1,198 research outputs found

    The impacts of outliers on different estimators for GARCH processes: an empirical study

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    The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators. --GARCH,Robust-Estimates,M-Estimates

    The impacts of outliers on different estimators for GARCH processes: an empirical study

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    The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators

    Detecting outliers in time series

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    In parametric time series analysis there is the implicit assumption of no aberrant observations, so-called outliers. Outliers are observations that seem to be inconsistent with the assumed model. When these observations are included to estimate the model parameters, the resulting estimates are biased. The fact that markets have been affected by shocks (i.e. East Asian crisis, Dot-com bubble, sub-prime mortgage crisis) make the assumption that no outlier is present questionable. This paper addresses the problem of detecting outlying observations in time series. Outliers can be understood as a short transient change of the underlying parameters. Unfortunately tests designed to detect structural breaks cannot be used to find outlying observations. To overcome this problem a test normally used to detect structural breaks is modified. This test is based on the cumulative sum (CUSUM) of the squared observations. In comparison to a likelihood-ratio test neither the underlying model nor the functional form of the outliers have to be specified. In a simulation study the finite sample behaviour of the proposed test is analysed. The simulation study shows that the test has reasonable power against a variety of alternatives. Moreover, to illustrate the behaviour of the proposed test we analyse the returns of the Volkswagen stock

    Communication and Stochastic Processes in Some Bacterial Populations: Significance for Membrane Computing

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    Intercellular communication between bacterial cells belonging to the same population is well documented in Microbiology, sporulation and cannibalism in B. Subtilis and genetic competence and fratricide in S. pneumoniae being deeply studied in the last years. The investigation of individual cell behavior has revealed that populations of these bacteria sometimes bifurcate into phenotypically distinct, but genetically identical, subpopulations by random switching mechanisms. The probabilistic nature of the random switching mechanisms, the occurrence of some biochemical processes related to it at plasma membrane and the need to study the processes at the level of each individual cell make intercellular communication and stochastic processes very suitable to be modeled by P systems

    Case study using analysis of variance to determine groups’ variations

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    This paper aims to present the analysis of a part manufactured in three shifts, which has a specific characteristic dimension, using DFSS (Design for Six Sigma) ANOVA (Analysis of Variance) method. In every shift, the significant characteristic, “SC”, dimension should be produced within the given tolerance. The question that arises is: “Does the shift have any influence on the “SC” dimension realization?” By using the one way ANOVA method, one can observe the variation between the means of each of the three shifts. Afterwards, specific action can be undertaken to adjust, if necessary, the differences between the shifts

    MANAGEMENTUL EDUCATIONAL ÎN ROMÂNIA DE AZI

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    Le management de l’éducation , bien qu’il soit l’objet des controverses, peut être définicomme la science et l’art d’instruire les ressources humaines, l’art de former despersonnalités, conformément à des fins acceptées par la société, par la communauté, par lesindividus. Cette science envisage un ensemble de principes et de fonctions, de normes et deméthodes de conduite qui assurent la réalisation des objectifs du système éducatif
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