scholarly journals Outliers detection in state-space model using indicator saturation approach

2021 ◽  
Vol 22 (3) ◽  
pp. 1688
Author(s):  
Farid Zamani Che Rose ◽  
Mohd Tahir Ismail ◽  
Mohd Hanafi Tumin
Keyword(s):  
Structural Changes ◽  
Stock Exchange ◽  
Local Level ◽  
State Space Model ◽  
Model Framework ◽  
Suggested Approach ◽  
Level Model ◽  
The Mean ◽  
Impulse Indicator Saturation ◽  
Detection Of Outliers

Structural changes that occur due to outliers may reduce the accuracy of an estimated time series model, shifting the mean distribution and causing forecast failure. This study used general-to-specific approach to detect outliers via indicator saturation approach in the local level model framework. Focusing on impulse indicator saturation, performance recorded by the suggested approach was evaluated using Monte Carlo simulations. To tackle the issue of higher number of regressors compared to the number of observations, this research utilized the split-half approach algorithm. We found that the impulse indicator saturation performance relies heavily on the size of outlier, location of outlier and number of splits in the series examined. Detection of outliers using sequential and non-sequential algorithms is the most crucial issue in this study. The sequential searching algorithm was able to outperform the non-sequential searching algorithm in eliminating the non-significant indicators based on potency and gauge. The outliers captured using impulse indicator saturation in financial times stock exchange (FTSE) United States of America (USA) shariah index correspond to the financial crisis in 2008-2009.

scholarly journals METODE STATE SPACE DALAM MERAMALKAN JUMLAH PENUMPANG KERETA API DI PULAU JAWA

2020 ◽  
Vol 9 (1) ◽  
pp. 8
Author(s):  
FITRI ANANDA DITA SARASWITA ◽  
I WAYAN SUMARJAYA ◽  
LUH PUTU IDA HARINI
Keyword(s):  
State Space ◽  
Time Series Data ◽  
Local Level ◽  
State Space Model ◽  
The State ◽  
Series Data ◽  
State Space Method ◽  
Dynamic Interactions ◽  
Level Model ◽  
Space Method

State space is an approach to model and predict together several time series data that are interconnected, and these variables have dynamic interactions. The purpose of this research is to model the number of train passengers in Java and find out the forecasting results using the state space method. The algorithm used to solve the state space model is the Kalman filter. In this research, a suitable final model is local level model with seasonal and produces MAPE value of 2%, this shows that the state space method is very accurately.

scholarly journals Outlier Detection in Local Level Model: Impulse Indicator Saturation Approach

2019 ◽  
Vol 7 (4A) ◽  
pp. 41-48
Author(s):  
F. Z. Che Rose ◽  
M. T. Ismail ◽  
N. A. K. Rosili
Keyword(s):  
Outlier Detection ◽  
Local Level ◽  
Level Model ◽  
Impulse Indicator Saturation

scholarly journals POS1018 IMPORTANCE OF LATERAL SPINE VIEW IN DXA BONE DENSITOMETRY IN PATIENTS WITH SPONDYLOARTHRITIS

2021 ◽  
Vol 80 (Suppl 1) ◽  
pp. 776.3-777
Author(s):  
S. Miri ◽  
H. Ferjani ◽  
K. Maatallah ◽  
A. Kasraoui ◽  
D. Kaffel ◽  
...  
Keyword(s):  
Femoral Neck ◽  
Structural Changes ◽  
Age Of Onset ◽  
Posterior Part ◽  
Lateral View ◽  
Mineral Density ◽  
Lateral Spine ◽  
Male Predominance ◽  
T Score ◽  
The Mean

Background:Osteoporosis is an increasingly important health problem among patients with spondyloarthritis (SPA). The Measure of Bone Mineral Density BMD is routinely carried out in an anteroposterior (AP) view of the spine. However, the syndesmophytes, ligaments calcifications, and the posterior part of vertebrae affect AP scanning. A lateral spine view is a more sensitive tool in assessing bone loss in trabecular bone.Objectives:We aimed to evaluate the association between lateral lumbar DXA and syndesmophyte grading in patients with SPA.Methods:We conducted a retrospective study including 75 patients with SPA. Bone density of the hip and lumbar spine was measured with a GE Lunar Prodigy Advance Bone Densitometer equipment. All patients had lumbar lateral, AP, and proximal femur DXA scans. The T-score, which measures the difference between a patient’s BMD and young-normal subjects, was computed and age-matched.Results:The mean age of the patients was 36±11 years. Male predominance was noted with a sex ratio of 4.76. The mean BMI was 25±5 kg/m2. Eight percent were obese. Fifty-two percent had Vitamin D deficiency.Forty-eight percent of the patients had axial SPA, while 52% had axial and peripheral symptoms.The mean age of onset was 27±7 years. Fifty-two percent of the patients had high inflammatory biomarkers. The BASDAI, ASDAS-VS, and ASDAS-CRP mean levels were respectively: 3.5±2.4, 3.1±0.9, and 3±0.8. The mean BASRI and mass were respectively 8 + 4.8 and 16.4 + 19.4. Analyses of T-score values obtained over the femoral neck revealed osteoporosis in 18.7% of the cases and osteopenia in 32% of the cases. On the other hand, analyses of AP, spine views revealed osteoporosis in 25.3% and osteopenia in 45.3% of patients (p=0.028, r=0.254). We detected the highest percentage of osteoporosis in lateral lumbar view and T-scores matched more closely with femoral neck values; osteoporosis in 29.3%, and osteopenia in 22.7% of the patients (p<10-3, r=0.562). BMD measured in AP, and lateral views were in good agreement (p<10-3, p=0.592). Age was inversely but not significantly associated with BMD in lateral (p=0.442, r=-0.09), AP (p=0.319, r=-0.117) and femoral neck projections (p=0.179, r=-0.157). Femoral neck BMD was associated with the activity of SPA (ASDAS vs (p=0.027, r= -0.295), and the mobility limitation BASMI (p=0.032, r= -0.247). Coxitis, BASRI, or mSASS were independent of BMD.Conclusion:We conclude that spine lateral view in DXA accurately measures BMD exceeding the AP spine views and femoral neck values. Therefore, structural changes do not affect this measurementDisclosure of Interests:None declared.

Intelligent data-driven in shanghai stock exchange options based on state space model

2021 ◽  
pp. 1-8
Author(s):  
Huahua Li ◽  
Lihan Gu
Keyword(s):  
Image Processing ◽  
State Space ◽  
Stock Exchange ◽  
State Space Model ◽  
Comparison Method ◽  
Space Model ◽  
The Status ◽  
Model Features ◽  
Exchange Options ◽  
Research Stage

The current relevant models for the analysis of SSE options, whether for the study of theoretical algorithms or for the application of verification, are still at the beginning of the research stage. Based on this, this study combines the status quo of China’s SSE options to construct a state space model with certain flexibility and combines image processing technology to extract model features. At the same time, this study obtained the experimental data of this study through network data collection method and analyzed the performance of the algorithm by comparison method, recorded the data obtained by the model operation, and turned the result into a visually identifiable feature result through image processing. The research indicates that the state space model has certain effects in the analysis of SSE option and can provide theoretical reference for subsequent related research.

scholarly journals Structural Changes in Israeli Family Farms: Long-Run Trends in the Farm Size Distribution and the Role of Part-Time Farming

Agriculture ◽  
2021 ◽  
Vol 11 (6) ◽  
pp. 518
Author(s):  
Ayal Kimhi ◽  
Nitzan Tzur-Ilan
Keyword(s):  
Size Distribution ◽  
Structural Changes ◽  
Farm Size ◽  
Farm Income ◽  
Higher Moments ◽  
Full Time ◽  
Family Farms ◽  
Income Sources ◽  
Part Time ◽  
The Mean

Israeli agriculture has experienced rapid structural changes in recent decades, including the massive exit of farmers, a resulting increase in average farm size, a higher farm specialization and a higher reliance on non-farm income sources. The higher farm heterogeneity makes it necessary to examine changes in the entire farm size distribution rather than the common practice of analyzing changes in the average farm size alone. This article proposes a nonparametric analysis in which the change in the distribution of farm sizes between two periods is decomposed into several components, and the contributions of subgroups of farms to this change are analyzed. Using data on Israeli family farms, we analyze the changes in the farm size distribution in two separate time periods that are characterized by very different economic environments, focusing on the different contributions of full-time farms and part-time farms to the overall distributional changes. We found that between 1971 and 1981, a period characterized by stability and prosperity, the farm size distribution has shifted to the right with relatively minor changes in higher moments of the distribution. On the other hand, between 1981 and 1995, a largely unfavorable period to Israeli farmers, the change in the distribution was much more complex. While the overall change in the size distribution of farms was smaller in magnitude than in the earlier period, higher moments of the distribution were not less important than the increase in the mean and led to higher dispersion of farm sizes. Between 1971 and 1981, the contributions of full- and part-time farms to the change in the size distribution were quite similar. Between 1981 and 1995, however, full-time farms contributed mostly to the growth in the average farm size, while the average farm size among part-time farms actually decreased, and their contribution to the higher dispersion of farm sizes was quantitatively larger. This highlights the need to analyze the changes in the entire farm size distribution rather than focusing on the mean alone, and to allow for differences between types of farms.

A comparison of methods for bootstrapping in the local level model

2001 ◽  
Vol 21 (1) ◽  
pp. 27-38 ◽  
Author(s):  
Glaura C. Franco ◽  
Reinaldo C. Souza
Keyword(s):  
Local Level ◽  
Comparison Of Methods ◽  
Level Model

scholarly journals Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange

2017 ◽  
Vol 14 (3) ◽  
pp. 160-172 ◽  
Author(s):  
Shakila B. ◽  
Prakash Pinto ◽  
Iqbal Thonse Hawaldar
Keyword(s):  
Health Care ◽  
Stock Returns ◽  
Stock Exchange ◽  
Consumer Durables ◽  
Empirical Results ◽  
Significant Difference ◽  
The Mean ◽  
Daily Stock Returns ◽  
New Evidence ◽  
Care Index

Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&amp;amp;P BSE Auto Index, S&amp;amp;P BSE Bankex, S&amp;amp;P BSE Consumer Durables Index, S&amp;amp;P BSE FMCG Index and S&amp;amp;P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

scholarly journals Comparison of power of modified Jarque-Bera normality tests and selected tests of normality

2008 ◽  
Vol 56 (6) ◽  
pp. 137-148 ◽  
Author(s):  
Luboš Střelec
Keyword(s):  
Stock Exchange ◽  
Financial Time Series ◽  
Simulation Studies ◽  
Test Paper ◽  
Monthly Average ◽  
Financial Time ◽  
Uniform Distributions ◽  
Source Data ◽  
The Mean ◽  
Heavy Tailed

The aim of this paper is to modify the classical Jarque-Bera test and the robust Jarque-Bera test of normality. We use the median as an estimator instead of the mean in the classical Jarque-Bera test and in the robust Jarque-Bera test. This leads to the modified Jarque-Bera test and the modified robust Jarque-Bera test. Paper also demonstrates results of simulation studies of power of such tests with the various alternatives – light tailed alternatives as exponential, lognormal and gamma distribution, heavy tailed alternatives as Cauchy, Laplace, t3, t5 and logistic distributions and short tailed alternatives as beta and uniform distributions. These tests of normality are also used for normality testing of selected datasets of financial time series. Source data include logarithmic returns of monthly ave­ra­ge prices of Prague stock exchange index PX and monthly average prices of CZK/EUR exchange rate in the period from 2000 to 2007.

scholarly journals Portfolio Selection and Performance Evaluation Through Benjamin Graham’s Value Investing

2020 ◽  
Vol 4 (2) ◽  
pp. 11-16
Author(s):  
Vinay Kumar Srivastava ◽  
Nitin Kulshrestha
Keyword(s):  
Stock Exchange ◽  
Practical Implication ◽  
Jel Classification ◽  
Value Investing ◽  
The Mean ◽  
And Performance ◽  
Indian Stock Market ◽  
The Empirical Analysis ◽  
Practical Impact ◽  
Passive Strategy

Purpose: The objective of this study is to validate the value investing concerning filtering valued stock in the Indian stock market (Nifty 50) & United States (Dow Jones) during the period 2014 -20. Design /Methodologies/Approach:  We have selected the data of the National Stock Exchange and Dow Jones to apply the value investing technique for choosing the stocks and building a significant portfolio. Further, we compare the mean returns of B & H passive strategy. The empirical analysis includes the selected portfolio from Jan 2014 to May 2020. Results & Practical Implication: The mean return of portfolio selected by Value investing outperform as comparative to passive strategy, i.e. Buy & Hold strategy. The successful application of value investing will encourage the practitioners & academicians of financial markets to research & explore further uses & practical impact of the present study. JEL Classification Codes: F37.                          

scholarly journals Adoption of Competitor Focused Accounting Methods in Selected Manufacturing Companies in Nigeria

2014 ◽  
Vol 2 (3) ◽  
pp. 128-140
Author(s):  
Chiekezie Njideka Rita ◽  
Egbunike Patrick Amaechi ◽  
Odum Austin Nwekemezie
Keyword(s):  
Financial Performance ◽  
Manufacturing Industry ◽  
Stock Exchange ◽  
Secondary Data ◽  
Manufacturing Firms ◽  
Manufacturing Companies ◽  
Competitive Edge ◽  
Survey Techniques ◽  
Strategic Management Accounting ◽  
The Mean

This study-examined the extent of adoption of competitor focused accounting (CFA) in selected manufacturing firms listed on Nigerian Stock Exchange with a view to establishing whether there are differences in financial performance of the firms. The study is descriptive in nature and uses survey techniques. Accordingly, two-hundred and twenty four (224) key respondents in the Nigerian manufacturing industry were surveyed. This is complimented with secondary data collected from annual accounts and reports of fifty six (56) manufacturing companies listed in the Nigerian stock exchange. In addition to descriptive statistics, analysis of variance (F- Ratio) and scheffes’ (fs) test were used in analyzing collected data. The result of the study revealed that 14 companies representing (25%) were non-adopters of competitor focused accounting methods, 36 (64.3%) were partial adopters while 6 (10.7%) were full adopters. In addition, the mean financial performance of full adopters of CFA methods was 25.1 greater than that of partial adopters and also 45.71 greater than non-adopters. This shows a large difference. On the other hand, partial adopters’ mean financial performance was 20.61 greater than that of non adopters of CFA methods. However, this study proves that the practice of CFA in Nigerian manufacturing companies is still below average and the necessity to improve this situation is the current challenge. Manufacturing firms in Nigeria should give priority to strategic management accounting and it sub-divisions especially CFA in other to enhance its competitive edge over competitors.

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