12 research outputs found
On Non-Linear Non-Gaussian Autoregressive Model with Application to Daily Exchange Rate
The most often used distribution in statistical modeling follows Gaussian
distribution. But many real-life time series data do not follow normal distribution and
assumptions; therefore, inference from such a model could be misleading. Thus, a reparameterized
non-Gaussian Autoregressive (NGAR) model that has the capabilities
of handling non-Gaussian time series was proposed, while Anderson Darling statistics
was used to identify the distribution embedded in the time series. In order to
determine the performance of the proposed model, the Nigerian monthly exchange
rate (Dollar-Naira Selling Rate) was analyzed using proposed and classical
autoregressive models. The proposed model was used to determine the joint
distribution of the observed series by separating the marginal distribution from the
serial dependence. The maximum Likelihood (MLE) estimation method was used to
obtain an optimal solution in estimating the generalized gamma distribution of the
proposed model. The selection criteria used in this study were Akaike Information
Criterion (AIC). The result revealed through the value of the Anderson Darling
statistics that the data set were not normally distributed. The best model was selected
using the minimum values of AIC value. The study concluded that the proposed
model clearly shows that the non-Gaussian Autoregressive model is a very good
alternative for analyzing time series data that deviate from the assumptions of
normality and, in particular, for the estimation of its parameters
Decorrelation of Neutral Vector Variables: Theory and Applications
In this paper, we propose novel strategies for neutral vector variable
decorrelation. Two fundamental invertible transformations, namely serial
nonlinear transformation and parallel nonlinear transformation, are proposed to
carry out the decorrelation. For a neutral vector variable, which is not
multivariate Gaussian distributed, the conventional principal component
analysis (PCA) cannot yield mutually independent scalar variables. With the two
proposed transformations, a highly negatively correlated neutral vector can be
transformed to a set of mutually independent scalar variables with the same
degrees of freedom. We also evaluate the decorrelation performances for the
vectors generated from a single Dirichlet distribution and a mixture of
Dirichlet distributions. The mutual independence is verified with the distance
correlation measurement. The advantages of the proposed decorrelation
strategies are intensively studied and demonstrated with synthesized data and
practical application evaluations