Asymmetric Least Squares Estimation and Testing

Daily Stock Returns, Non-Normality and Hypothesis Testing

Daily stock returns typically have non-normal and asymmetric distributions, potentially leading to problems with hypothesis testing based on reported probability statistics from regression analysis (Fama 1976; Brooks 2002). While daily stock return data for many years is readily available, recent studies indicate that the non-normality problems may persist even in large samples (Peiro 2002; Bro...

Least Absolute Value vs. Least Squares Estimation and Inference Procedures in Regression Models with Asymmetric Error Distributions

Optimal Control of Partially Observable Linear Quadratic Systems with Asymmetric Observation Errors

This paper deals with the optimal quadratic control problem for non-Gaussian discrete-time stochastic systems. Our main result gives explicit solutions for the optimal quadratic control problem for partially observable dynamic linear systems with asymmetric observation errors. For this purpose an asymmetric version of the Kalman filter based on asymmetric least squares estimation is used. We il...

An Estimation Of Seasonal GDP Gap In Iran: Application Of Adaptive Least Squares Methods

Large Scale Experiments Data Analysis for Estimation of Hydrodynamic Force Coefficients Part 1: Time Domain Analysis

This paper describes various time-domain methods useful for analyzing the experimental data obtained from a circular cylinder force in terms of both wave and current for estimation of the drag and inertia coefficients applicable to the Morison’s equation. An additional approach, weighted least squares method is also introduced. A set of data obtained from experiments on heavily roughened circul...