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Nonparametric Estimation of the Error Functional of a Location-Scale Model
(Scienpress Ltd, 2018-10-01)
Two estimators of the distribution of the error term are proposed
based on nonparametric regression residuals; considering a heteroscadastic
location-scale model where the mean and variance functions are
smooth, and the ...
Exponentiated Generalized Power Series Family of Distributions
(2018)
In this paper, a new family of distributions called the exponentiated generalized power series
family is proposed and studied. Statistical properties such as stochastic order, quantile function,
entropy, mean residual ...
Consistency of the Model Order Change-Point Estimator for GARCH Models
(Scientific Research Publishing Inc., 2018)
GARCH models have been commonly used to capture volatility dynamics in
financial time series. A key assumption utilized is that the series is stationary
as this allows for model identifiability. This however violates the ...
MODELLING THE VOLATILITY OF EXCHANGE RATES IN RWANDESE MARKETS
(European Centre for Research Training and Development UK, 2014-12)
This work applied Generalized Autoregressive Conditional Heteroskedasticity
(GARCH) approach to modelling volatility in Rwanda Exchange rate returns. The Autoregressive
(AR) model with GARCH errors was fitted to the daily ...
On the Estimation and Properties of Logistic Regression Parameters
(IOSR Journal, 2014)
Logistic regression is widely used as a popular model for the analysis of binary data with the areas
of applications including physical, biomedical and behavioral sciences. In this study, the logistic regression
model, ...
Modeling export price of tea in Kenya: Comparison of artificial neural network and seasonal autoregressive integrated moving average
(Science Publishing Group, 2014-12-19)
Agriculture sector is a key driver of economic growth in Kenya. It remains the main source of livelihood for the
majority of the Kenyan people. Tea, coffee, and horticulture are the main agricultural exports in Kenya. ...
Exponentiated generalized exponential Dagum distribution
(Elsevier, 2017)
In this study, the exponentiated generalized exponential Dagum distribution has been proposed and
studied. This family of distribution consists of a number of sub-models such as the exponentiated generalized
Dagum ...
Conditional Volatility Estimation by Conditional Quantile Autoregression
(HIKARI Ltd, 2014)
This paper considers the problem of estimating conditional volatility function using conditional quantile autoregression function. We estimate the interquantile autoregression range and the conditional volatility function ...
ESTIMATION OF EXTREME VALUE AT RISK IN RWANDA EXCHANGE RATE
(European Centre for Research Training and Development UK, 2014-12)
Estimating the probability of rare and extreme events is a crucial issue in the risk
estimation of exchange rate returns. Extreme Value Theory (EVT) is a well-developed theory in
the field of probability that studies the ...