scholarly journals Volatility filtering in estimation of kurtosis (and variance)

2019 ◽  
Vol 7 (1) ◽  
pp. 1-23
Author(s):  
Stanislav Anatolyev

AbstractThe kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely. We propose a simple but effective procedure of estimating the kurtosis coefficient (and variance) based on volatility filtering that uses a simple GARCH model. In addition to an estimate, the proposed algorithm issues a signal of whether the kurtosis (or variance) is finite or infinite. We also show how to construct confidence intervals around the proposed estimates. Simulations indicate that the proposed estimates are much less median biased than the usual method-of-moments estimates, their confidence intervals having much more precise coverage probabilities. The procedure alsoworks well when the underlying volatility process is not the one the filtering technique is based on. We illustrate how the algorithm works using several actual series of returns.

2012 ◽  
Vol 16 (5) ◽  
pp. 1331-1338 ◽  
Author(s):  
Wenxi Wang ◽  
Qing He ◽  
Nian Chen ◽  
Mingliang Xie

In the study a simple model of coagulation for nanoparticles is developed to study the effect of diffusion on the particle coagulation in the one-dimensional domain using the Taylor-series expansion method of moments. The distributions of number concentration, mass concentration, and particle average volume induced by coagulation and diffusion are obtained.


2021 ◽  
Vol 23 ◽  
Author(s):  
Peyton Cook

This article is intended to help students understand the concept of a coverage probability involving confidence intervals. Mathematica is used as a language for describing an algorithm to compute the coverage probability for a simple confidence interval based on the binomial distribution. Then, higher-level functions are used to compute probabilities of expressions in order to obtain coverage probabilities. Several examples are presented: two confidence intervals for a population proportion based on the binomial distribution, an asymptotic confidence interval for the mean of the Poisson distribution, and an asymptotic confidence interval for a population proportion based on the negative binomial distribution.


Author(s):  
Eldred H. Chimowitz

The critical point of mixtures requires a more intricate set of conditions to hold than those at a pure-fluid critical point. In contrast to the pure-fluid case, in which the critical point occurs at a unique point, mixtures have additional thermodynamic degrees of freedom. They, therefore, possess a critical line which defines a locus of critical points for the mixture. At each point along this locus, the mixture exhibits a critical point with its own composition, temperature, and pressure. In this chapter we investigate the critical behavior of binary mixtures, since higher-order systems do not bring significant new considerations beyond those found in binaries. We deal first with mixtures at finite compositions along the critical locus, followed by consideration of the technologically important case involving dilute mixtures near the solvent’s critical point. Before taking up this discussion, however, we briefly describe some of the main topographic features of the critical line of systems of significant interest: those for which nonvolatile solutes are dissolved in a solvent near its critical point. The critical line divides the P–T plane into two distinctive regions. The area above the line is a one-phase region, while below this line, phase transitions can occur. For example, a mixture of overall composition xc will have a loop associated with it, like the one shown in figure 4.1, which just touches the critical line of the mixture at a unique point. The leg of the curve to the “left” of the critical point is referred to as the bubble line; while that to the right is termed the dew line. Phase equilibrium occurs between two phases at the point where the bubble line at one composition intersects the dew line; this requires two loops to be drawn of the sort shown in figure 4.1. A question naturally arises as to whether or not all binary systems exhibit continuous critical lines like that shown. In particular we are interested in the situation involving a nonvolatile solute dissolved in a supercritical fluid of high volatility.


2019 ◽  
Vol 29 (7) ◽  
pp. 1913-1934
Author(s):  
Jenny Jeyarajah ◽  
Guanhao Wei ◽  
Gengsheng Qin

In this paper, we propose empirical likelihood methods based on influence function and Jackknife techniques to construct confidence intervals for quantile medical costs with censored data. We show that the influence function-based empirical log-likelihood ratio statistic for the quantile medical cost has a standard Chi-square distribution as its asymptotic distribution. Simulation studies are conducted to compare coverage probabilities and interval lengths of the proposed empirical likelihood confidence intervals with the existing normal approximation-based confidence intervals for quantile medical costs. The proposed methods are observed to have better finite-sample performances than existing methods. The new methods are also illustrated through a real example.


2020 ◽  
Vol 11 ◽  
Author(s):  
Ivan Jacob Agaloos Pesigan ◽  
Shu Fai Cheung

A SEM-based approach using likelihood-based confidence interval (LBCI) has been proposed to form confidence intervals for unstandardized and standardized indirect effect in mediation models. However, when used with the maximum likelihood estimation, this approach requires that the variables are multivariate normally distributed. This can affect the LBCIs of unstandardized and standardized effect differently. In the present study, the robustness of this approach when the predictor is not normally distributed but the error terms are conditionally normal, which does not violate the distributional assumption of ordinary least squares (OLS) estimation, is compared to four other approaches: nonparametric bootstrapping, two variants of LBCI, LBCI assuming the predictor is fixed (LBCI-Fixed-X) and LBCI based on ADF estimation (LBCI-ADF), and Monte Carlo. A simulation study was conducted using a simple mediation model and a serial mediation model, manipulating the distribution of the predictor. The Monte Carlo method performed worst among the methods. LBCI and LBCI-Fixed-X had suboptimal performance when the distributions had high kurtosis and the population indirect effects were medium to large. In some conditions, the problem was severe even when the sample size was large. LBCI-ADF and nonparametric bootstrapping had coverage probabilities close to the nominal value in nearly all conditions, although the coverage probabilities were still suboptimal for the serial mediation model when the sample size was small with respect to the model. Implications of these findings in the context of this special case of nonnormal data were discussed.


1869 ◽  
Vol 17 ◽  
pp. 427-429

A single reading of one end of a dipping-needle placed in a dip-circle provided with microscopes for observing is liable to a variety of instrumental errors, which are eliminated by taking the mean of the sixteen readings of the two ends in the eight different positions included in a complete observation. Nevertheless it is found that with the best modern instruments a mean value results from these sixteen observations different for each different needle, and that the difference between the results obtained with two different needles is not the same at all times. The irregularities in the values of the dip observed at Bombay with two needles of excellent character made by Barrow of London, led the author to investigate the effect of a hypothetical irregularity in the shape of the axle of the needle, such that a section of the axle by a plane perpendicular to its axis would be elliptical instead of circular in form. Another source of error, which was brought to the notice of the Royal Society many years ago in a paper published in the Proceedings, is the displacement of the centre of gravity of the needle from the centre of the axle, combined with inequality in the magnetization of the needle when the poles are direct and reversed. Experience has led the author to the conclusion that the usual method of magnetization, by a definite number of passes of the same pair of bar-magnets, communicates magnetism to the needle very unequally when the one end of the needle is made north and when the other end is made north. Consequently it is advisable to investigate the effects of ellipticity of the axle and of displacement of the centre of gravity at the same time, which the author proceeds to do.


2019 ◽  
Vol 50 (2) ◽  
pp. 223-244 ◽  
Author(s):  
Rainer-Olaf Schultze

The outcome of the election marks a deep shift not only in Bavarian politics but also corresponds to Germany’s ongoing restructuring of its electorate and the changing configuration of its party system at large: (1) The two catch-all parties suffered dramatic losses of more than ten percentage points; the conservative CSU lost its parliamentary majority in the state legislature, tallying less than 40 percent, the social-democratic SPD even less than ten percent of the total vote . (2) The voting behaviour is characterised by high volatility and processes of polarisation, caused by growing cleavages between town and country, between the generational as well as religious divides and the ongoing occupational differentiation in the electorate . Ideologically, these divides correlate with liberal and cosmopolitan mind-sets and (post-)modern urban lifestyles, the main electoral base of the Green party, on the one hand versus the more conservative and traditional rural electorates on the other . Their influence on the newly formed coalition between the CSU and the “Free Voters” will be more pronounced, while the populist and in part anti-pluralist electorate rallies behind the right-wing AfD . (3) In Baden-Württemberg, Bavaria and Hesse, the Green party has now replaced the SPD as the main electoral contender of the Christian-democratic parties; it remains to be seen whether their electoral fortunes can be extended to the northern and eastern parts of the country in the near future .


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