Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"Ljung Box"”.
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A Novel Correction for the Multivariate Ljung-Box Test
… an analytical improvement to the Multivariate Ljung-Box test that addresses significant deviations of the original test from the nominal Type I error rates under almost all scenarios. Prior attempts to mitigate this issue have been directed at modification of the test statistics or correction …
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Econometrics analysis of Weak form efficiency and Calendar effects in Dar es salaam Stock Exchange
… statistical tests: serial correlation test-The Ljung-Box test, Unit root tests, parametric runs test and the variance ratio test. For investigating the calendar effects, the study used two econometric models: Ordinary Least Square (OLS) regression model and the Generalized Autoregressive …
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Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange.
… tools such as Autocorrelation Function, Ljung-Box Q-Statistics, Runs Test, Variance Ratio Test, and BDS test for independence. To confirm the results from these parametric and non-parametric tools, technical trading and filter rules, and moving average based rules were also employed to …
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Crash severity modeling in transportation systems
… test, the Breusch-Godfrey (LM) test, and the Ljung-Box Q (LBQ) test, and then describes the removal of any significant amount of temporal autocorrelation from crash data using the differencing procedure, and the Cochrane-Orcutt method. To assess whether vehicle crashes are spatially clustered, …
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A Novel Correction for the Adjusted Box-Pierce Test — New Risk Factors for Emergency Department Return Visits within 72 hours for Children with Respiratory Conditions — General Pediatric Model for Understanding and Predicting Prolonged Length of Stay
… I devoted some efforts to the well-known Box-Pierce goodness-of-fit tests for time series models which has been an important research topic over the last few decades. All previously proposed tests are focused on changes of the test statistics. Instead, I adopted a different approach that …