Cart (Loading....) | Create Account
Close category search window
 

Quantifying Heteroskedasticity Using Slope of Local Variances Index

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

4 Author(s)
Hassan, M. ; Centre for Intell. Syst. Res., Deakin Univ., Melbourne, VIC, Australia ; Hossny, M. ; Nahavandi, S. ; Creighton, D.

In econometrics, heteroskedasticity refers to the case when the variances of the error terms of the data in hand are not equal. Heteroskedastic time series are challenging to different forecasting models. However, all available solutions adopt the strategy of accommodating heteroskedasticity in the time series and consider it as a type of noise. Some statistical tests were developed over the past three decades to determine whether a time series features heteroskedastic behaviour. This paper presents a novel strategy to handle this problem by deriving a quantifying measure for heteroskedasticity. The proposed measure relies on the definition of heteroskedasticity as a time-variant variance in the time series. In this work, heteroskedasticity is measured by calculating local variances using linear filters, estimating variance trends, calculating changes in variance slopes, and finally obtaining the average slope angle. The results confirm that the proposed index complies with the widely popular heteroskedasticity tests.

Published in:

Computer Modelling and Simulation (UKSim), 2013 UKSim 15th International Conference on

Date of Conference:

10-12 April 2013

Need Help?


IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.