КФУ. Карточка публикации. On a Statistical Criterion for the Heterogeneity of Second-Order Moments

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ON A STATISTICAL CRITERION FOR THE HETEROGENEITY OF SECOND-ORDER MOMENTS

Форма представления

Статьи в зарубежных журналах и сборниках

Год публикации

2022

Язык

английский

Авторы, сотрудники КФУ

Халиуллин Самигулла Гарифуллович, автор

Библиографическое описание на языке оригинала

Haliullin S.G., On a Statistical Criterion for the Heterogeneity of Second-Order Moments//Russian Mathematics. - 2022. - Vol.66, Is.8. - P.76-78.

Аннотация

The presence of heteroscedasticity (heterogeneity in second-order moments) in various data leads to known errors in statistical inference if it is not noticed in time. This problem is most often encountered in the tasks of checking the adequacy of a particular model in regression or time series analysis. If the model is adequate, the residuals should be homoscedastic. In the study of the financial market, it is quite common to find heterogeneity in the second order moments in some financial indices such as logarithmic returns in stock prices. The paper considers a criterion for testing the hypothesis of homoscedasticity in statistical data.

Ключевые слова

heteroscedasticity, conditionally Gaussian models, volatility

Название журнала

Russian Mathematics

URL

https://doi.org/10.3103/S1066369X22080047

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https://repository.kpfu.ru/?p_id=278217

Полная запись метаданных

Поле DC	Значение	Язык
dc.contributor.author	Халиуллин Самигулла Гарифуллович	ru_RU
dc.date.accessioned	2022-01-01T00:00:00Z	ru_RU
dc.date.available	2022-01-01T00:00:00Z	ru_RU
dc.date.issued	2022	ru_RU
dc.identifier.citation	Haliullin S.G., On a Statistical Criterion for the Heterogeneity of Second-Order Moments//Russian Mathematics. - 2022. - Vol.66, Is.8. - P.76-78.	ru_RU
dc.identifier.uri	https://repository.kpfu.ru/?p_id=278217	ru_RU
dc.description.abstract	Russian Mathematics	ru_RU
dc.description.abstract	The presence of heteroscedasticity (heterogeneity in second-order moments) in various data leads to known errors in statistical inference if it is not noticed in time. This problem is most often encountered in the tasks of checking the adequacy of a particular model in regression or time series analysis. If the model is adequate, the residuals should be homoscedastic. In the study of the financial market, it is quite common to find heterogeneity in the second order moments in some financial indices such as logarithmic returns in stock prices. The paper considers a criterion for testing the hypothesis of homoscedasticity in statistical data.	ru_RU
dc.language.iso	ru	ru_RU
dc.subject	heteroscedasticity	ru_RU
dc.subject	conditionally Gaussian models	ru_RU
dc.subject	volatility	ru_RU
dc.title	On a Statistical Criterion for the Heterogeneity of Second-Order Moments	ru_RU
dc.type	Статьи в зарубежных журналах и сборниках	ru_RU