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Portmanteau Test
A portmanteau test is a type of statistical hypothesis test in which the null hypothesis is well specified, but the alternative hypothesis is more loosely specified. Tests constructed in this context can have the property of being at least moderately powerful against a wide range of departures from the null hypothesis. Thus, in applied statistics, a portmanteau test provides a reasonable way of proceeding as a general check of a model's match to a dataset where there are many different ways in which the model may depart from the underlying data generating process. Use of such tests avoids having to be very specific about the particular type of departure being tested. Examples In time series analysis, two well-known versions of a portmanteau test are available for testing for autocorrelation in the residuals of a model: it tests whether any of a group of autocorrelations of the residual time series are different from zero. This test is the Ljung–Box test, which is an improved ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Statistical Hypothesis Test
A statistical hypothesis test is a method of statistical inference used to decide whether the data at hand sufficiently support a particular hypothesis. Hypothesis testing allows us to make probabilistic statements about population parameters. History Early use While hypothesis testing was popularized early in the 20th century, early forms were used in the 1700s. The first use is credited to John Arbuthnot (1710), followed by Pierre-Simon Laplace (1770s), in analyzing the human sex ratio at birth; see . Modern origins and early controversy Modern significance testing is largely the product of Karl Pearson ( ''p''-value, Pearson's chi-squared test), William Sealy Gosset (Student's t-distribution), and Ronald Fisher ("null hypothesis", analysis of variance, "significance test"), while hypothesis testing was developed by Jerzy Neyman and Egon Pearson (son of Karl). Ronald Fisher began his life in statistics as a Bayesian (Zabell 1992), but Fisher soon grew disenchanted with the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Biometrika
''Biometrika'' is a peer-reviewed scientific journal published by Oxford University Press for thBiometrika Trust The editor-in-chief is Paul Fearnhead (Lancaster University). The principal focus of this journal is theoretical statistics. It was established in 1901 and originally appeared quarterly. It changed to three issues per year in 1977 but returned to quarterly publication in 1992. History ''Biometrika'' was established in 1901 by Francis Galton, Karl Pearson, and Raphael Weldon to promote the study of biometrics. The history of ''Biometrika'' is covered by Cox (2001). The name of the journal was chosen by Pearson, but Francis Edgeworth insisted that it be spelt with a "k" and not a "c". Since the 1930s, it has been a journal for statistical theory and methodology. Galton's role in the journal was essentially that of a patron and the journal was run by Pearson and Weldon and after Weldon's death in 1906 by Pearson alone until he died in 1936. In the early days, the American ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Series Statistical Tests
Time is the continued sequence of existence and event (philosophy), events that occurs in an apparently irreversible process, irreversible succession from the past, through the present, into the future. It is a component quantity of various measurements used to sequence events, to compare the duration of events or the intervals between them, and to quantification (science), quantify derivative, rates of change of physical quantity, quantities in scientific realism, material reality or in the consciousness, conscious qualia, experience. Time is often referred to as a fourth dimension, along with Three-dimensional space, three spatial dimensions. Time has long been an important subject of study in religion, philosophy, and science, but defining it in a manner applicable to all fields without circular definition, circularity has consistently eluded scholars. Nevertheless, diverse fields such as business, industry, sports, the sciences, and the performing arts all incorporate som ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Independent And Dependent Variables
Dependent and independent variables are variables in mathematical modeling, statistical modeling and experimental sciences. Dependent variables receive this name because, in an experiment, their values are studied under the supposition or demand that they depend, by some law or rule (e.g., by a mathematical function), on the values of other variables. Independent variables, in turn, are not seen as depending on any other variable in the scope of the experiment in question. In this sense, some common independent variables are time, space, density, mass, fluid flow rate, and previous values of some observed value of interest (e.g. human population size) to predict future values (the dependent variable). Of the two, it is always the dependent variable whose variation is being studied, by altering inputs, also known as regressors in a statistical context. In an experiment, any variable that can be attributed a value without attributing a value to any other variable is called an ind ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Journal Of Econometrics
The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors. The journal publishes work dealing with estimation and other methodological aspects of the application of statistical inference to economic data, as well as papers dealing with the application of econometric techniques to economics. The journal also publishes a supplement to the Journal of Econometrics which is called "Annals of Econometrics". Each issue of the Annals includes a collection of papers on a single topic selected by the editor of the issue. See also * ''Econometrics Journal'' References External links Homepage Econometrics, Journal of Econometrics journals Econometrics Econometrics is the application of Statistics, statistical methods to economic data in order to give Empirical evidence, empirical content to economic relationships.M. Hashem P ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Regression Analysis
In statistical modeling, regression analysis is a set of statistical processes for estimating the relationships between a dependent variable (often called the 'outcome' or 'response' variable, or a 'label' in machine learning parlance) and one or more independent variables (often called 'predictors', 'covariates', 'explanatory variables' or 'features'). The most common form of regression analysis is linear regression, in which one finds the line (or a more complex linear combination) that most closely fits the data according to a specific mathematical criterion. For example, the method of ordinary least squares computes the unique line (or hyperplane) that minimizes the sum of squared differences between the true data and that line (or hyperplane). For specific mathematical reasons (see linear regression), this allows the researcher to estimate the conditional expectation (or population average value) of the dependent variable when the independent variables take on a given ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
ARIMA
Arima, officially The Royal Chartered Borough of Arima is the easternmost and second largest in area of the three boroughs of Trinidad and Tobago. It is geographically adjacent to Sangre Grande and Arouca at the south central foothills of the Northern Range. To the south is the Caroni–Arena Dam. Coterminous with Town of Arima since 1888, the borough of Arima is the fourth-largest municipality in population in the country (after Port of Spain, Chaguanas and San Fernando). The census estimated it had 33,606 residents in 2011. In 1887, the town petitioned Queen Victoria for municipal status as part of her Golden Jubilee celebration. This was granted in the following year, and Arima became a Royal Borough on 1 August 1888. Historically the third-largest town of Trinidad and Tobago, Arima is fourth since Chaguanas became the largest town in the country. Geography Climate The borough has a tropical rainforest climate (Köppen ''Af''), bordering on a tropical monsoon climate, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Journal Of The American Statistical Association
The ''Journal of the American Statistical Association (JASA)'' is the primary journal published by the American Statistical Association, the main professional body for statisticians in the United States. It is published four times a year in March, June, September and December by Taylor & Francis, Ltd on behalf of the American Statistical Association. As a statistics journal it publishes articles primarily focused on the application of statistics, statistical theory and methods in economic, social, physical, engineering, and health sciences. The journal also includes reviews of academic books which are important to the advancement of the field. It had an impact factor of 2.063 in 2010, tenth highest in the "Statistics and Probability" category of ''Journal Citation Reports''. In a 2003 survey of statisticians, the ''Journal of the American Statistical Association'' was ranked first, among all journals, for "Applications of Statistics" and second (after ''Annals of Statistics'') f ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ljung–Box Test
The Ljung–Box test (named for Greta M. Ljung and George E. P. Box) is a type of statistical test of whether any of a group of autocorrelations of a time series are different from zero. Instead of testing randomness at each distinct lag, it tests the "overall" randomness based on a number of lags, and is therefore a portmanteau test. This test is sometimes known as the Ljung–Box Q test, and it is closely connected to the Box–Pierce test (which is named after George E. P. Box and David A. Pierce). In fact, the Ljung–Box test statistic was described explicitly in the paper that led to the use of the Box–Pierce statistic, and from which that statistic takes its name. The Box–Pierce test statistic is a simplified version of the Ljung–Box statistic for which subsequent simulation studies have shown poor performance. The Ljung–Box test is widely applied in econometrics and other applications of time series analysis. A similar assessment can be also carried out with the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Null Hypothesis
In scientific research, the null hypothesis (often denoted ''H''0) is the claim that no difference or relationship exists between two sets of data or variables being analyzed. The null hypothesis is that any experimentally observed difference is due to chance alone, and an underlying causative relationship does not exist, hence the term "null". In addition to the null hypothesis, an alternative hypothesis is also developed, which claims that a relationship does exist between two variables. Basic definitions The ''null hypothesis'' and the ''alternative hypothesis'' are types of conjectures used in statistical tests, which are formal methods of reaching conclusions or making decisions on the basis of data. The hypotheses are conjectures about a statistical model of the population, which are based on a sample of the population. The tests are core elements of statistical inference, heavily used in the interpretation of scientific experimental data, to separate scientific claims fr ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Series
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart). Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series ''analysis'' comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series ''forecasting' ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
