Search Results - subject:"Normal Distribution"

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10005263948

Market Volatility As a Financial Soundness Indicator; An Application to Israel

Morales, Armando Méndez; Schumacher, Liliana - International Monetary Fund (IMF) - 2003

Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility indicator to analyze the Israeli's transition toward...

Persistent link: https://www.econbiz.de/10005264007

Collective purchase behavior toward retail price changes

Ueno, Hiromichi; Watanabe, Tsutomu; Takayasu, Hideki; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 3, pp. 499-504

By analyzing a huge amount of point-of-sale data collected from Japanese supermarkets, we find power law relationships between price and sales numbers. The estimated values of the exponents of these power laws depend on the category of products; however, they are independent of the stores,...

Persistent link: https://www.econbiz.de/10010872518

Consumer expenditure distribution in India, 1983–2007: Evidence of a long Pareto tail

Ghosh, Abhik; Gangopadhyay, Kausik; Basu, B. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 1, pp. 83-97

This work presents a comprehensive study of the evolution of the expenditure distribution in India. The consumption process is theoretically modeled based on certain physical assumptions. The proposed statistical model for the expenditure distribution may follow either a double Pareto...

Persistent link: https://www.econbiz.de/10010874386

Statistical Distribution of Streambed Vertical Hydraulic Conductivity along the Platte River, Nebraska

Cheng, Cheng; Song, Jinxi; Chen, Xunhong; Wang, Deming - In: Water Resources Management 25 (2011) 1, pp. 265-285

streambed K <Subscript> v </Subscript> values were still in normal distribution at each test site. Furthermore, the combined … all measurements conducted downstream of this confluence was no longer in normal distribution, presumably as a result of …

Persistent link: https://www.econbiz.de/10010997558

A modified Corrado test for assessing abnormal security returns

Ataullah, Ali; Song, Xiaojing; Tippett, Mark - In: The European Journal of Finance 17 (2011) 7, pp. 589-601

. Moreover, conventional practice assumes that abnormal returns evolve in terms of a normal distribution. There is, however, an … shows that stock returns are incompatible with the normal distribution. This paper focuses on the widely used non … distribution of the modified Corrado test statistic developed here asymptotically converges towards the normal distribution. This …

Persistent link: https://www.econbiz.de/10009276906

A linear model-based test for the heterogeneity of conditional correlations

Wilding, Gregory; Cai, Xueya; Hutson, Alan; Yu, Zhangsheng - In: Journal of Applied Statistics 38 (2011) 10, pp. 2355-2366

Current methods of testing the equality of conditional correlations of bivariate data on a third variable of interest (covariate) are limited due to discretizing of the covariate when it is continuous. In this study, we propose a linear model approach for estimation and hypothesis testing of the...

Persistent link: https://www.econbiz.de/10009279033

On a generalized mixture of standard normal and skew normal distributions

Satheesh Kumar, C.; Anusree, M.R. - In: Statistics & Probability Letters 81 (2011) 12, pp. 1813-1821

Here we propose a new class of distributions as a generalized mixture of standard normal and skew normal distributions (GMNSND) and study some of its properties by deriving its characteristic function, mean, variance, coefficient of skewness etc. Further, certain reliability aspects of GMNSND...

Persistent link: https://www.econbiz.de/10010571793

Statistical properties of the total variation estimator for compositional data

Hron, Karel; Kubáček, Lubomír - In: Metrika 74 (2011) 2, pp. 221-230

Persistent link: https://www.econbiz.de/10009324793

A class of efficient and modified testimators for the mean of normal distribution using complete data

Al-Hemyari, Z.A.; Hussain, I.H.; Al-Jobori, A.N. - In: International Journal of Data Analysis Techniques and … 3 (2011) 4, pp. 406-425

normal distribution, when a prior estimate µ<SUB align="right"><SMALL>0</SMALL></SUB> of the mean µ is available from the …

Persistent link: https://www.econbiz.de/10009352808