Spatial moving average risk smoothing

2012 ◽  
Vol 32 (15) ◽  
pp. 2595-2612 ◽  
Author(s):  
P. Botella-Rocamora ◽  
A. López-Quílez ◽  
M. A. Martinez-Beneito
Keyword(s):  
Moving Average ◽  
Average Risk ◽  
Spatial Moving Average

scholarly journals The Assessment Of Geographical Borders In Economic Research

2017 ◽  
Vol 19 (5) ◽  
pp. 99-123
Author(s):  
Małgorzata Markowska ◽  
Marek Sobolewski
Keyword(s):  
Spatial Analysis ◽  
Human Development Index ◽  
Moving Average ◽  
Economic Research ◽  
Simple Method ◽  
New Methods ◽  
Hierarchical Relations ◽  
Socio Economic Impact ◽  
Spatial Moving Average ◽  
The Given

The length of common border between two geographical units is frequently used as a basic weight in spatial analysis. The newest methodological propositions such as tests for hierarchical relations (Markowska et. al. 2014; Sokołowski et. al. 2013), regional spatial moving average and new spatial correlation coefficient (Markowska et. al. 2015) are using border lengths. In cited references new methods have been illustrated by analyses for EU NUTS2 regions. It is obvious that borders between regions belonging to different countries have different socio-economic impact than borders between regions lying in the same country. A new simple method for assesment the importance of borders is proposed in the paper. It is based on a chosen macroeconomic variable available at NUTS 2 level (e.g. GDP, infant mortality, Human Development Index). For neighboring regions bigger value is divided by smaller value giving the local importance of the given border. These measures of local border importance can be than average for borders within the same country and for borders for each pair of neighboring countries.

Calibrated spatial moving average simulations

2002 ◽  
Vol 2 (4) ◽  
pp. 267-279 ◽  
Author(s):  
Noel Cressie ◽  
Martina Pavlicová
Keyword(s):  
Moving Average ◽  
Spatial Moving Average

scholarly journals Stochastic Multisite Generation of Daily Precipitation Data Using Spatial Autocorrelation

2007 ◽  
Vol 8 (3) ◽  
pp. 396-412 ◽  
Author(s):  
Malika Khalili ◽  
Robert Leconte ◽  
François Brissette
Keyword(s):  
Spatial Autocorrelation ◽  
Daily Precipitation ◽  
Moving Average ◽  
Weather Data ◽  
Precipitation Data ◽  
Stochastic Weather Generator ◽  
Daily Precipitation Data ◽  
Precipitation Processes ◽  
Weather Stations ◽  
Spatial Moving Average

Abstract There are a number of stochastic models that simulate weather data required for various water resources applications in hydrology, agriculture, ecosystem, and climate change studies. However, many of them ignore the dependence between station locations exhibited by the observed meteorological time series. This paper proposes a multisite generation approach of daily precipitation data based on the concept of spatial autocorrelation. This theory refers to spatial dependence between observations with respect to their geographical adjacency. In hydrometeorology, spatial autocorrelation can be computed to describe daily dependence between the weather stations through the use of a spatial weight matrix, which defines the degree of significance of the weather stations surrounding each observation. The methodology is based on the use of the spatial moving average process to generate spatially autocorrelated random numbers that will be used in a stochastic weather generator. The resulting precipitation processes satisfy the daily spatial autocorrelations computed using the observed data. Monthly relationships between the spatial moving average coefficients and daily spatial autocorrelations of the precipitation processes have been developed to find the spatial moving average coefficients that reproduce the observed daily spatial autocorrelations in the synthetic precipitation processes. To assess the effectiveness of the proposed methodology, seven stations in the Peribonca River basin in the Canadian province of Quebec were used. The daily spatial autocorrelations of both precipitation occurrences and amounts were adequately reproduced, as well as the total monthly precipitations, the number of rainy days per month, and the daily precipitation variance. Using appropriate weight matrices, the proposed multisite approach permits one not only to reproduce the spatial autocorrelation of precipitation between the set of stations, but also the interstation correlation of precipitation between each pair of stations.

scholarly journals Clusters of cause specific neonatal mortality and its association with per capita gross domestic product: A structured spatial analytical approach

PLoS ONE ◽  
2021 ◽  
Vol 16 (8) ◽  
pp. e0255882
Author(s):  
Daniela Testoni Costa-Nobre ◽  
Mandira Daripa Kawakami ◽  
Kelsy Catherina Nema Areco ◽  
Adriana Sanudo ◽  
Rita Cassia Xavier Balda ◽  
...  
Keyword(s):  
Neonatal Mortality ◽  
Analytical Approach ◽  
Moving Average ◽  
Order Effects ◽  
Capita Gross Domestic Product ◽  
Per Capita Gdp ◽  
Neonatal Deaths ◽  
Live Births ◽  
Per Capita ◽  
Spatial Moving Average

Background Infant mortality rate is a measure of population health and neonatal mortality account for great proportion of these deaths. Underdevelopment might be associated to higher neonatal mortality risk due to assistant related factors. Spatial and temporal distribution of mortality help identifying and developing strategies for interventions. Objective To investigate the cluster areas of asphyxia-associated neonatal mortality and to explore its association with per capita gross domestic product (GDP) in São Paulo State (SP), Brazil. Methods Ecological study including live births residents in SP from 2004–2013. Neonatal deaths (0–27 days) with perinatal asphyxia were defined as intrauterine hypoxia, birth asphyxia or meconium aspiration syndrome written in any line of the Death Certificate. Geoprocessing analytical approach included detection of first order effects through quintiles and spatial moving average maps, followed by second order effects by global and local spatial autocorrelation (Moran and LISA, respectively) before and after smoothing with local Bayesian estimates. Finally, Spearman correlation was applied between asphyxia-associated neonatal mortality and mean per capita GDP rates for the municipalities with significant LISA. Results There were 6,713 asphyxia-associated neonatal deaths among 5,949,267 live births (rate: 1.13/1000) in SP. Spatial moving average maps showed a non-random distribution among municipalities, with presence of clusters (I = 0.048; p = 0.023). LISA map identified clusters of asphyxia-associated neonatal mortality in the south, southeast and northwest. After applying local Bayes estimates, clusters were more pronounced (I = 0.589; p = 0.001). There was a partial overlap of the areas of higher asphyxia-associated neonatal mortality and lower mean per capita GDP. Conclusions Spatial analysis identified cluster areas of high asphyxia-associated neonatal mortality and low per capita GDP rates, with a significant negative correlation. This optimized, structured, and hierarchical approach to identify high-risk areas of cause-specific neonatal mortality may be helpful for guiding public health efforts to decrease neonatal mortality.

scholarly journals Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

2021 ◽  
Vol 29 (2) ◽  
Author(s):  
Muhammad Akhimullah Abd Halim ◽  
Siti Masitah Elias ◽  
Karmila Hanim Kamil
Keyword(s):  
Moving Average ◽  
Market Timing ◽  
Individual Investors ◽  
Average Risk ◽  
Investment Strategies ◽  
Stock Selection ◽  
Selection Strategies ◽  
Stock Investment ◽  
Out Of Sample ◽  
Stock Allocation

This study focuses on market timing and stock selection strategies that could be implemented by individual investors of Shariah-compliant equity using the top ten constituents of the FTSE Bursa Malaysia Hijrah Shariah Index. Investors are assumed to enter and exit the stock market following the buy-and-sell signal from Moving Average Crossover. Meanwhile, for stock selection, this study aims to construct the optimal portfolio using the Sharpe Ratio Maximisation model and Naïve (1/N) portfolio. The level of market timing and selectivity skills of individual investors following the suggested investment strategies will be measured by using the Treynor-Mazuy model. The empirical results showed that the best Moving Average Crossover gave plausible trading frequencies and provided the most return to investors was the (1, 100, 0.01) strategy. Albeit, the stock allocation for the constructed portfolio was less diversified compared to the Naïve (1/N) portfolio, the composition of portfolio weights of the constructed portfolio was able to offer a more than average risk to reward ratio. Furthermore, in the out-of-sample framework, both portfolios outperformed the market benchmark. Unlike previous studies, this study backed tests the strategy and found that it was beneficial for individual investors of Shariah-compliant equities to enhance market timing and selectivity skills in stock investment.

Sign in / Sign up

Export Citation Format

Share Document