Multifractal approaches in econometrics and fractal-inspired robust regression
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10430857" target="_blank" >RIV/00216208:11320/21:10430857 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/21:00546143
Result on the web
<a href="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html" target="_blank" >https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Multifractal approaches in econometrics and fractal-inspired robust regression
Original language description
This paper starts with a discussion of recent data analysis tools inspired by fractal or multifractal concepts. We pay special attention to available data analysis tools based on reciprocal weights assigned to individual observations; these are inspired by an assumed fractal structure of multivariate data. As an extension, we consider here a novel version of the least weighted squares estimator of parameters for the linear regression model, which exploits reciprocal weights. Finally, we perform a statistical analysis of 31 datasets with economic motivation and compare the performance of the least weighted squares estimator with various weights.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA21-19311S" target="_blank" >GA21-19311S: Information Flow and Equilibrium in Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 39th International Conference on Mathematical Methods in Economics
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
238-243
Publisher name
Czech University of LIfe Sciences
Place of publication
Praha
Event location
Praha
Event date
Sep 8, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000936369700039