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Cusum and cusumsq tests
| Словарь по экономике и эконометрике |
Tests for parameter stability in an estimated model based on the cumulative sum of residuals (cusum) or cumulative sum of squared residuals (cusumsq) from a recursive regression.
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Cumulative, английский
Нарастающим итогом
Regression, английский
- Statistical technique used to evaluate relationships among variables (22).
- Регрессия
- 1. a stage where symptoms of a disease are disappearing and the person is getting better 2. (in psychiatry) the process of returning to a mental state which existed when the person was younger
- Regression commonly refers to the process of developing an empirical (data-driven) model to predict and/or explain one or more attributes in a database or set of data. it is most frequently associated with the simple linear model (y=mx+b) taught in most introductory statistics courses; the same ideas have been extended in many directions, including classification problems. when the emphasis is on hypothesis testing and simple models, the regression output is typically a few parameters that provide a direct linkage from the input variables to the predicted variables (or classification). in other situations the emphasis is on explaining as much of the variability in the output variables as is "reasonable" from the input variables. in this case, there are a number of "advanced" techniques, such as smoothing splines, decision trees, neural nets, and so forth, for which there are many "free" parameters. the meaning of any one of these parameters can be obscure. many data mining techniques are, at their core, variations on well-known regression techniques. see also: classification, clustering, decision trees, neural nets.
- The reappearance of a previously fixed problem.
- The statistical process of predicting one or more continuous variables, such as profit or loss, based on other attributes in the dataset.
- A mathematical technique used to explain and/or predict. the general form is y = a + bx + u, where y is the variable that we are trying to predict; x is the variable that we are using to predict y, a is the intercept; b is the slope, and u is the regression residual. the a and b are chosen in a way to minimize the squared sum of the residuals. the ability to fit or explain is measured by the r-square.
- A seaward retreat of a shoreline, generally expressed as a seaward
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Break date, английский
The date at which a structural change occurs in a time series or in a model’s parameters.
Covered interest parity (cip), английский
States that exchange rates should adjust so that borrowing funds in one currency and investing them in another would not be expected to earn abnormal profits.
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