Search results for "multivariate"
showing 10 items of 1520 documents
Exploring the Hedging Effectiveness of European Wheat Futures Markets during the 2007-2012 Period
2014
Abstract The hypothesis that speculative behaviour was the cause of the instability of commodity prices has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the price instability observed after 2007. Indirectly, this could also be thought as a test of whether the increasing presence of speculators in futures markets have made them divorced from physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the hedging effectiveness after 2007.
On the interplay between multiscaling and stocks dependence
2019
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.
Embedding Quantum into Classical: Contextualization vs Conditionalization
2014
We compare two approaches to embedding joint distributions of random variables recorded under different conditions (such as spins of entangled particles for different settings) into the framework of classical, Kolmogorovian probability theory. In the contextualization approach each random variable is "automatically" labeled by all conditions under which it is recorded, and the random variables across a set of mutually exclusive conditions are probabilistically coupled (imposed a joint distribution upon). Analysis of all possible probabilistic couplings for a given set of random variables allows one to characterize various relations between their separate distributions (such as Bell-type ine…
Multivariate factor analysis of Girgentana goat milk composition
2005
The interpretation of the several variables that contribute to defining milk quality is difficult due to the high degree of correlation among them. In this case, one of the best methods of statistical processing is factor analysis, which belongs to the multivariate groups; for our study this particular statistical approach was employed. A total of 1485 individual goat milk samples from 117 Girgentana goats, were collected fortnightly from January to July, and analysed for physical and chemical composition, and clotting properties. Milk pH and tritable acidity were within the normal range for fresh goat milk. Morning milk yield resulted 704 ± 323 g with 3.93 ± 1.23% and 3.…
Influence Functions and Efficiencies of k-Step Hettmansperger–Randles Estimators for Multivariate Location and Regression
2016
In Hettmansperger and Randles (Biometrika 89:851–860, 2002) spatial sign vectors were used to derive simultaneous estimators of multivariate location and shape. Oja (Multivariate nonparametric methods with R. Springer, New York, 2010) proposed a similar approach for the multivariate linear regression case. These estimators are highly robust and have under general assumptions a joint limiting multinormal distribution. The estimates are easy to compute using fixed-point algorithms. There are however no exact proofs for the convergence of these algorithms. The existence and uniqueness of the solutions also still remain unproven although we believe that they hold under general conditions. To ci…
The Age-Participation Relationship Revised: Focus on Older Adults
1998
This study aims to increase our understanding of how the negative influence of age on participation comes about. The framework used emphasizes human life complexity and human agency in behavior and decision-making. Accordingly, main effects and multiple interaction effects of age and some education and work-related factors on participation were examined. The results show that when the interaction effects are taken into account, the age-participation relationship becomes more complex than previously found in studies focusing only on main effects. It is suggested that research on participation utilize the more advanced options available in multivariate statistics and thus aim at better compa…
Imputation Strategies for Missing Data in Environmental Time Series for An Unlucky Situation
2005
After a detailed review of the main specific solutions for treatment of missing data in environmental time series, this paper deals with the unlucky situation in which, in an hourly series, missing data immediately follow an absolutely anomalous period, for which we do not have any similar period to use for imputation. A tentative multivariate and multiple imputation is put forward and evaluated; it is based on the possibility, typical of environmental time series, to resort to correlations or physical laws that characterize relationships between air pollutants.
Comparison of different predictive models for nutrient estimation in a sequencing batch reactor for wastewater treatment
2006
Abstract In this paper different predictive models for nutrient estimation in a sequencing batch reactor (SBR) for wastewater treatment are compared: principal component regression (PCR), partial least squares (PLS), and artificial neural networks (ANNs). Two unfolding procedures were used: batch-wise and variable-wise. For the latter unfolding method, X and Y matrix augmentation with lagged variables were used in some models to incorporate process dynamics. The results have shown that batch-wise unfolding PLS models outperform the other approaches. The ANN models are good predictive models, but in this particular case-study, they do not outperform those multivariate projection models that …
Assessing directional interactions among multiple physiological time series: The role of instantaneous causality
2012
This paper deals with the assessment of frequency domain causality in multivariate (MV) time series with significant instantaneous interactions. After providing different causality definitions, we introduce an extended MV autoregressive modeling approach whereby each definition is described in the time domain in terms of the model coefficients, and is quantified in the frequency domain by means of novel measures of directional connectivity. These measures are illustrated in a theoretical example showing how they reduce to known indexes when instantaneous causality is trivial, while they describe peculiar aspects of directional interaction in the presence of instantaneous causality. The appl…
Comparison of canonical variate analysis and principal component analysis on 422 descriptive sensory studies
2015
International audience; Although Principal Component Analysis (PCA) of product mean scores is most often used to generate a product map from sensory profiling data, it does not take into account variance of product mean scores due to individual variability. Canonical Variate Analysis (CVA) of the product effect in the two-way (product and subject) multivariate ANOVA model is the natural extension of the classical univariate approach consisting of ANOVAs of every attribute. CVA generates successive components maximizing the ANOVA F-criterion. Thus, CVA is theoretically more adapted than PCA to represent sensory data. However, CVA requires a matrix inversion which can result in computing inst…