Multifractal approaches in econometrics and fractal-inspired robust regression

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F21%3A00546143" target="_blank" >RIV/67985807:_____/21:00546143 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/21:10430857
Result on the web
<a href="https://mme2021.v2.czu.cz/dl/99363?lang=en" target="_blank" >https://mme2021.v2.czu.cz/dl/99363?lang=en</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Multifractal approaches in econometrics and fractal-inspired robust regression
Original language description
While the mainstream economic theory is based on the concept of general economic equilibrium, the economies throughout the world have recently been facing serious transformations and challenges. Thus, instead of a convergence to equilibrium, the economies can be regarded as unstable, turbulent or chaotic with properties characteristic for fractal or multifractal processes. 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. It turns out that the reciprocal weights, inspired by the fractal theory, are not superior to other choices of weights. In fact, the best prediction results are obtained with trimmed linear weights.
Czech name
—
Czech description
—

Project
<a href="/en/project/GA21-19311S" target="_blank" >GA21-19311S: Information Flow and Equilibrium in Financial Markets</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MME 2021, 39th International Conference on Mathematical Methods in Economics. Conference Proceedings
ISBN
978-80-213-3126-6
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
238-243
Publisher name
Faculty of Economics and Management, Czech University of Life Sciences Prague
Place of publication
Prague
Event location
Prague
Event date
Sep 8, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000936369700039

Similar results(10)