scholarly journals Predictive Regressions: A Reduced-Bias Estimation Method

Author(s):  
Yakov Amihud ◽  
Clifford M. Hurvich
2004 ◽  
Vol 39 (4) ◽  
pp. 813-841 ◽  
Author(s):  
Yakov Amihud ◽  
Clifford M. Hurvich

AbstractStandard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. See Stambaugh (1999) for the single regressor model. This paper proposes a direct and convenient method to obtain reduced-bias estimators for single and multiple regressor models by employing an augmented regression, adding a proxy for the errors in the autoregressive model. We derive bias expressions for both the ordinary least-squares and our reduced-bias estimated coefficients. For the standard errors of the estimated predictive coefficients, we develop a heuristic estimator that performs well in simulations, for both the single predictor model and an important specification of the multiple predictor model. The effectiveness of our method is demonstrated by simulations and empirical estimates of common predictive models in finance. Our empirical results show that some of the predictive variables that were significant under ordinary least squares become insignificant under our estimation procedure.


2018 ◽  
Vol 67 (4) ◽  
pp. 831-838 ◽  
Author(s):  
Felipe O. Silva ◽  
Elder M. Hemerly ◽  
Waldemar C. Leite Filho ◽  
Helio K. Kuga

Author(s):  
Yuan Tian ◽  
Marc Compere ◽  
Sergey Drakunov

Abstract Localization accuracy is one of the most important parts of Unmanned Vehicle Systems, Automated Vehicles, Robotics and Navigation. The 6-DOF Inertial Measurement Unit (IMU) is a commonly used device for inertial navigation and is composed of a 3-axis accelerometer and 3-axis gyroscope. The body-fixed IMU measurements are combined with initial values to produce a position and orientation estimate in the inertial frame with every new measurement. However, IMU performance is greatly degraded by bias, scale-factor, non-orthogonality, temperature, and noise. This paper develops a sliding mode observer specifically focused on gyroscope bias estimation to improve gyro measurement results. The work presented here improves the performance of tilt sensors equipped in a commercially available smartphones with accelerometers and gyroscopes. The algorithm uses quaternions to avoid the well-known Euler angle singularities also known as gimbal lock. The observed gyro-bias can be used to reconstruct an improved estimation of the real attitude. A sliding-mode observer was constructed, and A* Matrix stability criterion were used to guarantee observer error convergence in finite time. The algorithm was verified using both a simulated IMU model and experimental tests with a custom designed rotational platform. Simulation tests used a predefined gyros-bias to ensure the algorithm-estimated results converged to the correct value. Simulation results show the observer error quickly converges to zero and the gyro-bias estimation converged to the expected values. The results also show that the proposed method is very effective for reconstructing the real attitude using the observed gyro-bias. This study presents a fast, simple gyro-bias estimation method that can help reconstruct the real attitude with a simple formulation that eliminates complicated constraints.


2020 ◽  
Vol 12 (1) ◽  
pp. 42-50
Author(s):  
Jianhui Zhao ◽  
Kuan Wang ◽  
Ling Wang ◽  
Zhengwei Guo ◽  
Ning Li

Sensors ◽  
2018 ◽  
Vol 18 (5) ◽  
pp. 1354 ◽  
Author(s):  
Jingyang Fu ◽  
Guangyun Li ◽  
Li Wang

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