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Quantitative Finance · शब्दावली

Errors-in-variables, attenuation bias, total least squares क्या है?

अन्य नाम: errors-in-variables · attenuation bias · total least squares

Definition 16.9 Quantitative Methods · अध्याय 16 — Linear Models under Stress

An errors-in-variables model observes the regressor with noise, x~=x+u\tilde x = x + u, with uu independent of xx and of the equation error. The resulting shrinkage of the OLS slope toward zero is the attenuation bias. Total least squares fits the line minimising the sum of squared perpendicular distances, which is consistent when the errors in xx and in yy have equal variances.

Sampling distributions of three hedge-ratio estimates over 2 000 simulated two-year histories: daily OLS on the noisy future prices (mean 0.683, attenuated by 0.80), the same divided by the attenuation estimated from the future’s first autocorrelation (mean 0.862, standard deviation 0.095), and OLS on weekly changes (mean 0.810, standard deviation 0.022). Data: the chapter’s tutorial, seeded.
Figure 16.4. Sampling distributions of three hedge-ratio estimates over 2 000 simulated two-year histories: daily OLS on the noisy future prices (mean 0.683, attenuated by 0.80), the same divided by the attenuation estimated from the future’s first autocorrelation (mean 0.862, standard deviation 0.095), and OLS on weekly changes (mean 0.810, standard deviation 0.022). Data: the chapter’s tutorial, seeded.
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