Robust methods for heteroscedastic regression models for time series

时间序列异方差回归模型的鲁棒方法

• 批准号: DP150100210
• 负责人: Prof Mervyn Silvapulle
• 金额: $ 14.03万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2015
• 资助国家: 澳大利亚
• 起止时间: 2015-01-01 至 2022-12-16
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP150100210
• 关键词: Robust; methods; heteroscedastic; regression; models

What is the variability of the exchange rate of the Euro to the Australian dollar? Can the use of the electrocardiogram of a patient be improved as a diagnostic tool for heart disease? A well-known limitation of the existing statistical methods for answering these types of questions is that a small proportion of extreme observations have the potential to lead to results that are more in agreement with the outliers than with bulk of the data. As a consequence, the statistical analyses may lead to wrong conclusions. This project aims to develop new methodologies to solve this problem for a large class of studies. Applications to stock market risk, exchange rate, and diagnosis of heart diseases will illustrate the new methods.

欧元兑澳元的汇率变化是什么？心电图作为心脏病诊断工具的使用是否可以得到改进？回答这类问题的现有统计方法的一个众所周知的局限性是，一小部分极端观测结果可能导致与离群值比与大部分数据更一致的结果。因此，统计分析可能导致错误的结论。该项目旨在开发新的方法来解决这一问题的一大类研究。股票市场风险，汇率和心脏病诊断的应用将说明新的方法。