Financial Time Series Forecasting is an important tool to support both individual and organizational decisions. Periodic phenomena are very popular in econometrics. Many models have been built aiding capture of these ...Financial Time Series Forecasting is an important tool to support both individual and organizational decisions. Periodic phenomena are very popular in econometrics. Many models have been built aiding capture of these periodic trends as a way of enhancing forecasting of future events as well as guiding business and social activities. The nature of real-world systems </span><span style="font-family:Verdana;">is</span><span style="font-family:Verdana;"> characterized by many uncertain fluctuations which makes prediction difficult. In situations when randomness is mixed with periodicity, prediction is even much harder. We therefore constructed an ANN Time Varying Garch model with both linear and non-linear attributes and specific for processes with fixed and random periodicity. To eliminate the need for time series linear component filtering</span><span style="font-family:Verdana;">,</span><span style="font-family:Verdana;"> we incorporated the use of Artificial Neural Networks (ANN) and constructed Time Varying GARCH model on its disturbances. We developed the estimation procedure of the ANN time varying GARCH model parameters using non parametric techniques.展开更多
In economics and finance, minimising errors while building an abstract representation of financial assets plays a critical role due to its application in areas such as risk management, decision making and option prici...In economics and finance, minimising errors while building an abstract representation of financial assets plays a critical role due to its application in areas such as risk management, decision making and option pricing. Despite the many methods developed to handle this problem, modelling processes with fixed and random periodicity still remains a major challenge. Such methods include Artificial Neural networks (ANN), Fuzzy Inference system (FIS), GARCH models and their hybrids. This study seeks to extend literature of hybrid ANN-Time Varying GARCH model through simulations and application in modelling weather derivatives. The study models daily temperature of Kenya using ANN-Time Varying GARCH (1, 1), Time Lagged Feedforward neural network (TLNN) and periodic GARCH family models. Mean square error (MSE) and coefficient of determination R<sup>2</sup> were used to determine performance of the models under study. Results obtained show that the ANN-Time Varying GARCH model gives the best results.展开更多
Approximation of finite population totals in the presence of auxiliary information is considered. A polynomial based on Lagrange polynomial is proposed. Like the local polynomial regression, Horvitz Thompson and ratio...Approximation of finite population totals in the presence of auxiliary information is considered. A polynomial based on Lagrange polynomial is proposed. Like the local polynomial regression, Horvitz Thompson and ratio estimators, this approximation technique is based on annual population total in order to fit in the best approximating polynomial within a given period of time (years) in this study. This proposed technique has shown to be unbiased under a linear polynomial. The use of real data indicated that the polynomial is efficient and can approximate properly even when the data is unevenly spaced.展开更多
Estimation of bounded populations and carrying capacity in the presence of a sample frame is considered. Models based on Logistic model are proposed. Like the existing estimators, this estimation technique deals with ...Estimation of bounded populations and carrying capacity in the presence of a sample frame is considered. Models based on Logistic model are proposed. Like the existing estimators, this estimation technique deals with initial condition and is based on yearly population totals in order to fit in a model within a given period of time in this study. The proposed Logistic model technique has shown to be efficient especially with large data. The empirical study indicated that the Logistic model is efficient and can estimate properly even in the presence of outliers.展开更多
Let two separate surveys collect related information on a single population U. Consider situation where we want to best combine data from the two surveys to yield a single set of estimates of a population quantity (po...Let two separate surveys collect related information on a single population U. Consider situation where we want to best combine data from the two surveys to yield a single set of estimates of a population quantity (population parameter) of interest. This Article presents a multiplicative bias reduction estimator for nonparametric regression to two sample problem in sample survey. The approach consists to apply a multiplicative bias correction to an estimator. The multiplicative bias correction method which was proposed, by Linton & Nielsen, 1994, assures a positive estimate and reduces the bias of the estimate with negligible increase in variance. Even as we apply this method to the two sample problem in sample survey, we found out through the study of it asymptotic properties that it was asymptotically unbiased, and statistically consistent. Furthermore an empirical study was carried out to compare the performance of the developed estimator with the existing ones.展开更多
Spatial modeling has largely been applied in epidemiology and disease modeling. Different methods such as Generalized linear models (GLMs) have been made available to prediction of the claim frequencies. However, due ...Spatial modeling has largely been applied in epidemiology and disease modeling. Different methods such as Generalized linear models (GLMs) have been made available to prediction of the claim frequencies. However, due to heterogeneity nature of policies, the methods do not generate precise and accurate claim frequencies predictions;these parametric statistical methods extensively depend on limiting assumptions (linearity, normality, independence among predictor variables, and a pre-existing functional form relating the criterion variable and predictive variables). This study investigates how to derive a spatial nonparametric model estimator based on smoothing Spline for predicting claim frequencies. The simulation results showed that the proposed estimator is efficient for prediction of claim frequencies than the kernel based counterpart. The estimator derived was applied to a sample of 6500 observations obtained from Cooperative Insurance Company, Kenya for the period of 2018-2020 and the results showed that the proposed method perform<span style="font-family:Verdana;">s</span><span style="font-family:Verdana;"> better than the kernel based counterpart. It is worth noting that inclusion of the spatial effects significantly improves the estimator prediction of claim frequency.</span>展开更多
Despite the fact that fuzzy regression discontinuity designs are growing in popularity, a lot of research takes into account treatment non-compliance difficulties, specifically the fuzziness of the treatment impact. T...Despite the fact that fuzzy regression discontinuity designs are growing in popularity, a lot of research takes into account treatment non-compliance difficulties, specifically the fuzziness of the treatment impact. This paper took into account independent and dependent fuzzy factors when creating these designs. Additionally we took into account treatment non-compliance difficulties, specifically the fuzziness of the treatment impact, as other research does. The modified Fuzzy Regression Discontinuity model is preferable for modeling fuzzy data. It enables us to draw improved causal effects accommodating fuzzy variables, not just the fuzziness of the treatment effect as in Fuzzy Regression Discontinuity models. A fuzzy dataset is converted into crisp data by the Centroid method of defuzzification. Once the data is crisp, the traditional least squares methods of approximation are used to estimate the parameters in the model since these parameters are considered crisp whilst the error terms are fuzzy. The Alcohol Use Disorders Identification Test score(AUDIT score) can be used as a cutoff to initiate treatment in this case and can be used to predict the progression of HIV disease and/or AIDS. Counseling helps to lower the use of alcohol in people living with HIV/AIDS (PLWHA) as a result, improving the participants’ CD4 counts.展开更多
文摘Financial Time Series Forecasting is an important tool to support both individual and organizational decisions. Periodic phenomena are very popular in econometrics. Many models have been built aiding capture of these periodic trends as a way of enhancing forecasting of future events as well as guiding business and social activities. The nature of real-world systems </span><span style="font-family:Verdana;">is</span><span style="font-family:Verdana;"> characterized by many uncertain fluctuations which makes prediction difficult. In situations when randomness is mixed with periodicity, prediction is even much harder. We therefore constructed an ANN Time Varying Garch model with both linear and non-linear attributes and specific for processes with fixed and random periodicity. To eliminate the need for time series linear component filtering</span><span style="font-family:Verdana;">,</span><span style="font-family:Verdana;"> we incorporated the use of Artificial Neural Networks (ANN) and constructed Time Varying GARCH model on its disturbances. We developed the estimation procedure of the ANN time varying GARCH model parameters using non parametric techniques.
文摘In economics and finance, minimising errors while building an abstract representation of financial assets plays a critical role due to its application in areas such as risk management, decision making and option pricing. Despite the many methods developed to handle this problem, modelling processes with fixed and random periodicity still remains a major challenge. Such methods include Artificial Neural networks (ANN), Fuzzy Inference system (FIS), GARCH models and their hybrids. This study seeks to extend literature of hybrid ANN-Time Varying GARCH model through simulations and application in modelling weather derivatives. The study models daily temperature of Kenya using ANN-Time Varying GARCH (1, 1), Time Lagged Feedforward neural network (TLNN) and periodic GARCH family models. Mean square error (MSE) and coefficient of determination R<sup>2</sup> were used to determine performance of the models under study. Results obtained show that the ANN-Time Varying GARCH model gives the best results.
文摘Approximation of finite population totals in the presence of auxiliary information is considered. A polynomial based on Lagrange polynomial is proposed. Like the local polynomial regression, Horvitz Thompson and ratio estimators, this approximation technique is based on annual population total in order to fit in the best approximating polynomial within a given period of time (years) in this study. This proposed technique has shown to be unbiased under a linear polynomial. The use of real data indicated that the polynomial is efficient and can approximate properly even when the data is unevenly spaced.
文摘Estimation of bounded populations and carrying capacity in the presence of a sample frame is considered. Models based on Logistic model are proposed. Like the existing estimators, this estimation technique deals with initial condition and is based on yearly population totals in order to fit in a model within a given period of time in this study. The proposed Logistic model technique has shown to be efficient especially with large data. The empirical study indicated that the Logistic model is efficient and can estimate properly even in the presence of outliers.
文摘Let two separate surveys collect related information on a single population U. Consider situation where we want to best combine data from the two surveys to yield a single set of estimates of a population quantity (population parameter) of interest. This Article presents a multiplicative bias reduction estimator for nonparametric regression to two sample problem in sample survey. The approach consists to apply a multiplicative bias correction to an estimator. The multiplicative bias correction method which was proposed, by Linton & Nielsen, 1994, assures a positive estimate and reduces the bias of the estimate with negligible increase in variance. Even as we apply this method to the two sample problem in sample survey, we found out through the study of it asymptotic properties that it was asymptotically unbiased, and statistically consistent. Furthermore an empirical study was carried out to compare the performance of the developed estimator with the existing ones.
文摘Spatial modeling has largely been applied in epidemiology and disease modeling. Different methods such as Generalized linear models (GLMs) have been made available to prediction of the claim frequencies. However, due to heterogeneity nature of policies, the methods do not generate precise and accurate claim frequencies predictions;these parametric statistical methods extensively depend on limiting assumptions (linearity, normality, independence among predictor variables, and a pre-existing functional form relating the criterion variable and predictive variables). This study investigates how to derive a spatial nonparametric model estimator based on smoothing Spline for predicting claim frequencies. The simulation results showed that the proposed estimator is efficient for prediction of claim frequencies than the kernel based counterpart. The estimator derived was applied to a sample of 6500 observations obtained from Cooperative Insurance Company, Kenya for the period of 2018-2020 and the results showed that the proposed method perform<span style="font-family:Verdana;">s</span><span style="font-family:Verdana;"> better than the kernel based counterpart. It is worth noting that inclusion of the spatial effects significantly improves the estimator prediction of claim frequency.</span>
文摘Despite the fact that fuzzy regression discontinuity designs are growing in popularity, a lot of research takes into account treatment non-compliance difficulties, specifically the fuzziness of the treatment impact. This paper took into account independent and dependent fuzzy factors when creating these designs. Additionally we took into account treatment non-compliance difficulties, specifically the fuzziness of the treatment impact, as other research does. The modified Fuzzy Regression Discontinuity model is preferable for modeling fuzzy data. It enables us to draw improved causal effects accommodating fuzzy variables, not just the fuzziness of the treatment effect as in Fuzzy Regression Discontinuity models. A fuzzy dataset is converted into crisp data by the Centroid method of defuzzification. Once the data is crisp, the traditional least squares methods of approximation are used to estimate the parameters in the model since these parameters are considered crisp whilst the error terms are fuzzy. The Alcohol Use Disorders Identification Test score(AUDIT score) can be used as a cutoff to initiate treatment in this case and can be used to predict the progression of HIV disease and/or AIDS. Counseling helps to lower the use of alcohol in people living with HIV/AIDS (PLWHA) as a result, improving the participants’ CD4 counts.
