzes the performance of a process based on user-specfed specfcaton lmts. The observed performance as well as the performance relatve to the Normal dstrbuton are

More information

Calibration Methods: Regression & Correlation. Calibration Methods: Regression & Correlation

Calibration Methods: Regression & Correlation. Calibration Methods: Regression & Correlation Calbraton Methods: Regresson & Correlaton Calbraton A seres of standards run (n replcate fashon) over a gven concentraton range. Standards Comprsed of analte(s) of nterest n a gven matr composton. Matr

More information

Elements of Economic Analysis II Lecture VI: Industry Supply

Elements of Economic Analysis II Lecture VI: Industry Supply Elements of Economc Analyss II Lecture VI: Industry Supply Ka Hao Yang 10/12/2017 In the prevous lecture, we analyzed the frm s supply decson usng a set of smple graphcal analyses. In fact, the dscusson

More information

Risk and Return: The Security Markets Line

Risk and Return: The Security Markets Line FIN 614 Rsk and Return 3: Markets Professor Robert B.H. Hauswald Kogod School of Busness, AU 1/25/2011 Rsk and Return: Markets Robert B.H. Hauswald 1 Rsk and Return: The Securty Markets Lne From securtes

More information

ASSESSING GOODNESS OF FIT OF GENERALIZED LINEAR MODELS TO SPARSE DATA USING HIGHER ORDER MOMENT CORRECTIONS

ASSESSING GOODNESS OF FIT OF GENERALIZED LINEAR MODELS TO SPARSE DATA USING HIGHER ORDER MOMENT CORRECTIONS ASSESSING GOODNESS OF FIT OF GENERALIZED LINEAR MODELS TO SPARSE DATA USING HIGHER ORDER MOMENT CORRECTIONS S. R. PAUL Department of Mathematcs & Statstcs, Unversty of Wndsor, Wndsor, ON N9B 3P4, Canada

More information

Technological inefficiency and the skewness of the error component in stochastic frontier analysis

Technological inefficiency and the skewness of the error component in stochastic frontier analysis Economcs Letters 77 (00) 101 107 www.elsever.com/ locate/ econbase Technologcal neffcency and the skewness of the error component n stochastc fronter analyss Martn A. Carree a,b, * a Erasmus Unversty Rotterdam,

More information

3: Central Limit Theorem, Systematic Errors

3: Central Limit Theorem, Systematic Errors 3: Central Lmt Theorem, Systematc Errors 1 Errors 1.1 Central Lmt Theorem Ths theorem s of prme mportance when measurng physcal quanttes because usually the mperfectons n the measurements are due to several

More information

Comparison of Singular Spectrum Analysis and ARIMA

Comparison of Singular Spectrum Analysis and ARIMA Int. Statstcal Inst.: Proc. 58th World Statstcal Congress, 0, Dubln (Sesson CPS009) p.99 Comparson of Sngular Spectrum Analss and ARIMA Models Zokae, Mohammad Shahd Behesht Unverst, Department of Statstcs

More information

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions.

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions. Unversty of Washngton Summer 2001 Department of Economcs Erc Zvot Economcs 483 Mdterm Exam Ths s a closed book and closed note exam. However, you are allowed one page of handwrtten notes. Answer all questons

More information

arxiv: v1 [q-fin.pm] 13 Feb 2018

arxiv: v1 [q-fin.pm] 13 Feb 2018 WHAT IS THE SHARPE RATIO, AND HOW CAN EVERYONE GET IT WRONG? arxv:1802.04413v1 [q-fn.pm] 13 Feb 2018 IGOR RIVIN Abstract. The Sharpe rato s the most wdely used rsk metrc n the quanttatve fnance communty

More information

Privatization and government preference in an international Cournot triopoly

Privatization and government preference in an international Cournot triopoly Fernanda A Ferrera Flávo Ferrera Prvatzaton and government preference n an nternatonal Cournot tropoly FERNANDA A FERREIRA and FLÁVIO FERREIRA Appled Management Research Unt (UNIAG School of Hosptalty

More information

Price and Quantity Competition Revisited. Abstract

Price and Quantity Competition Revisited. Abstract rce and uantty Competton Revsted X. Henry Wang Unversty of Mssour - Columba Abstract By enlargng the parameter space orgnally consdered by Sngh and Vves (984 to allow for a wder range of cost asymmetry,

More information

Appendix - Normally Distributed Admissible Choices are Optimal

Appendix - Normally Distributed Admissible Choices are Optimal Appendx - Normally Dstrbuted Admssble Choces are Optmal James N. Bodurtha, Jr. McDonough School of Busness Georgetown Unversty and Q Shen Stafford Partners Aprl 994 latest revson September 00 Abstract

More information

Alternatives to Shewhart Charts

Alternatives to Shewhart Charts Alternatves to Shewhart Charts CUSUM & EWMA S Wongsa Overvew Revstng Shewhart Control Charts Cumulatve Sum (CUSUM) Control Chart Eponentally Weghted Movng Average (EWMA) Control Chart 2 Revstng Shewhart

More information

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates Secton on Survey Research Methods An Applcaton of Alternatve Weghtng Matrx Collapsng Approaches for Improvng Sample Estmates Lnda Tompkns 1, Jay J. Km 2 1 Centers for Dsease Control and Preventon, atonal

More information

THE VOLATILITY OF EQUITY MUTUAL FUND RETURNS

THE VOLATILITY OF EQUITY MUTUAL FUND RETURNS North Amercan Journal of Fnance and Bankng Research Vol. 4. No. 4. 010. THE VOLATILITY OF EQUITY MUTUAL FUND RETURNS Central Connectcut State Unversty, USA. E-mal: BelloZ@mal.ccsu.edu ABSTRACT I nvestgated

More information

Maximum Likelihood Estimation of Isotonic Normal Means with Unknown Variances*

Maximum Likelihood Estimation of Isotonic Normal Means with Unknown Variances* Journal of Multvarate Analyss 64, 183195 (1998) Artcle No. MV971717 Maxmum Lelhood Estmaton of Isotonc Normal Means wth Unnown Varances* Nng-Zhong Sh and Hua Jang Northeast Normal Unversty, Changchun,Chna

More information

SPATIAL ANALISIS OF EFFECT OF GOVERNMENT EXPENDITURES ON ECONOMIC GROWTH

SPATIAL ANALISIS OF EFFECT OF GOVERNMENT EXPENDITURES ON ECONOMIC GROWTH Karjoo Z., Samet M., Regonal Scence Inqury, Vol. VII, (1), 2015, pp. 47-54 47 SPATIAL ANALISIS OF EFFECT OF GOVERNMENT EXPENDITURES ON ECONOMIC GROWTH Zba KARJOO MA student of economcs, Department of Economcs,

More information

Multifactor Term Structure Models

Multifactor Term Structure Models 1 Multfactor Term Structure Models A. Lmtatons of One-Factor Models 1. Returns on bonds of all maturtes are perfectly correlated. 2. Term structure (and prces of every other dervatves) are unquely determned

More information

Chapter 5 Student Lecture Notes 5-1

Chapter 5 Student Lecture Notes 5-1 Chapter 5 Student Lecture Notes 5-1 Basc Busness Statstcs (9 th Edton) Chapter 5 Some Important Dscrete Probablty Dstrbutons 004 Prentce-Hall, Inc. Chap 5-1 Chapter Topcs The Probablty Dstrbuton of a Dscrete

More information

Optimization in portfolio using maximum downside deviation stochastic programming model

Optimization in portfolio using maximum downside deviation stochastic programming model Avalable onlne at www.pelagaresearchlbrary.com Advances n Appled Scence Research, 2010, 1 (1): 1-8 Optmzaton n portfolo usng maxmum downsde devaton stochastc programmng model Khlpah Ibrahm, Anton Abdulbasah

More information

Cracking VAR with kernels

Cracking VAR with kernels CUTTIG EDGE. PORTFOLIO RISK AALYSIS Crackng VAR wth kernels Value-at-rsk analyss has become a key measure of portfolo rsk n recent years, but how can we calculate the contrbuton of some portfolo component?

More information

Introduction. Why One-Pass Statistics?

Introduction. Why One-Pass Statistics? BERKELE RESEARCH GROUP Ths manuscrpt s program documentaton for three ways to calculate the mean, varance, skewness, kurtoss, covarance, correlaton, regresson parameters and other regresson statstcs. Although

More information

A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME

A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME Vesna Radonć Đogatovć, Valentna Radočć Unversty of Belgrade Faculty of Transport and Traffc Engneerng Belgrade, Serba

More information

The Analysis of Net Position Development and the Comparison with GDP Development for Selected Countries of European Union

The Analysis of Net Position Development and the Comparison with GDP Development for Selected Countries of European Union The Analyss of Net Poston Development and the Comparson wth GDP Development for Selected Countres of European Unon JAROSLAV KOVÁRNÍK Faculty of Informatcs and Management, Department of Economcs Unversty

More information

THE RELATIONSHIP BETWEEN AVERAGE ASSET CORRELATION AND DEFAULT PROBABILITY

THE RELATIONSHIP BETWEEN AVERAGE ASSET CORRELATION AND DEFAULT PROBABILITY JULY 22, 2009 THE RELATIONSHIP BETWEEN AVERAGE ASSET CORRELATION AND DEFAULT PROBABILITY AUTHORS Joseph Lee Joy Wang Jng Zhang ABSTRACT Asset correlaton and default probablty are crtcal drvers n modelng

More information

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model TU Braunschweg - Insttut für Wrtschaftswssenschaften Lehrstuhl Fnanzwrtschaft Maturty Effect on Rsk Measure n a Ratngs-Based Default-Mode Model Marc Gürtler and Drk Hethecker Fnancal Modellng Workshop

More information

A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR

A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR Journal of Fnancal Rsk Management, 5, 4, 7-8 Publshed Onlne 5 n ScRes. http://www.scrp.org/journal/jfrm http://dx.do.org/.436/jfrm.5.47 A Comparatve Study of Mean-Varance and Mean Gn Portfolo Selecton

More information

Available online: 20 Dec 2011

Available online: 20 Dec 2011 Ths artcle was downloaded by: [UVA Unverstetsbblotheek SZ] On: 16 May 212, At: 6:32 Publsher: Taylor & Francs Informa Ltd Regstered n England and Wales Regstered Number: 172954 Regstered offce: Mortmer

More information

UNIVERSITY OF VICTORIA Midterm June 6, 2018 Solutions

UNIVERSITY OF VICTORIA Midterm June 6, 2018 Solutions UIVERSITY OF VICTORIA Mdterm June 6, 08 Solutons Econ 45 Summer A0 08 age AME: STUDET UMBER: V00 Course ame & o. Descrptve Statstcs and robablty Economcs 45 Secton(s) A0 CR: 3067 Instructor: Betty Johnson

More information

Performance of the FGS3SLS Estimator in Small Samples: A Monte Carlo Study

Performance of the FGS3SLS Estimator in Small Samples: A Monte Carlo Study The Regonal Economcs Applcatons Laboratory (REAL) s a unt n the Unversty of Illnos focusng on the development and use of analytcal models for urban and regon economc development. The purpose of the Dscusson

More information

PASS Sample Size Software. :log

PASS Sample Size Software. :log PASS Sample Sze Software Chapter 70 Probt Analyss Introducton Probt and lot analyss may be used for comparatve LD 50 studes for testn the effcacy of drus desned to prevent lethalty. Ths proram module presents

More information

Network Analytics in Finance

Network Analytics in Finance Network Analytcs n Fnance Prof. Dr. Danng Hu Department of Informatcs Unversty of Zurch Nov 14th, 2014 Outlne Introducton: Network Analytcs n Fnance Stock Correlaton Networks Stock Ownershp Networks Board

More information

Natural Resources Data Analysis Lecture Notes Brian R. Mitchell. IV. Week 4: A. Goodness of fit testing

Natural Resources Data Analysis Lecture Notes Brian R. Mitchell. IV. Week 4: A. Goodness of fit testing Natural Resources Data Analyss Lecture Notes Bran R. Mtchell IV. Week 4: A. Goodness of ft testng 1. We test model goodness of ft to ensure that the assumptons of the model are met closely enough for the

More information

15-451/651: Design & Analysis of Algorithms January 22, 2019 Lecture #3: Amortized Analysis last changed: January 18, 2019

15-451/651: Design & Analysis of Algorithms January 22, 2019 Lecture #3: Amortized Analysis last changed: January 18, 2019 5-45/65: Desgn & Analyss of Algorthms January, 09 Lecture #3: Amortzed Analyss last changed: January 8, 09 Introducton In ths lecture we dscuss a useful form of analyss, called amortzed analyss, for problems

More information

OPERATIONS RESEARCH. Game Theory

OPERATIONS RESEARCH. Game Theory OPERATIONS RESEARCH Chapter 2 Game Theory Prof. Bbhas C. Gr Department of Mathematcs Jadavpur Unversty Kolkata, Inda Emal: bcgr.umath@gmal.com 1.0 Introducton Game theory was developed for decson makng

More information

Copyright 2017 by Taylor Enterprises, Inc., All Rights Reserved. Dr. Wayne A. Taylor

Copyright 2017 by Taylor Enterprises, Inc., All Rights Reserved. Dr. Wayne A. Taylor Taylor Enterprses, Inc. ormalzed Indvduals (I ) Chart Copyrght 07 by Taylor Enterprses, Inc., All Rghts Reserved. ormalzed Indvduals (I) Control Chart Dr. Wayne A. Taylor Abstract: The only commonly used

More information

Correlations and Copulas

Correlations and Copulas Correlatons and Copulas Chapter 9 Rsk Management and Fnancal Insttutons, Chapter 6, Copyrght John C. Hull 2006 6. Coeffcent of Correlaton The coeffcent of correlaton between two varables V and V 2 s defned

More information

Monetary Tightening Cycles and the Predictability of Economic Activity. by Tobias Adrian and Arturo Estrella * October 2006.

Monetary Tightening Cycles and the Predictability of Economic Activity. by Tobias Adrian and Arturo Estrella * October 2006. Monetary Tghtenng Cycles and the Predctablty of Economc Actvty by Tobas Adran and Arturo Estrella * October 2006 Abstract Ten out of thrteen monetary tghtenng cycles snce 1955 were followed by ncreases

More information

Self-controlled case series analyses: small sample performance

Self-controlled case series analyses: small sample performance Self-controlled case seres analyses: small sample performance Patrck Musonda 1, Mouna N. Hocne 1,2, Heather J. Whtaker 1 and C. Paddy Farrngton 1 * 1 The Open Unversty, Mlton Keynes, MK7 6AA, UK 2 INSERM

More information

Data Mining Linear and Logistic Regression

Data Mining Linear and Logistic Regression 07/02/207 Data Mnng Lnear and Logstc Regresson Mchael L of 26 Regresson In statstcal modellng, regresson analyss s a statstcal process for estmatng the relatonshps among varables. Regresson models are

More information

OCR Statistics 1 Working with data. Section 2: Measures of location

OCR Statistics 1 Working with data. Section 2: Measures of location OCR Statstcs 1 Workng wth data Secton 2: Measures of locaton Notes and Examples These notes have sub-sectons on: The medan Estmatng the medan from grouped data The mean Estmatng the mean from grouped data

More information

Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests

Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests Condtonal Beta Captal Asset Prcng Model (CAPM) and Duraton Dependence Tests By Davd E. Allen 1 and Imbarne Bujang 1 1 School of Accountng, Fnance and Economcs, Edth Cowan Unversty School of Accountng,

More information

Discounted Cash Flow (DCF) Analysis: What s Wrong With It And How To Fix It

Discounted Cash Flow (DCF) Analysis: What s Wrong With It And How To Fix It Dscounted Cash Flow (DCF Analyss: What s Wrong Wth It And How To Fx It Arturo Cfuentes (* CREM Facultad de Economa y Negocos Unversdad de Chle June 2014 (* Jont effort wth Francsco Hawas; Depto. de Ingenera

More information

Introduction. Chapter 7 - An Introduction to Portfolio Management

Introduction. Chapter 7 - An Introduction to Portfolio Management Introducton In the next three chapters, we wll examne dfferent aspects of captal market theory, ncludng: Brngng rsk and return nto the pcture of nvestment management Markowtz optmzaton Modelng rsk and

More information

Financial Risk Management in Portfolio Optimization with Lower Partial Moment

Financial Risk Management in Portfolio Optimization with Lower Partial Moment Amercan Journal of Busness and Socety Vol., o., 26, pp. 2-2 http://www.ascence.org/journal/ajbs Fnancal Rsk Management n Portfolo Optmzaton wth Lower Partal Moment Lam Weng Sew, 2, *, Lam Weng Hoe, 2 Department

More information

CHAPTER 3: BAYESIAN DECISION THEORY

CHAPTER 3: BAYESIAN DECISION THEORY CHATER 3: BAYESIAN DECISION THEORY Decson makng under uncertanty 3 rogrammng computers to make nference from data requres nterdscplnary knowledge from statstcs and computer scence Knowledge of statstcs

More information

Creating a zero coupon curve by bootstrapping with cubic splines.

Creating a zero coupon curve by bootstrapping with cubic splines. MMA 708 Analytcal Fnance II Creatng a zero coupon curve by bootstrappng wth cubc splnes. erg Gryshkevych Professor: Jan R. M. Röman 0.2.200 Dvson of Appled Mathematcs chool of Educaton, Culture and Communcaton

More information

Skewness and kurtosis unbiased by Gaussian uncertainties

Skewness and kurtosis unbiased by Gaussian uncertainties Skewness and kurtoss unbased by Gaussan uncertantes Lorenzo Rmoldn Observatore astronomque de l Unversté de Genève, chemn des Mallettes 5, CH-9 Versox, Swtzerland ISDC Data Centre for Astrophyscs, Unversté

More information

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics Spurous Seasonal Patterns and Excess Smoothness n the BLS Local Area Unemployment Statstcs Keth R. Phllps and Janguo Wang Federal Reserve Bank of Dallas Research Department Workng Paper 1305 September

More information

COS 511: Theoretical Machine Learning. Lecturer: Rob Schapire Lecture #21 Scribe: Lawrence Diao April 23, 2013

COS 511: Theoretical Machine Learning. Lecturer: Rob Schapire Lecture #21 Scribe: Lawrence Diao April 23, 2013 COS 511: Theoretcal Machne Learnng Lecturer: Rob Schapre Lecture #21 Scrbe: Lawrence Dao Aprl 23, 2013 1 On-Lne Log Loss To recap the end of the last lecture, we have the followng on-lne problem wth N

More information

Conditional beta capital asset pricing model (CAPM) and duration dependence tests

Conditional beta capital asset pricing model (CAPM) and duration dependence tests Edth Cowan Unversty Research Onlne ECU Publcatons Pre. 2011 2009 Condtonal beta captal asset prcng model (CAPM) and duraton dependence tests Davd E. Allen Edth Cowan Unversty Imbarne Bujang Edth Cowan

More information

Efficient Sensitivity-Based Capacitance Modeling for Systematic and Random Geometric Variations

Efficient Sensitivity-Based Capacitance Modeling for Systematic and Random Geometric Variations Effcent Senstvty-Based Capactance Modelng for Systematc and Random Geometrc Varatons 16 th Asa and South Pacfc Desgn Automaton Conference Nck van der Mejs CAS, Delft Unversty of Technology, Netherlands

More information

The Integration of the Israel Labour Force Survey with the National Insurance File

The Integration of the Israel Labour Force Survey with the National Insurance File The Integraton of the Israel Labour Force Survey wth the Natonal Insurance Fle Natale SHLOMO Central Bureau of Statstcs Kanfey Nesharm St. 66, corner of Bach Street, Jerusalem Natales@cbs.gov.l Abstact:

More information

On the Least Absolute Deviations Method for Ridge Estimation of SURE Models

On the Least Absolute Deviations Method for Ridge Estimation of SURE Models On the Least Absolute Devatons Method for Rdge Estmaton of SURE Models By Zangn Zeebar 1 & Ghaz Shukur 1, 1 Department of Economcs, Fnance and Statstcs, Jönköpng Internatonal Busness School, Sweden Department

More information

Basket options and implied correlations: a closed form approach

Basket options and implied correlations: a closed form approach Basket optons and mpled correlatons: a closed form approach Svetlana Borovkova Free Unversty of Amsterdam CFC conference, London, January 7-8, 007 Basket opton: opton whose underlyng s a basket (.e. a

More information

Global sensitivity analysis of credit risk portfolios

Global sensitivity analysis of credit risk portfolios Global senstvty analyss of credt rsk portfolos D. Baur, J. Carbon & F. Campolongo European Commsson, Jont Research Centre, Italy Abstract Ths paper proposes the use of global senstvty analyss to evaluate

More information

Cyclic Scheduling in a Job shop with Multiple Assembly Firms

Cyclic Scheduling in a Job shop with Multiple Assembly Firms Proceedngs of the 0 Internatonal Conference on Industral Engneerng and Operatons Management Kuala Lumpur, Malaysa, January 4, 0 Cyclc Schedulng n a Job shop wth Multple Assembly Frms Tetsuya Kana and Koch

More information

Algorithm For The Techno-Economic Optimization Applied In Projects Of Wind Parks Of Latin America.

Algorithm For The Techno-Economic Optimization Applied In Projects Of Wind Parks Of Latin America. IOSR Journal of Mechancal and Cvl Engneerng (IOSR-JMCE) e-issn: 2278-1684,p-ISSN: 2320-334X, Volume 13, Issue 4 Ver. VI (Jul. - Aug. 2016), PP 60-65 www.osrjournals.org Algorthm For The Techno-Economc

More information

EDC Introduction

EDC Introduction .0 Introducton EDC3 In the last set of notes (EDC), we saw how to use penalty factors n solvng the EDC problem wth losses. In ths set of notes, we want to address two closely related ssues. What are, exactly,

More information

A Set of new Stochastic Trend Models

A Set of new Stochastic Trend Models A Set of new Stochastc Trend Models Johannes Schupp Longevty 13, Tape, 21 th -22 th September 2017 www.fa-ulm.de Introducton Uncertanty about the evoluton of mortalty Measure longevty rsk n penson or annuty

More information