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Quantifying heteroskedasticity metrics

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posted on 2016-11-01, 00:00 authored by M Hassan
This study proposes a quantification measure for heteroskedasticity in the time series. Two methods are introduced for quantifying heteroskedasticity: Slope of Local Variance Index (SoLVI) and a statistical divergence method using Bhattacharys coefficient. Both measures show reliability in measuring and quantifying heteroskedasticity in comparison to numerical and hypothesis heteroskedasticity tests.

History

Pagination

xi, 95 pages : figures, some coloured.

Open access

  • Yes

Material type

thesis

Resource type

thesis

Language

eng

Degree type

Research doctorate

Degree name

PhD.

Copyright notice

The Author. All Rights Reserved

Editor/Contributor(s)

S Nahavandi Saeid, M Hossny Mohammed, D Creighton Douglas

Faculty

Institute for Intelligent Systems Research and Innovation

School

GTP Research

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