Do average higher moments predict aggregate returns in emerging stock markets?

PurposeIt has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets.Design/methodology/approachTwo measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model.FindingsThe authors report that both equal-weighted skewness and kurtosis significantly predict subsequent market returns in two countries, while value-weighted average skewness and kurtosis are significant in predicting returns in four out of nine sample markets. The results for quantile regression show that the relationship between the risk variable and aggregate returns varies along the spectrum of conditional quantiles.Originality/valueThis is the first study that investigates the impact of third and fourth higher-order average realized moments on the predictability of subsequent aggregate excess returns in the MSCI Asian emerging stock markets. This study is also the first to analyze the sensitivity of future market returns over various quantiles.

The Inverse Epsilon Distribution as an Alternative to Inverse Exponential Distribution with a Survival Times Data Example

This paper is devoted to a new flexible two-parameter lower-truncated distribution, which is based on the inversion of the so-called epsilon distribution. It is called the inverse epsilon distribution. In some senses, it can be viewed as an alternative to the inverse exponential distribution, which has many applications in reliability theory and biology. Diverse properties of the new lower-truncated distribution are derived including relations with existing distributions, hazard and reliability functions, survival and reverse hazard rate functions, stochastic ordering, quantile function with related skewness and kurtosis measures, and moments. A demonstrative survival times data example is used to show the applicability of the new model.

Hidden-State Modelling of a Cross-section of Geoelectric Time Series Data Can Provide Reliable Intermediate-term Probabilistic Earthquake Forecasting in Taiwan

Geoelectric time series (TS) has long been studied for its potential for probabilistic earthquake forecasting, and a recent model (GEMSTIP) directly used the skewness and kurtosis of geoelectric TS to provide Time of Increased Probabilities (TIPs) for earthquakes in several months in future. We followed up on this work by applying the Hidden Markov Model (HMM) on the correlation, variance, skewness, and kurtosis TSs to identify two Hidden States (HSs) with different distributions of these statistical indexes. More importantly, we tested whether these HSs could separate time periods into times of higher/lower earthquake probabilities. Using 0.5-Hz geoelectric TS data from 20 stations across Taiwan over 7 years, we first computed the statistical index TSs, and then applied the Baum-Welch Algorithm with multiple random initializations to obtain a well-converged HMM and its HS TS for each station. We then divided the map of Taiwan into a 16-by-16 grid map and quantified the forecasting skill, i.e., how well the HS TS could separate times of higher/lower earthquake probabilities in each cell in terms of a discrimination power measure that we defined. Next, we compare the discrimination power of empirical HS TSs against those of 400 simulated HS TSs, then organized the statistical significance values from these cellular-level hypothesis testing of the forecasting skill obtained into grid maps of discrimination reliability. Having found such significance values to be high for many grid cells for all stations, we proceeded with a statistical hypothesis test of the forecasting skill at the global level, to find high statistical significance across large parts of the hyperparameter spaces of most stations. We therefore concluded that geoelectric TSs indeed contain earthquake-related information, and the HMM approach to be capable at extracting this information for earthquake forecasting.

Divergent Abiotic Stressors Drive Grassland Community Assembly of Tibet and Mongolia Plateau

Multiple ecological processes simultaneously govern community assembly, but it remains unclear how abiotic stressors regulate the relative importance of these processes among different biogeographic regions. Therefore, we conducted a comprehensive study on the responses of community assembly to varying environmental gradients, using the mean, variance, skewness, and kurtosis of plant height (height), specific leaf area (SLA) and leaf dry matter content (LDMC) distributions on the Tibetan Plateau (TP) and the Mongolian Plateau (MP). Our results showed that the prevalence of trait convergence across all grasslands in both TP and MP seem to be the result of abiotic filtering or weaker competitive exclusion etc. These trait-convergence assembly processes decrease the functional dispersion but increase the evenness of the trait frequency distribution. The mean, variance, skewness, and kurtosis responses of grassland communities to abiotic stress varied between the TP and MP. On average, plant trait distribution was mainly driven by temperature on the TP, and low-temperature stress altered the community assembly rules. In contrast, water availability shaped plant trait frequency distributions on the MP, and drought stress mediated the balance between different assembly processes. Our results provide empirical evidence that divergent abiotic stressors regulate the grassland community assembly on the TP and MP. Together, our study speculates that different aspects of future climate change, such as climate warming and changing precipitation patterns, on community assembly are dependent on regional climatic regimes.

Some characteristic parameters of Gaussian plume model

The Gaussian solution of the diffusion equation for line source is used to have the first four moments of the vertical concentration distribution (centroid, variance, skewness, and kurtosis). The magnitude and position of maximum concentration level were evaluated. Also the plume advection wind speed is estimated. Equations for the ground level concentration were compared with wind tunnel measurements.

Voice Pathology Detection Using the Adaptive Orthogonal Transform Method, SVM and MLP.

In this paper, an automatic voice pathology recognition system is realized. The special features are extracted by the Adaptive Orthogonal Transform method, and to provide their statistical properties we calculated the average, variance, skewness and kurtosis values. The classification process uses two models that are widely used as a classification method in the field of signal processing: Support Vector Machine (SVM) and Multilayer Perceptron (MLP). The proposed system is tested by using a German voice database: the Saarbruecken Voice Database (SVD). The experimental results show that the Adaptive Orthogonal Transform method works perfectly with the Multilayer Perceptron Neural Network, which achieved 98.87% accuracy. On the other hand, the combination of the Adaptive Orthogonal Transform method and Support Vector Machine reached 85.79% accuracy.

Reliability Analysis of the New Exponential Inverted Topp–Leone Distribution with Applications

The inverted Topp–Leone distribution is a new, appealing model for reliability analysis. In this paper, a new distribution, named new exponential inverted Topp–Leone (NEITL) is presented, which adds an extra shape parameter to the inverted Topp–Leone distribution. The graphical representations of its density, survival, and hazard rate functions are provided. The following properties are explored: quantile function, mixture representation, entropies, moments, and stress–strength reliability. We plotted the skewness and kurtosis measures of the proposed model based on the quantiles. Three different estimation procedures are suggested to estimate the distribution parameters, reliability, and hazard rate functions, along with their confidence intervals. Additionally, stress–strength reliability estimators for the NEITL model were obtained. To illustrate the findings of the paper, two real datasets on engineering and medical fields have been analyzed.

Influence of some anthropometric and motor parameters on triple jump

Athletics disciplines are characterized by motor movements that can be successfully applied during the educational process or through other forms of exercise, which significantly affect the development of general psychophysical abilities of individuals. Each of the disciplines of athletics acts on the development of individual abilities, but also on the general psychophysical status of man and for this reason athletics is called the "queen of sports". Athletic activities have a characteristic of participant inclusion.The values of the paper will be based on the purpose of anthropometric, basic motor and specific motor characteristics of students aged 21 years ± 6 months.A total of 70 male students, 7 anthropometric variables, 7 motor variables and 1 specific motor variable that were tested during the period of May, of the academic year, 2020/2021 were included in the research.In the basic parameters students, based on the results achieved in this anthropometric variable, are presented as a moderately homogeneous group.Although it is seen that the acquired flexibility and convexity (Skewness and Kurtosis) have a pronounced asymmetry, in the vast majority of anthropometric variables. Although it is seen that the acquired flexibility and convexity (Skewness and Kurtosis) have a pronounced asymmetry, in the vast majority of motor and criterion variables. Thus the statistically significant coefficients of the variables with the highest degree of statistical inference (p <0.01) are denoted by two asterisks. With easier statistical conclusion criterion (p <0.05) correlation coefficients. All variables have statistically significant correlation to all anthropometric, basic and criterion motor variables.

Annual and seasonal variability of wet day frequency in West Bengal, India

The monthly wet day frequency data of West Bengal for period 1901-2000 were analyzed to know annual and seasonal variability over decades along with annual, pre-monsoon, monsoon, post-monsoon and winter trends. The non-parametric approach (Mann-Kendall) revealed that the most of the districts shows the decreasing trend during monsoon and increasing trend during pre, post monsoon and in winter season. The changes observed in the statistical parameters (mean, SD, coefficient of skewness and kurtosis) during different decades which reflect the changing pattern of wet-day frequency in West Bengal.