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Quantifying Heteroskedasticity via Binary Decomposition

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

This paper presents a quantifying measure for heteroskedasticity of a time series. In this research, heteroskedasticity levels are measured by decomposing the examined time series recursively into homoskedastic segments. Each segment of the examined time series is decomposed into smaller segments if it tests positively to heteroskedasticity tests. The final quantified value of the heteroskedasticity level is the number of homoskedastic segments. The proposed measure is robust and detects heteroskedasticity in small average variance datasets.

Published in:

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

Date of Conference:

10-12 April 2013