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 20 of 48 for “"Serial correlation"”.
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On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method
<p>Test procedures for serial correlation of unknown form with wavelet methods are investigated in this dissertation. The new wavelet-based consistent test is motivated using Fan's (1996) canonical multivariate normal hypothesis testing model. In our framework, the test statistic relies on …
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Inference in linear panel data models with serial correlation and an essay on the impact of 401 (k) participation on the wealth distribution
This thesis considers inference issues in serially correlated multilevel and panel data and presents a separate essay that examines the impact of 401(k) participation on wealth. The first chapter examines generalized least squares (GLS) estimation in data with a grouped structure where the groups …
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A Statistical Evaluation of Algorithms for Independently Seeding Pseudo-Random Number Generators of Type Multiplicative Congruential (Lehmer-Class).
… endpoints and (b) substantially free of serial correlation. It has been found that many statistical methods produce inflated Type I error rates for correlated observations. Theoretically, independently seeding an LCG under the following conditions attenuates serial correlation: (a) simple …
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Essays in financial econometrics
… a behavioral explanation for monthly negative serial correlation in stock returns. For the first time in the literature, this work reports that only low momentum stocks experience monthly negative serial correlation. Using a recently collected dataset, this finding provides the basis for a …
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Three Essays on Testing for Cross-Sectional Dependence and Specification in Large Panel Data Models
… N and large T panel data models allowing error serial correlation. The third essay considers the tests of specification in large N and large T dynamic panel data models.</p> <p>The first essay proposes a test for sphericity in a fixed</p> <p>effects panel data regression model which is robust to …
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Variation in the Dynamic Response of Housing Markets
… prices is estimated to evaluate the degrees of serial correlation and mean reversion existing in the sampled geographic areas. Serial correlation and mean reversion are then interacted with the hypothesized effects of information costs, supply costs, and expectations of future price behavior to …
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The effect of the dependency in the Markov renewal arrival process on the various performance measures of an exponential server queue
… the squared coefficient of variation (scν), the serial correlation defined by the lag-1 correlation (corr) plus the rate ξ and the coefficient of skewness (𝛾). Here are the performance measures of the MR/M/1 queue we investigate: the expected queue length at arbitrary times (L<sup>𝓽</sup>), the …
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A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems
… recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The four dimensional vector of returns with one component from each futures market can be viewed as being generated from a serially …
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Stochastic Algorithms in Riemannian Manifolds and Adaptive Networks
… regressors are white noise, whereas in practice serial correlation is pervasive. Dealing with it however is much harder than the white noise case. Secondly, since the algorithms operate in real time, we must consider realization-wise behavior. There are no such results. To remedy these flaws, we …
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Dynamic trading and behavioral finance
… for the strategy returns while accounting for serial correlation and transactions costs. When applied to a large sample of individual U.S. stocks, we show that tight stop-loss strategies tend to underperform the buy-and- hold policy due to excessive trading costs. Outperformance is possible for …
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Real estate opportunity funds : past fund performance as an indicator of subsequent fund performance
… of contingency tables, and calculation of rank correlation coefficients. Tests were based on return data from the period 1991 to 2001 and were similar to those used to analyze performance persistence in other investment vehicles such as mutual funds and hedge funds. Results indicate that manager …
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Time diversification and holding periods on the Johannesburg Stock Exchange
… a variety of tests were employed to identify serial correlation within the JSE logarithmic total returns. By assessing the possibility of mean reversion or trending behavior in returns, this study aims to determine if short-term variance (as a risk measure) calculation intervals accurately …
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Modelagem estocástica para a precipitação diária
… events and the need for some reflection on the serial correlation of the precipitation data.
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Utilização de um modelo matemático-estatístico no estudo da radiação solar e temperatura média do ar
… the dependence of these series. Periodicities in serial correlation coefficients, rk,Ƭ, of the stochastic components are also analyzed. Independent stochastic components are obtained by removing the periodicity and dependence from the series. The probability distribution function normal, lognormal …
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Models for ocean waves
… periods. For this one has to take account of the serial correlation structure of observed wave heights, the seasonal behaviour of the important statistics, such as mean and standard deviation, and in fact the entire seasonal probability distribution of wave heights. In other words the observations …
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Acid rain provisions of the 1990 clean air amendments: affects on residential electric customers
… model above corrected for heteroskedasticity and serial correlation and compared with three estimates of increases in electric bills made before the Bill was passed.
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Testing for Changes in Trend in Water Quality Data
… of two modified Kendall's Tau nonparametric correlation coefficients (neither necessarily equal to zero) is presented. The test is made valid for use with serially correlated data by use of a new bootstrap method titled the effective sample size bootstrap. Further issues involved in applying …
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Time series analysis of count data with an application to the incidence of cholera
… data time series models when the counts exhibit serial correlation. In the process of comparing the models, the effect of environmental drivers on the outbreaks of cholera are observed and discussed.
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Empirical Bayes methods in time series analysis
… errors, regression with unobservable variables, serial correlation, multiple time series and spectral density function. In each case, empirical Bayes estimators are obtained using the asymptotic distributions of the usual estimators. By Monte Carlo simulation the empirical Bayes estimator of …
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