scholarly journals Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance

2016 ◽  
Vol 91 (1-2) ◽  
pp. 89-113
Author(s):  
Abderrahim Taamouti
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
Nonlinear Regression ◽  
Regression Models ◽  
Finite Sample ◽  
Nonlinear Regression Models ◽  
Independent Variable ◽  
Unknown Form ◽  
Linear And Nonlinear ◽  
Non Gaussian

We review several exact sign-based tests that have been recently proposed for testing orthogonality between random variables in the context of linear and nonlinear regression models. The sign tests are very useful when the data at the hands contain few observations, are robust against heteroskedasticity of unknown form, and can be used in the presence of non-Gaussian errors. These tests are also flexible since they do not require the existence of moments for the dependent variable and there is no need to specify the nature of the feedback between the dependent variable and the current and future values of the independent variable. Finally, we discuss several applications where the sign-based tests can be used to test for multi-horizon predictability of stock returns and for the market efficiency.

An Effective Hybrid Semi-Parametric Regression Strategy for Rainfall Forecasting Combining Linear and Nonlinear Regression

2013 ◽  
pp. 273-289
Author(s):  
Jiansheng Wu
Keyword(s):  
Nonlinear Regression ◽  
Regression Models ◽  
Principal Component ◽  
Linear Regression Models ◽  
Rainfall Forecasting ◽  
Forecasting Accuracy ◽  
Parametric Regression ◽  
Nonlinear Regression Models ◽  
Linear And Nonlinear ◽  
Artificial Neural Network Ann

Rainfall forecasting is an important research topic in disaster prevention and reduction. The characteristic of rainfall involves a rather complex systematic dynamics under the influence of different meteorological factors, including linear and nonlinear pattern. Recently, many approaches to improve forecasting accuracy have been introduced. Artificial neural network (ANN), which performs a nonlinear mapping between inputs and outputs, has played a crucial role in forecasting rainfall data. In this paper, an effective hybrid semi-parametric regression ensemble (SRE) model is presented for rainfall forecasting. In this model, three linear regression models are used to capture rainfall linear characteristics and three nonlinear regression models based on ANN are able to capture rainfall nonlinear characteristics. The semi-parametric regression is used for ensemble model based on the principal component analysis technique. Empirical results reveal that the prediction using the SRE model is generally better than those obtained using other models in terms of the same evaluation measurements. The SRE model proposed in this paper can be used as a promising alternative forecasting tool for rainfall to achieve greater forecasting accuracy and improve prediction quality.

An Effective Hybrid Semi-Parametric Regression Strategy for Rainfall Forecasting Combining Linear and Nonlinear Regression

2011 ◽  
Vol 2 (4) ◽  
pp. 50-65 ◽  
Author(s):  
Jiansheng Wu
Keyword(s):  
Nonlinear Regression ◽  
Regression Models ◽  
Principal Component ◽  
Linear Regression Models ◽  
Rainfall Forecasting ◽  
Promising Alternative ◽  
Forecasting Accuracy ◽  
Parametric Regression ◽  
Nonlinear Regression Models ◽  
Linear And Nonlinear

Rainfall forecasting is an important research topic in disaster prevention and reduction. The characteristic of rainfall involves a rather complex systematic dynamics under the influence of different meteorological factors, including linear and nonlinear pattern. Recently, many approaches to improve forecasting accuracy have been introduced. Artificial neural network (ANN), which performs a nonlinear mapping between inputs and outputs, has played a crucial role in forecasting rainfall data. In this paper, an effective hybrid semi-parametric regression ensemble (SRE) model is presented for rainfall forecasting. In this model, three linear regression models are used to capture rainfall linear characteristics and three nonlinear regression models based on ANN are able to capture rainfall nonlinear characteristics. The semi-parametric regression is used for ensemble model based on the principal component analysis technique. Empirical results reveal that the prediction using the SRE model is generally better than those obtained using other models in terms of the same evaluation measurements. The SRE model proposed in this paper can be used as a promising alternative forecasting tool for rainfall to achieve greater forecasting accuracy and improve prediction quality.

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