scholarly journals Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Martin M. Kithinji ◽  
Peter N. Mwita ◽  
Ananda O. Kube
Keyword(s):  
Value At Risk ◽  
Mean Squared Error ◽  
Conditional Value At Risk ◽  
Conditional Quantile ◽  
Squared Error ◽  
Quantile Autoregression ◽  
Simulation Results ◽  
The One ◽  
Conditional Quantile Estimator ◽  
Extreme Conditional Quantile

In this paper, we propose an extreme conditional quantile estimator. Derivation of the estimator is based on extreme quantile autoregression. A noncrossing restriction is added during estimation to avert possible quantile crossing. Consistency of the estimator is derived, and simulation results to support its validity are also presented. Using Average Root Mean Squared Error (ARMSE), we compare the performance of our estimator with the performances of two existing extreme conditional quantile estimators. Backtest results of the one-day-ahead conditional Value at Risk forecasts are also given.

Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable

1993 ◽  
Vol 9 (1) ◽  
pp. 62-80 ◽  
Author(s):  
Jan F. Kiviet ◽  
Garry D.A. Phillips
Keyword(s):  
Least Squares ◽  
Mean Squared Error ◽  
Multiple Linear Regression Model ◽  
Small Sample ◽  
Large Sample ◽  
Squared Error ◽  
Coefficient Vector ◽  
Lagged Dependent Variable ◽  
Biased Estimators ◽  
The One

The small sample bias of the least-squares coefficient estimator is examined in the dynamic multiple linear regression model with normally distributed whitenoise disturbances and an arbitrary number of regressors which are all exogenous except for the one-period lagged-dependent variable. We employ large sample (T → ∞) and small disturbance (σ → 0) asymptotic theory and derive and compare expressions to O(T−1) and to O(σ2), respectively, for the bias in the least-squares coefficient vector. In some simulations and for an empirical example, we examine the mean (squared) error of these expressions and of corrected estimation procedures that yield estimates that are unbiased to O(T−l) and to O(σ2), respectively. The large sample approach proves to be superior, easily applicable, and capable of generating more efficient and less biased estimators.

scholarly journals THE EFFECT OF OPENING TYPE ON THERMAL CONVENIENCE OF THE OLD AND NEW BUILDING CLASSROOM

2019 ◽  
Vol 24 (2) ◽  
pp. 75-87
Author(s):  
Ali Anton Senoaji ◽  
Arif Kusumawanto ◽  
Sentagi Sesotya Utami
Keyword(s):  
Wind Speed ◽  
Air Temperature ◽  
Mean Squared Error ◽  
Comparative Method ◽  
Field Measurements ◽  
Root Mean Squared Error ◽  
Wind Speeds ◽  
Squared Error ◽  
Simulation Results ◽  
New Buildings

This study was aimed at analyzing the effect of opening type on the thermal convenience of classrooms in old and new buildings at SMK Negeri 3 Yogyakarta. This study used a qualitative comparative method and the simulation of IES VE 2018. The field air measurement is carried out at 10 measurement points and 5 measurement points in each class, with a height of 1.5 m. Field measurements were carried out in March 2019, at 06.30-16.30 WIB. The parameters used in the study were air temperature, humidity and wind speed. Air temperature and humidity were measured using a Thermo hygrometer. Wind speed was measured using an anemometer. The data collection method is carried out by observation and measurement. Root Mean Squared Error (RMSE) was used to validate the data. The results show the best thermal convenience of the classroom was obtained during the simulation using the type of Windows Awning, with a full aperture area. Simulation results show a comfortable distribution of airflow in the classroom at wind speeds above 0.15-0.28 m/sec, Temperature 25.07-27.10oC.PENGARUH TIPE BUKAAN TERHADAP KENYAMANAN TERMAL RUANG KELAS BANGUNAN LAMA DAN BARU Tujuan dari penelitian yaitu menganalisis pengaruh bukaan terhadap kenyamanan termal ruang kelas pada bangunan lama dan baru, di SMK Negeri 3 Yogyakarta. Penelitian ini menggunakan metode komparatif kualitatif yaitu dan hasil simulasi IES VE 2018. Pengukuran udara luar dilakukan pada 10 titik pengukuran dan sebanyak 5 titik pengukuran disetiap kelasnya, dengan ketinggian 1,5 m. Pengukuran lapangan dilakukan pada bulan Maret tahun 2019, waktu 06.30-16.30 WIB. Parameter yang digunakan dalam penelitian yaitu temperatur udara, kelembaban dan kecepatan angin. Temperatur udara dan kelembaban diukur dengan menggunakan alat thermo hygrometer. Kecepatan angin diukur dengan menggunakan alat anemometer. Metode pengumpulan data dilakukan dengan metode pengamatan dan pengukuran. Validasi data menggunakan Root Mean Squared Error (RMSE). Hasil penelitian menunjukkan kenyamanan termal ruang kelas terbaik diperoleh pada saat simulasi menggunakan tipe bukaan ke atas atau Awning Windows, dengan area bukaan penuh. Hasil simulasi menunjukkan distribusi aliran udara yang nyaman di dalam ruang kelas pada kecepatan angin di atas 0,15-0,28 m/det, Temperatur 25,07 -27,10o C. 

scholarly journals Modified Robust Ridge M-Estimators in Two-Parameter Ridge Regression Model

2021 ◽  
Vol 2021 ◽  
pp. 1-24
Author(s):  
Seyab Yasin ◽  
Sultan Salem ◽  
Hamdi Ayed ◽  
Shahid Kamal ◽  
Muhammad Suhail ◽  
...  
Keyword(s):  
Ridge Regression ◽  
Mean Squared Error ◽  
Least Square ◽  
Ridge Estimator ◽  
Least Square Estimator ◽  
Squared Error ◽  
Joint Problem ◽  
Ridge Regression Estimator ◽  
Simulation Results ◽  
Two Parameter

The methods of two-parameter ridge and ordinary ridge regression are very sensitive to the presence of the joint problem of multicollinearity and outliers in the y-direction. To overcome this problem, modified robust ridge M-estimators are proposed. The new estimators are then compared with the existing ones by means of extensive Monte Carlo simulations. According to mean squared error (MSE) criterion, the new estimators outperform the least square estimator, ridge regression estimator, and two-parameter ridge estimator in many considered scenarios. Two numerical examples are also presented to illustrate the simulation results.

scholarly journals Two Different Classes of Shrinkage Estimators for the Scale Parameter of the Rayleigh Distribution

2021 ◽  
Vol 19 (1) ◽  
pp. 2-21
Author(s):  
Talha Omer ◽  
Zawar Hussain ◽  
Muhammad Qasim ◽  
Said Farooq Shah ◽  
Akbar Ali Khan
Keyword(s):  
Simulation Study ◽  
Mean Squared Error ◽  
Scale Parameter ◽  
Rayleigh Distribution ◽  
Shrinkage Estimators ◽  
Unbiased Estimators ◽  
Squared Error ◽  
The Mean ◽  
Simulation Results

Shrinkage estimators are introduced for the scale parameter of the Rayleigh distribution by using two different shrinkage techniques. The mean squared error properties of the proposed estimator have been derived. The comparison of proposed classes of the estimators is made with the respective conventional unbiased estimators by means of mean squared error in the simulation study. Simulation results show that the proposed shrinkage estimators yield smaller mean squared error than the existence of unbiased estimators.

scholarly journals Parameter Estimation of Photovoltaic Models via Cuckoo Search

2013 ◽  
Vol 2013 ◽  
pp. 1-8 ◽  
Author(s):  
Jieming Ma ◽  
T. O. Ting ◽  
Ka Lok Man ◽  
Nan Zhang ◽  
Sheng-Uei Guan ◽  
...  
Keyword(s):  
Parameter Estimation ◽  
Mean Squared Error ◽  
Estimation Method ◽  
Cuckoo Search ◽  
High Accuracy ◽  
Flight Behavior ◽  
Squared Error ◽  
Simulation Results ◽  
Bioinspired Algorithms ◽  
Significant Attention

Since conventional methods are incapable of estimating the parameters of Photovoltaic (PV) models with high accuracy, bioinspired algorithms have attracted significant attention in the last decade. Cuckoo Search (CS) is invented based on the inspiration of brood parasitic behavior of some cuckoo species in combination with the Lévy flight behavior. In this paper, a CS-based parameter estimation method is proposed to extract the parameters of single-diode models for commercial PV generators. Simulation results and experimental data show that the CS algorithm is capable of obtaining all the parameters with extremely high accuracy, depicted by a low Root-Mean-Squared-Error (RMSE) value. The proposed method outperforms other algorithms applied in this study.

Comparison of some annual forest inventory estimators

2002 ◽  
Vol 32 (11) ◽  
pp. 1992-1995 ◽  
Author(s):  
Paul C Van Deusen
Keyword(s):  
Forest Inventory ◽  
Mean Squared Error ◽  
Moving Average ◽  
Current Status ◽  
Quadratic Growth ◽  
Growth Trends ◽  
Squared Error ◽  
Mixed Estimator ◽  
The One ◽  
Panel Design

Three estimators of current status and trend are compared for an annual interpenetrating panel design. The five-panel annual inventory design is simulated over a 10-year period with flat, increasing, and quadratic growth trends. The simulated comparisons show that the mixed estimator performs well relative to the 5-year moving average in terms of bias and mean squared error in all cases. The one-panel mean can have less bias than the moving average when there is a trend, but it is more variable. The moving average tends to lag evolving trends, which can result in very large bias.

scholarly journals On the Statistical GARCH Model for Managing the Risk by Employing a Fat-Tailed Distribution in Finance

Symmetry ◽  
2020 ◽  
Vol 12 (10) ◽  
pp. 1698
Author(s):  
H. Viet Long ◽  
H. Bin Jebreen ◽  
I. Dassios ◽  
D. Baleanu
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Risk Measures ◽  
Garch Model ◽  
Extreme Value Distribution ◽  
Conditional Value At Risk ◽  
Conditional Heteroskedasticity ◽  
Explicit Formulas ◽  
Simulation Results ◽  
Daily Returns

The Conditional Value-at-Risk (CVaR) is a coherent measure that evaluates the risk for different investing scenarios. On the other hand, since the extreme value distribution has been revealed to furnish better financial and economical data adjustment in contrast to the well-known normal distribution, we here employ this distribution in investigating explicit formulas for the two common risk measures, i.e., VaR and CVaR, to have better tools in risk management. The formulas are then employed under the generalized autoregressive conditional heteroskedasticity (GARCH) model for risk management as our main contribution. To confirm the theoretical discussions of this work, the daily returns of several stocks are considered and worked out. The simulation results uphold the superiority of our findings.

Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models

2012 ◽  
Vol 4 (2) ◽  
Author(s):  
Gareth D. Liu-Evans ◽  
Garry D. A. Phillips
Keyword(s):  
Bias Correction ◽  
Mean Squared Error ◽  
Analytical Approximation ◽  
Higher Order ◽  
Autoregressive Models ◽  
Extreme Situation ◽  
Squared Error ◽  
Simulation Results ◽  
Analytical Correction ◽  
Jackknife Estimator

AbstractWe compare a number of bias-correction methodologies in terms of mean squared error and remaining bias, including the residual bootstrap, the relatively unexplored Quenouille jackknife, and methods based on analytical approximation of moments. We introduce a new higher-order jackknife estimator for the AR(1) with constant. Simulation results are presented for four different error structures, including GARCH. We include results for a relatively extreme situation where the errors are highly skewed and leptokurtic. It is argued that the bootstrap and analytical-correction (COLS) approaches are to be favoured overall, though the jackknife methods are the least biased. We find that COLS tends to have the lowest mean squared error, though the bootstrap also does well.

scholarly journals Ascertaining Time Series Predictability in Process Control – Case Study on Rainfall Prediction

2018 ◽  
Vol 203 ◽  
pp. 07002
Author(s):  
Chandrasekaran Sivapragasam ◽  
Poomalai Saravanan ◽  
Saminathan Balamurali ◽  
Nitin Muttil
Keyword(s):  
Time Series ◽  
Process Control ◽  
Hurst Exponent ◽  
Mean Squared Error ◽  
Rain Gauge ◽  
Natural Phenomenon ◽  
Rainfall Prediction ◽  
Squared Error ◽  
The One

Rainfall prediction is a challenging task due to its dependency on many natural phenomenon. Some authors used Hurst exponent as a predictability indicator to ensure predictability of the time series before prediction. In this paper, a detailed analysis has been done to ascertain whether a definite relation exists between a strong Hurst exponent and predictability. The one-lead monthly rainfall prediction has been done for 19 rain gauge station of the Yarra river basin in Victoria, Australia using Artificial Neural Network. The prediction error in terms of normalized Root Mean Squared Error has been compared with Hurst exponent. The study establishes the truth of the hypothesis for only 6 stations out of 19 stations, and thus recommends further investigation to prove the hypothesis. This concept is relevant for any time series which need to be used for real time process control.

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